gasoline distillate crack spread
What it checks
When gasoline ETF rallies vs crude ETF (a wide crack spread), refiners benefit; when it compresses, they suffer.
Mechanism
Refiner crack-spread divergence from norm passes through to refiner-tier (VLO/MPC/PSX/PBF) relative performance in 1-2w. We proxy the 2:1 crack via log(UGA)-log(USO) ETF spread.
Signal rule
252d rolling z of (log UGA - log USO); z >= +1.0 -> LONG refiner tier; z <= -1.0 -> SHORT same. Hold 5/10/20d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- 80-180 bps over 5-20d (modeled)
- Paper window
- T+1 to T+20d
Considine 2002 / Geman-Smith 2013 spread-passthrough; internal target 80-180 bps over 5-20d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
eia refinery utilization driftCommoditiesEIA weekly refinery utilization surprise vs trailing-52w same-week mean. Strong throughput = strong crack spread = LONG refiner equities (VLO/MPC/PSX/HFC).
refinery utilization zEnergyBorenstein-Bushnell framework: sustained throughput shortfall vs 5y same-week baseline is the cleanest exogenous shock to refiner equity. Low EIA utilization (z <= -1) -> forced-outage or demand slowdown -> SHORT refiners 5-10d.
eia crude storage surprise v2CommoditiesEIA weekly crude-storage surprises proxy inventory pressure in the WTI complex. Large bullish draws tend to lift a broader E&P basket over the next few sessions.
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