Author: Energy Research
CME Group Monthly Crude Oil Report
March
Summary
NYMEX Average Daily Volumes increased across the
petroleum futures complex in February as prices
rebounded from a month ago. Trading in the NYMEX
Light Sweet Crude Oil Futures (“WTI”) contract increased
by 29% to average at over 1 million contracts per day
in February. Open Interest in the contract was virtually
unchanged at 1.7 million contracts, up 17% compared
to December-2014. In tandem with rising trading
volumes, front-month settlement prices of the NYMEX
WTI contract increased by 7% to $51/barrel this month,
rebounding from their lowest level since 2009. The
spread between the US WTI and North Sea Brent crude
oils widened in February. The front-month NYMEX
WTI-Brent Financial Futures contract averaged at minus
$7/barrel compared to $2.40/barrel in January. Forward
curves for both the WTI and the Brent futures contracts
remained at contango structure, where prices for future
delivery months are above those of near-dated contracts.
The front-month contango in WTI averaged at about
$1/barrel this month, 40-cents wider than in January
as crude oil stocks continued to build. Globally, the EIA
estimated that OECD commercial oil inventories totaled
2.74 billion barrels at the end of 2014, the highest endof-year level on record and equivalent to roughly 58 days
of consumption. Similarly, US inventories of commercial
crude oil increased to their highest level since the 1930s,
reaching 444 million barrels at the end of February.
Volume and Open Interest in Key NYMEX Markets
OI*
OIL
ADV
This Month
Previous Month
Change
This Month
Previous Month Change
CL
WTI Futures
1,710,379
1,712,478
-0.12%
1,066,477
825,682
29%
BZ
Brent Futures
155,077
149,408
4%
159,104
137,213
16%
PRODUCTS
HO
ULSD Futures
371,456
389,634
-5%
181,638
162,353
12%
RB
RBOB Futures
352,350
375,938
-6%
178,309
153,536
16%
* OI as of the last business day of the month
• Volumes
continued to increase across the oil space in February. Trading in NYMEX WTI went up 29% to over 1 million
contracts per day. Open Interest in the contract was virtually unchanged. Trading in ULSD and RBOB futures was also
stronger, with ADVs increasing by 12% and 16% respectively. Brent Futures volumes were up 16% while Open Interest
gained 4% to 155,000 in February.
cmegroup.com Monthly Crude Oil Report | March 2015 | 1
60
1.2
50
1.0
40
0.8
30
0.6
20
0.4
10
0.2
0
0.0
15
2/
27
/1
5
2/
16
/
2/
5
15
1/
25
/
1/
14
/
1/
3
Volume
/1
5
1.4
15
70
/1
5
1.6
Price
NYMEX Brent Last Day Futures
80
250
USD per Barrel
70
200
60
50
150
40
100
30
20
50
10
0
27
/1
5
5
2/
2/
16
/1
15
2/
5/
5
/1
25
1/
14
/
15
15
3/
1/
1/
12
/2
3/
14
/1
4
/1
2
12
12
/1
/
14
0
Volume
1
Thousands of Contracts
•Average spot month of NYMEX
Brent Last Day Futures went
up 18% ($9/b) to $59/barrel
in February compared to
prior month.
USD per Barrel
•While the recent oil price declines
halted in February, the longer-term
implications of prices on supply
side fundamentals remains to be
seen. The EIA expects the recent
downturn in oil prices to have
minimal direct impact on US Gulf
of Mexico crude oil production
through 2016.
80
Millions of Contracts
•Average Spot month NYMEX Light
Sweet Crude Oil Futures prices
increased by 7% (or $4.00/b) to
$51/barrel in February compared
to prior month.
NYMEX Light Sweet Crude Oil
12
/1
/1
4
12
/1
2/
14
12
/2
3/
14
Benchmark Crude
Prices1
Price
Source: CME Group
cmegroup.com Monthly Crude Oil Report | March 2015 | 2
•The front contango in NYMEX
Light Sweet Crude Oil Futures
averaged at about $1/b, 40-cents
wider than in January, crude oil
stocks continued to build.
•US commercial crude oil
inventories in February are at the
highest level since the 1930s.
0.00
USD per Barrel
-2.00
-4.00
-6.00
-8.00
27
/1
5
16
/
2/
2/
15
15
5/
2/
1/
2
5/
15
15
1/
14
/
1/
3
23
/1
5
/1
4
14
12
/
12
/
12
/
1/
14
-10.00
12
/
•The spot month NYMEX WTI vs.
Brent Futures price averaged at
minus $7 in February, the largest
spread in a year, and widened by
nearly $5 since January.
