HO · Energy / Term Structure
Z3676 – [HO] HO L1-L6 Winter Carry Signal
Elevated L1-L6 Heating Oil carry reflects premium pricing on near-term winter-heating contracts relative to summer-grade deferred contracts and transmits bullish via the seasonal winter-demand term-carry channel.
At a glance
Current reading
+0.781
Signal state
Extreme POS
98 days in Healthy phase
Phase
+0.93
Positive equals carry elevated regime; negative equals carry compressed regime.
Sample
Multi-year window
Daily cadence
As of Nov 09, 2026. Updated nightly.
SIGNAL OVERVIEW
Elevated L1-L6 Heating Oil carry reflects premium pricing on near-term winter-heating contracts relative to summer-grade deferred contracts and transmits bullish via the seasonal winter-demand term-carry channel. The signal takes Heating Oil L1 minus L6 nearby proportional spread, z-scored, tanh-bounded. The empirical phase pattern (see regime table) shows Phase +1 (Carry elevated) delivers +1.23 pp edge on 43 percent sample; Phase -1 (Carry compressed) delivers -0.22 pp on 43 percent sample. 1.45 pp spread via the winter-heating term carry channel.
LIVE CHART
HO HO L1-L6 Winter Carry Signal
What the chart is showing right now. The dark line is the HO L1-L6 Winter Carry composite value, tanh-bounded. The bronze line in the middle panel is NYMEX Heating Oil front-month continuous close. The bottom panel tracks the trailing 252-day Spearman information coefficient. Positive composite reflects carry elevated regime; negative composite reflects carry compressed regime.
COMPOSITE
+0.781 / tanh
STATE
Extreme POS
PHASE
+0.93
PHASE +1 EDGE
+1.23 pp
PHASE -1 EDGE
-0.22 pp
TODAY’S PLAYBOOK READING
STATE
Extreme Pos
STATE AND HISTORY
HO L1-L6 Winter Carry signal firing at composite +0.781, 98 trading days running in current phase. Phase +1 delivers plus 3.94 percent Heating Oil fwd60d; Phase -1 delivers plus 2.48 percent.
THE MECHANISM
The signal takes Heating Oil L1 minus L6 nearby proportional spread, z-scored, tanh-bounded.
HOW TO POSITION
HO L1-L6 Winter Carry overlay for Heating Oil. Phase +1 firings reflect carry elevated regime. Phase -1 firings reflect carry compressed regime. Pair with related HO signals for stacked conviction.
WHAT THE CHART SHOWS
The composite sits at +0.781 in the current band. HO L1-L6 Winter Carry signal reading in current regime through late 2026.
TOP INPUTS FIRING
- Primary composite +0.781 State Extreme POS, 98 days running in current phase.
- 1.45 pp spread, winter-heating term carry channel Phase +1 edge +1.23 pp on 43 percent sample; Phase -1 edge -0.22 pp on 43 percent sample via winter-heating term carry channel.
THE TAKEAWAY
What this means for you today
THE CALL
Composite +0.781, current state Extreme POS. HO L1-L6 Winter Carry signal reading in current band through late 2026. Phase Healthy firing for 98 trading days.
THE EMPIRICAL CONTEXT
Phase +1 edge +1.23 pp on 43 percent sample. Phase 0 edge -2.94 pp on 14 percent sample. Phase -1 edge -0.22 pp on 43 percent sample. 1.45 pp spread.
THE HONEST CAVEAT
Strong seasonal component that z-score partially normalizes. Compressed during oversupply periods regardless of winter demand. Signal does not capture per-nearby grade-transition dynamics. Daily IC not individually significant on all sampling windows.
THE REGIME MAP
The three phases, Heating Oil forward returns and sample share
Regime table captures phase-conditional edges on Heating Oil forward 60-day returns from live-window trading days. Phase +1 minus Phase -1 spread via the winter-heating term carry channel.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Carry elevated TODAY | +1 | 42.8% (3864 d) | +3.94% | +1.23pp | Jun 2026, Feb 2026, Jan 2026 | |
| Normal | 0 | 14.4% (1302 d) | -0.23% | -2.94pp | Jun 2026, Feb 2026, Jan 2026 | |
| Carry compressed | -1 | 42.7% (3857 d) | +2.48% | -0.22pp | Jan 2026, Oct 2025, Aug 2025 |
The historical pattern
Signature episodes
THE TRACK RECORD
Every state change in the last 2 years
32 state transitions from 01/09/2025 to 11/09/2026. Full history (521 total transitions since 12/03/1990) is downloadable.
