Trading Energy Futures: Correlation Analysis Between RBOB ARA/NYH Transatlantic Arbs and RBOB Futures Time Spread

8th March 2024

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This research investigates the relationship between the Amsterdam-Rotterdam- Antwerp (ARA) to New York Harbour (NYH) RBOB gasoline arbitrage margin and the RBOB Gasoline Futures Time Spread. We show that there is a statistically significant negative correlation between the arb and the futures spread, in line with the interpretation that a supply of gasoline from Europe to the US should result in a decrease in the front month futures spread returns.

About the authors


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.


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.


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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