WTI Brent Spread Futures Prices
WTI Month 1-2 Spread
0.00
USD per Barrel
•The increase in WTI prices in
February was smaller than those
of Brent, which made the spread
between the two benchmarks
larger. The spread also affects
the prices of many other types of
crude oil that use these two crudes
as benchmarks.
-0.50
-1.00
-1.50
-2.00
5
5
2/
2/
2/
22
27
/1
/1
5
17
/1
/1
12
2/
2/
2/
2/
7/
1
5
5
15
-2.50
WTI Forward Price Curve
75
USD per Barrel
70
65
60
55
50
45
40
1
6
11
16
21
26
31
36
41
46
51
Contract Month
Feb-15
cmegroup.com Jan-15
Monthly Crude Oil Report | March 2015 | 3
220
200
180
160
140
•Crude oil inventories continued
to build in February, supported by
relatively weak prices and robust
production.
2
15
2/
4/
14
8/
4/
Cushing Stocks
60
50
40
30
20
10
Series4
15
2/
4/
14
8/
4/
14
2/
4/
13
8/
4/
13
2/
4/
12
8/
4/
12
2/
4/
11
8/
4/
11
0
2/
4/
Thousand Barrels
•Capacity is about 67% full in
Cushing, Oklahoma (the delivery
point for West Texas Intermediate
futures contracts), compared
with 50% at this point last year,
EIA noted.
14
Weekly
Series4
•Crude oil inventory data for the
week ending February 20 show
that total utilization of crude oil
storage capacity in the United
States stands at approximately
60%, compared with 48% at the
same time last year, according to
the EIA.
2/
4/
13
8/
4/
13
2/
4/
12
8/
4/
11
8/
4/
2/
4/
12
120
11
•Most US crude oil stocks are held
in the Midwest and Gulf Coast,
where storage tanks were at 69%
and 56% of capacity, respectively,
as of February 20, the EIA said.
240
2/
4/
•U.S. commercial crude oil
inventories in February are at
the highest level since the 1930s
(providing the most days of forward
coverage since February 1986).
Gulf Coast Stocks
Thousand Barrels
US Crude Oil Inventories2
Weekly
Source: EIA
cmegroup.com Monthly Crude Oil Report | March 2015 | 4
400
6
300
4
200
2
100
0
0
01
1
Au
g
Fe
b
27
,2
27
,2
Au
g
27
,2
01
Fe
2
b
27
,2
01
Au
3
g
27
,2
01
Fe
3
b
27
,2
01
Au
4
g
27
,2
01
Fe
4
b
27
,2
01
5
8
01
2
500
01
1
Millioin Barrels per Day
10
Exports
Imports
Refined Products
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
27
,2
01
Au
2
g
27
,2
01
Fe
2
b
27
,2
01
Au
3
g
27
,2
01
Fe
3
b
27
,2
01
Au
4
g
27
,2
01
Fe
4
b
27
,2
01
5
01
Fe
b
27
,2
Au
g
Fe
b
1
1
0.0
27
,2
01
•Barring unusually high unplanned
outages, planned refinery outages
that extend beyond the planned
time frame, or higher-thanexpected demand, supply of
gasoline and distillate should be
adequate in all regions during the
first half of 2015, the EIA said.
600
Millioin Barrels per Day
•Driven by a jump in distillate fuel
exports, US refined products
exports increased by 9% to 3.8
million barrels per day in February
12
27
,2
•The increase in US shale and
tight crude oil production has
resulted in a decrease of crude
oil imports to the US Gulf Coast
area, particularly for light-sweet
and light-sour crude oils. Since
September 2012, imports of lightsweet crude oil to the Gulf Coast
have regularly been less than
200,000 b/d, said the EIA.
Fe
b
•Exports of crude oil jumped
another 13% to 490,000 barrels
per day in February, setting
another consecutive all-time high
on growing production.
Crude Oil
Thousand Barrels per Day
US Crude Oil and
Products Trade3,4
Exports
Imports
Exports are restricted to: (1) crude oil derived from fields under the State waters of Alaskan Cook Inlet; (2) Alaskan North Slope crude oil; (3) certain
domestically produced crude oil destined for Canada; (4) shipments to U.S. territories; and (5) California crude oil to Pacific Rim countries.
