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Whitepaper

Trading Energy Futures: Correlation Analysis Between Diesel USGC/ARA Arbs and GO Futures Time Spread

27th March 2024

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This research studies the relationship between the US Gulf Coast (USGC) to Amsterdam-Rotterdam-Antwerp (ARA) Diesel arbitrage margin and the ICE Gas Oil (GO) Futures Time Spread. Our findings reveal a statistically significant negative correlation between the arbitrage margin and the futures spread during the summer months. This aligns with the interpretation that an influx of diesel supply from the US to Europe should lead to a reduction in front-month futures spread returns.

About the authors

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Sam Vu

Senior Data Scientist

Sam Vu is Senior Data Scientist at Sparta. He previously held similar positions at bulge bracket investment banks. Sam holds a Master of Science from Oxford University.

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Claudio Bellei

Head of Data Science

Claudio Bellei is Head of Data Science for Sparta. After spending a few years working on nuclear fusion in the US and in Europe under a Marie Curie Fellowship, he left academia to pursue a career in data science. Claudio holds a Ph.D. from Imperial College London.

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Miles Moseley

Co-Founder and COO

Miles Moseley is Co-Founder and COO of Sparta. Miles leads daily operations at Sparta. He makes sure ideas are converted into realities. Before Sparta Miles worked and traded for BP.

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