Nanex Research

Nanex ~ 25-Jul-2013 ~ The Gas and Oil Price Distortion Field

At 15:15 Eastern Time every trading day, Platts captures the prices of NYMEX Heating Oil (symbol: HO) Futures (now called New York Harbor ULSD Futures) and RBOB (symbol: RB) Gasoline futures. They chose this time of day to align prices with exchanges in London: you can read all about it here. Imagine our surprise that the most active seconds of trading in HO and RB happen to be in the few seconds before 15:15pm ET - almost every day. Looking closely at the prices of these futures during this time was even more surprising. See for yourself in the charts below.

The first 3 charts show HO trading on July 16, 2013, Platts captured the price of $3.0546 (just 45 minutes earlier at 14:30, the trading session "closed" with an official settlement price of $3.0469). Note that Platt's essentially captured the peak in the short term price spike shown below! Now look a the charts below this first set, and you'll see this happens often. Very often. Finally, read the notice the CME put out just a few months ago.


When Heating Oil (HO) Futures activity peaks. See also this page for similar charts of Crude Oil and Natural Gas (which don't exhibit an explostion of activity at 15:15)

When RBOB Gasoline (RB) Futures activity peaks.

Now read this this notice from the CME:

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