| State | Start | End | Duration | Fwd 60d HO |
|---|---|---|---|---|
| Neutral | 01/09/2025 | 01/10/2025 | 2d | -14.44% |
| Expansion | 01/13/2025 | 01/17/2025 | 5d | -5.64% |
| Neutral | 01/21/2025 | 01/31/2025 | 9d | -12.83% |
| Expansion | 02/03/2025 | 02/03/2025 | 1d | -7.23% |
| Neutral | 02/04/2025 | 02/28/2025 | 18d | -7.20% |
| Defensive | 03/03/2025 | 03/03/2025 | 1d | +0.68% |
| Neutral | 03/04/2025 | 03/05/2025 | 2d | +2.29% |
| Defensive | 03/06/2025 | 04/01/2025 | 19d | +3.49% |
| Neutral | 04/02/2025 | 04/02/2025 | 1d | +9.45% |
| Defensive | 04/03/2025 | 06/12/2025 | 49d | +15.08% |
| Neutral | 06/13/2025 | 06/30/2025 | 11d | +9.25% |
| Expansion | 07/01/2025 | 07/25/2025 | 18d | +6.73% |
| Neutral | 07/28/2025 | 08/04/2025 | 6d | +5.39% |
| Defensive | 08/05/2025 | 08/05/2025 | 1d | +9.46% |
| Neutral | 08/06/2025 | 08/13/2025 | 6d | +7.44% |
| Defensive | 08/14/2025 | 08/14/2025 | 1d | +4.03% |
| Neutral | 08/15/2025 | 09/24/2025 | 28d | +5.91% |
| Expansion | 09/25/2025 | 09/25/2025 | 1d | +3.24% |
| Neutral | 09/26/2025 | 09/30/2025 | 3d | +3.48% |
| Expansion | 10/01/2025 | 10/01/2025 | 1d | +3.27% |
| Neutral | 10/02/2025 | 10/14/2025 | 9d | +2.78% |
| Defensive | 10/15/2025 | 10/16/2025 | 2d | +4.51% |
| Neutral | 10/17/2025 | 10/22/2025 | 4d | +3.91% |
| Expansion | 10/23/2025 | 12/11/2025 | 35d | +2.03% |
| Neutral | 12/12/2025 | 01/05/2026 | 15d | -2.30% |
| Defensive | 01/06/2026 | 01/12/2026 | 5d | -5.20% |
| Neutral | 01/13/2026 | 01/16/2026 | 4d | -2.06% |
| Expansion | 01/20/2026 | 02/11/2026 | 17d | +3.55% |
| Neutral | 02/12/2026 | 02/17/2026 | 3d | +8.52% |
| Expansion | 02/18/2026 | 06/15/2026 | 82d | +9.02% |
| Neutral | 06/16/2026 | 06/22/2026 | 4d | +1.86% |
| Expansion LIVE | 06/23/2026 | current | 98d | +3.96% |
Scroll inside the table for the full history. Forward 60-day HO is measured from each run’s start date; a reader cannot trade off a start-date they only identify in hindsight, so this is a transparency log, not an alpha claim. Asterisked (*) returns are partial. The run is less than 60 trading days old. The full 60-day comparable fills in as more data arrives.
What this measures
Elevated L1-L6 Heating Oil carry reflects premium pricing on near-term winter-heating contracts relative to summer-grade deferred contracts and transmits bullish via the seasonal winter-demand term-carry channel. The signal takes Heating Oil L1 minus L6 nearby proportional spread, z-scored, tanh-bounded. Target NYMEX Heating Oil front-month continuous.
Why it matters
Why HO L1-L6 Winter Carry matters for Heating Oil
Elevated L1-L6 Heating Oil carry reflects premium pricing on near-term winter-heating contracts relative to summer-grade deferred contracts and transmits bullish via the seasonal winter-demand term-carry channel. The signal takes Heating Oil L1 minus L6 nearby proportional spread, z-scored, tanh-bounded. Transmission is via the winter-heating term carry channel.
How to use this signal today
HO L1-L6 Winter Carry overlay for Heating Oil. Phase +1 firings reflect carry elevated regime; Phase -1 firings reflect carry compressed. Pair with companion HO signals listed in Related.
Risk overlay
Three limitations. Strong seasonal component that z-score partially normalizes. Compressed during oversupply periods regardless of winter demand. Signal does not capture per-nearby grade-transition dynamics. Daily IC not individually significant on all sampling windows.
Signal consumers and siblings
Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.
Last refreshed Nov 10, 2026 03:37 PM ET