3
Source: EIA
4
cmegroup.com Monthly Crude Oil Report | March 2015 | 5
WTI Market Participation – CFTC Commitment of Traders5,6
Commercial
Swap Dealer
600,000
500,000
500,000
400,000
400,000
300,000
300,000
200,000
200,000
100,000
100,000
Long
Money Manager
Longs
Short
2/
24
/1
5
2/
24
/1
4
2/
24
/1
3
1
2/
24
/1
2
Short
Long
0
2/
24
/1
15
2/
24
/
2/
24
/
14
13
2/
24
/
2/
24
/
2/
24
/
11
12
0
Spread
1,000,000
500,000
800,000
400,000
600,000
300,000
400,000
200,000
200,000
100,000
Other
Money Manager
15
Swap Dealer
Commercial
0
Money Manager
Swap Dealer
Commercial
5
http://www.cmegroup.com/trading/energy/cftc-tff/main.html
6
Source: CFTC
cmegroup.com 24
/1
2/
2/
24
/1
2/
2/
24
/1
Other
Other
Money Manager
15
0
2/
24
/
200,000
14
200,000
2/
24
/
400,000
1
400,000
5
600,000
24
/1
4
600,000
2/
24
/1
3
800,000
2/
24
/1
2
800,000
1
1,000,000
2/
24
/1
3
Spreads
1,000,000
2/
24
/1
2
Shorts
24
/
2/
Spread
2/
24
/
24
/
2/
Short
13
11
15
24
/
24
/
2/
0
2/
Long
14
13
2/
24
/
12
2/
2/
24
/
24
/
11
0
Swap Dealer
Monthly Crude Oil Report | March 2015 | 6
300
2.50
•US refinery crude oil inputs are
hovering around historic highs on
increasing yields of distillate and
light fuels.
250
2.00
200
1.50
150
1.00
100
0.50
50
0.00
2/
2/
27
/1
5
15
16
/
15
5/
2/
1/
2
5/
15
15
1/
14
/
12
/
1/
3/
15
14
12
/
12
/
1/
14
12
/
23
/1
4
0
Volume
Price
NYMEX RBOB Futures
Cents per Gallon
2.00
250
200
1.50
150
1.00
100
0.50
50
0.00
27
/1
2/
16
2/
5
5
/1
15
5/
2/
/1
25
1/
Price
14
12
/2
2/
1
12
/2 4
9/
1/ 14
5/
1
1/ 5
12
/1
1/ 5
19
/1
5
1/
26
/1
2/ 5
2/
1
2/ 5
9/
1
2/ 5
16
/1
5
2/
23
/1
5
5/
/1
12
/8
12
/1
12
/1
4
50
45
40
35
30
25
20
15
10
5
/1
4
USD per Barrel
Crack Spreads
HO
7
5
15
14
/
3/
1/
1/
12
15
14
3/
/2
/1
12
12
/1
2/
14
/1
4
0
Volume
•US diesel prices are stronger
relative to gasoline, which provides
incentives to refiners to shift some
production toward distillates for
the export market.
Thousand Contracts
•Front-month NYMEX RBOB Futures
increased by 20% to average at
$1.6/gallon in February. The rate of
increase was significantly greater
than that of crude oil, which led
to a nearly two-fold increase in
RBOB cracks ahead of the refinery
maintenance season.
Thousands of Contracts
•Front-month NYMEX ULSD
Futures increased by 17%
to average $1.96/gallon in
February. ULSD cracks were also
significantly stronger this month,
with the front-month gaining 38%
to average at $32/barrel.
NYMEX ULSD Futures
Cents per Gallon
Refined Products7
RBOB
Source: CME Group
cmegroup.com Monthly Crude Oil Report | March 2015 | 7
120
1.50
100
1.25
80
1.00
60
0.75
40
0.50
20
0.25
0
0.00
2/
27
/
3/ 14
29
/
4/ 14
28
/
5/ 14
28
/
6/ 14
27
/1
7/ 4
27
/
8/ 14
26
/
9/ 14
25
/1
10
4
/2
5/
1
11
/2 4
4/
14
12
/2
4/
1/ 14
23
/
2/ 15
22
/1
5
USD per Euro
•Starting in the second half of 2014,
crude oil and currency market
movements reflected diverging
monetary policy, economic growth,
and inflation expectations for the
United States compared to the
rest of the world. The US dollar has
been appreciating relative to most
other currencies.
Crude Oil vs. Euro Futures Prices
USD per Barrel
Cross-Asset Charts8
Crude Futures
Eurodollar Futures
Crude Oil vs. Equity Historical Volatility
100%
USD per Euro
USD per Barrel
80%
60%
40%
20%
3/
2/
27
/1
4
27
/1
4/ 4
27
/
5/ 14
27
/
6/ 14
27
/
7/ 14
27
/
8/ 14
27
/
9/ 14
27
10 /14
/2
7
11 /14
/2
7
12 /14
/2
7/
1/ 14
27
/
2/ 15
27
/1
5
0%
NYMEX Light Sweet Crude Oil Futures
CME S&P 500 Index Futures
8
Source: CME Group
cmegroup.com Monthly Crude Oil Report | March 2015 | 8
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PM1333/00/0315