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
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: