Arbitrage with Brent-WTI

22 July 2021 199
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In addition to the previous idea to sell Brent oil, it is also possible to suggest a more flexible and secure way to enter the market that is based on statistical arbitrage of the two leading oil sorts.

From the beginning of the year, the quotes of the higher quality WTI oil were ahead of Brent. Starting from July, we have been observing a price anomaly – the northern Brent started surpassing WTI, and as for today the spread between Brent and WTI has reached almost $2.

And a situation like this is creating good conditions for an arbitrage move: sell Brent and buy WTI in equal volumes.

Then secure you profit when the quotes of the two oils cross or the difference between them becomes minimal. 

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