HO · Energy / Crack Spread Seasonal
Z8186 – [HO] HO-CL Winter Crack Spread Signal
Elevated NYMEX HO-WTI crack spread during winter cold snaps signals heating-demand-driven margin expansion that transmits bullish to Heating Oil via tightening distillate supply versus crude cost. Spring compression signals the opposite.
At a glance
Current reading
-0.995
Signal state
Moderate NEG
337 days in Stress phase
Phase
-2.98
Positive equals winter crack elevated regime; negative equals spring crack compressed…
Sample
Multi-year window
Daily cadence
As of Nov 09, 2026. Updated nightly.
SIGNAL OVERVIEW
Elevated NYMEX HO-WTI crack spread during winter cold snaps signals heating-demand-driven margin expansion that transmits bullish to Heating Oil via tightening distillate supply versus crude cost. Spring compression signals the opposite as heating demand wanes and crack margins normalize. The signal takes NYMEX Heating Oil minus WTI crack spread with winter-cold-snap conditioning, z-scored against 252-day window. The empirical phase pattern (see regime table) shows Phase +1 (Winter crack elevated) delivers +1.78 pp edge on 45 percent sample; Phase -1 (Spring crack compressed) delivers -1.04 pp on 35 percent sample. 2.82 pp spread via the winter-cold-snap crack spread channel.
LIVE CHART
HO HO-CL Winter Crack Spread Signal
What the chart is showing right now. The dark line is the HO-CL Winter Crack Spread 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 winter crack elevated regime; negative composite reflects spring crack compressed regime.
COMPOSITE
-0.995 / tanh
STATE
Moderate NEG
PHASE
-2.98
PHASE +1 EDGE
+1.78 pp
PHASE -1 EDGE
-1.04 pp
TODAY’S PLAYBOOK READING
STATE
Moderate Neg
STATE AND HISTORY
HO-CL Winter Crack Spread signal firing at composite -0.995, 337 trading days running in current phase.
THE MECHANISM
The signal takes NYMEX Heating Oil minus WTI crack spread with winter-cold-snap conditioning, z-scored against 252-day window.
HOW TO POSITION
HO-CL Winter Crack Spread overlay for Heating Oil. Phase +1 firings reflect winter crack elevated regime. Phase -1 firings reflect spring crack compressed regime.
WHAT THE CHART SHOWS
The composite sits at -0.995 in the current band. HO-CL Winter Crack Spread signal reading in current regime.
TOP INPUTS FIRING
- Primary composite -0.995 State Moderate NEG, 337 days running in current phase.
- 2.82 pp spread, winter-cold-snap crack spread channel Phase +1 edge +1.78 pp on 45 percent sample; Phase -1 edge -1.04 pp on 35 percent sample via winter-cold-snap crack spread channel.
THE TAKEAWAY
What this means for you today
THE CALL
Composite -0.995, current state Moderate NEG. HO-CL Winter Crack Spread signal reading in current band.
THE EMPIRICAL CONTEXT
Phase +1 edge +1.78 pp on 45 percent sample. Phase 0 edge -2.32 pp on 19 percent sample. Phase -1 edge -1.04 pp on 35 percent sample. 2.82 pp spread.
THE HONEST CAVEAT
Signal most active during winter months (November to March). Cold-snap conditioning introduces regime-dependent sensitivity. Does not separate heating-demand stress from other refinery-wide margin drivers. 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-cold-snap crack spread channel.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Winter crack elevated | +1 | 45.4% (4209 d) | +4.65% | +1.78pp | Jan 2025, Mar 2020, Dec 2019 | |
| Normal | 0 | 19.4% (1797 d) | +0.54% | -2.32pp | Apr 2025, Dec 2024, Oct 2024 | |
| Spring crack compressed TODAY | -1 | 35.2% (3269 d) | +1.82% | -1.04pp | Jul 2025, Nov 2024, Mar 2022 |
The historical pattern
Signature episodes
THE TRACK RECORD
Every state change in the last 2 years
5 state transitions from 11/11/2024 to 11/09/2026. Full history (90 total transitions since 12/01/1989) is downloadable.
| State | Start | End | Duration | Fwd 60d HO |
|---|---|---|---|---|
| Defensive | 11/11/2024 | 12/09/2024 | 20d | +0.34% |
| Neutral | 12/10/2024 | 01/09/2025 | 21d | -7.00% |
| Expansion | 01/10/2025 | 04/09/2025 | 62d | -14.47% |
| Neutral | 04/10/2025 | 07/09/2025 | 61d | +18.96% |
| Defensive LIVE | 07/10/2025 | current | 337d | +6.93% |
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 NYMEX HO-WTI crack spread during winter cold snaps signals heating-demand-driven margin expansion that transmits bullish to Heating Oil via tightening distillate supply versus crude cost. Spring compression signals the opposite as heating demand wanes and crack margins normalize. The signal takes NYMEX Heating Oil minus WTI crack spread with winter-cold-snap conditioning, z-scored against 252-day window. Target NYMEX Heating Oil front-month continuous.
Why it matters
Why HO-CL Winter Crack Spread matters for Heating Oil
Elevated NYMEX HO-WTI crack spread during winter cold snaps signals heating-demand-driven margin expansion that transmits bullish to Heating Oil via tightening distillate supply versus crude cost. Spring compression signals the opposite as heating demand wanes and crack margins normalize. The signal takes NYMEX Heating Oil minus WTI crack spread with winter-cold-snap conditioning, z-scored against 252-day window. Transmission is via the winter-cold-snap crack spread channel.
How to use this signal today
HO-CL Winter Crack Spread overlay for Heating Oil. Phase +1 firings reflect winter crack elevated regime; Phase -1 firings reflect spring crack compressed. Pair with companion Heating Oil signals listed in Related.
Risk overlay
Three limitations. Signal most active during winter months (November to March). Cold-snap conditioning introduces regime-dependent sensitivity. Does not separate heating-demand stress from other refinery-wide margin drivers. 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 04:03 PM ET