CTA · Core
Crack Spread CTA Sleeve
Refinery margin: long gasoline and distillate, short crude, in a stated ratio — energy RV rather than a WTI call.
Definition
3-2-1 or 5-3-2 style ratios map barrels of crude to product barrels. CTAs trade the crack as a spread with its own trend/MR signals. Outages, driving season, and export rules matter. Crude beta leaks if the ratio is wrong on a gap.
Why it matters
It is how you express ‘refineries are tight’ without a raw oil view. Diversified energy trend often ignores it and just stacks CL and RB.
Case
A sudden refinery outage: crack blows, crude may fall. The RV book is the one that was actually positioned for the story.
How to read it
Ratio stability and product slate (RBOB vs Eurobob, ULSD specs). US vs European cracks are different markets.
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