Friday, January 28, 2011

WTI vs. Brent arb seems to be reverting starting today

Today I started leaning heavily on the reversion trade.  Long Mar CL, short Mar COIL.  Also short Dec CL, short Dec COIL as a way to hedge against the chance that WTI SHOULD be cheaper than Brent long-term (which I doubt, but it reduces my risk greatly).  In addition, I'm no longer short long-dated WTIs against short VIX futures.

Also, the VIX index is now between the price of Feb and Mar VIX futures as I write this, so I'm long Feb VIX and short Mar VIX futures.