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AEE/CNP

Utilities
z today 1.66
p-value (EG) 0.0027
β (log) 0.865
μ spread 1.4537
σ spread 0.0167
half-life 8.4 d
corr 18m 0.816
setup 1Y 1
bollinger 1Y 7
%b today 0.33

AEE — Ameren Corporation

Utilities - Regulated Electric · Utilities
Ameren Corporation, together with its subsidiaries, operates as a public utility holding company in the United States. The company operates through four segments: Ameren Missouri, Ameren Illinois Electric Distribution, Ameren Illinois Natural Gas, and Ameren Transmission. It engages in the rate-regulated electric generation, transmission, and distribution business and natural gas transmission and distribution business. The company also generates electricity through coal, nuclear, and natural gas, as well as renewable energy, including hydroelectric, wind, methane gas, and solar energy centers. It serves residential, commercial, and industrial customers. Ameren Corporation was founded in […]
Mkt cap: $29.2B Dipendenti: 8,913 Paese: United States sito ↗

CNP — CenterPoint Energy, Inc.

Utilities - Regulated Electric · Utilities
CenterPoint Energy, Inc. operates as a public utility holding company in the United States. The company operates through Electric; Natural Gas; and Corporate and Other segments. The Electric segment provides electric transmission and distribution services to electric customers and electric generation assets, as well as optimizes assets in the wholesale power market in Indiana Electric's service territory. The Natural Gas segment engages in the intrastate natural gas sales, and natural gas transportation and distribution for residential, commercial, and industrial customers in Indiana, Minnesota, Ohio, and Texas; permanent pipeline connections through interconnects with various interstate […]
Mkt cap: $25.9B Dipendenti: 8,794 Paese: United States sito ↗
Lo spread — il grafico chiave. La linea verde misura la “distanza” tra le due azioni: ln(AEE) − β·ln(CNP). La riga orizzontale al centro e’ il suo valore medio (μ), la banda grigia l’oscillazione normale (±σ e ±2σ). Come leggerlo: finche’ la linea resta nella banda le due azioni sono in equilibrio. Quando esce in alto, AEE e’ diventata cara rispetto a CNP; quando esce in basso, il contrario. Piu’ e’ lontana dal centro (z elevato), piu’ ci si aspetta che rientri: e’ li’ che nasce il segnale di pair trading.
Setup contrarian: RSI(14) < 30 (ipervenduto) o > 70 (ipercomprato) sullo spread daily, in concomitanza con volume aggregato min(VAEE, VCNP) < SMA(20). Volume basso in fase estrema = forza del movimento in esaurimento ⇒ mean reversion più probabile. Le zone gialle sul grafico evidenziano i giorni triggered.
Setup volatilità: %b > 1 (spread sopra banda superiore ⇒ short spread) o %b < 0 (sotto banda inferiore ