Gasoline Distillate Crack Spread
In plain terms
When gasoline ETF rallies vs crude ETF (a wide crack spread), refiners benefit; when it compresses, they suffer.
How it works
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.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Reported return
- 80-180 bps over 5-20d (modeled)
- Tested over
- 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
When US crude inventories start drawing down faster than usual (a sign refineries are running hot), refiner stocks (VLO/MPC/PSX) tend to outperform for a couple of weeks.
When refinery utilization runs unusually low for the time of year, refiners tend to drift down on margin compression - we sell short for 5-10 days.
A bigger-than-seasonal crude draw lifts the broad E&P basket for the next few trading days.
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