Replies to post #612601 on Zeev's Turnips Patch-No Politics (ZEEV)

[zab]

DXO same thing, it seems like these oil ETF's are trading oblivious to the price of oil which smells, cause if you are trying to play oil using these instruments it should mirror the price of oil. I was trading DXO awhile back when I started too notice that the moves did not mirror the price of oil. On a day like this with oil up over 3.75 a barrel that should at least be positive, somethings wrong IMHO.

zab

[ZoZoStockWatch]

Posted by: MWM Date: Friday, February 13, 2009 2:55:02 PM
In reply to: BarbaraB who wrote msg# 190726 Post # of 190770 [Send a link via email]
The oil etfs follow further out contracts and they are actually down today...

http://www.nymex.com/lsco_fut_cso.aspx

[ZoZoStockWatch]

Posted by: MWM Date: Friday, February 13, 2009 3:11:34 PM
In reply to: BarbaraB who wrote msg# 190748 Post # of 190770 [Send a link via email]
Yes but notice those further out contracts are all down for the day, they are just covering the shorts on this current month which is driving the price up. The etf's follow say the june contracts which are down and thus that is why USO is down for the day...

[ChartReader]

connor26: observations UCO vs SCO (vs USO)

I can tell you that with respect to "benchmark index", USO (2X long) and SCO (2X short) appear to be in EXACTLY PERFECT balance (-5.46% and +5.38% respectively).

See comparison chart:

http://www.google.com/finance?q=INDEXAMEX%3ADBOLIX.X+DJAIGCL+UCO+SCO+DXO


However--DJAIGCL index is down about 4%.....so moves in BOTH UCO and SCO should be greater.

I SUSPECT has to do with fact that today (Friday) is "5th and FINAL day" of the "monthly roll" to next month's contracts:

"ProShares Ultra DJ-AIG Crude Oil seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones—AIG Crude Oil Sub-Index.
The Index consists of futures contracts on crude oil only.

The DJ—AIGCI rolls its contracts over the course of 5 consecutive business days, starting on the 6th business day of the month. Each day, 20% of each futures position that is included in the month’s roll is rolled. Not all contracts are rolled every month."


I'll try to do some calculations later.

--ChartReader

[jaj1]

How Contango Affects Crude Oil ETF's and ETN's (USO, OIL, DBO)

http://www.marketfolly.com/2009/01/how-contango-affects-crude-oil-etfs-and.html