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Quantitative Finance · Begrippenlijst

Wat is Quality spread?

Definition 21.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Hoofdstuk 21 — Commodity Spreads

A quality spread is the price difference between two grades of one commodity (light sweet against heavy sour crude, high- against low-protein wheat), set by the cost of processing the lower grade into the products of the higher one.

Monthly means of the New York Harbor 3-2-1 crack spread and of Brent minus WTI, from EIA daily spot prices, June 2006 to September 2026. Data: EIA via FRED; s2_fetch_spreads.py.
Figure 21.1. Monthly means of the New York Harbor 3-2-1 crack spread and of Brent minus WTI, from EIA daily spot prices, June 2006 to September 2026. Data: EIA via FRED; s2_fetch_spreads.py.
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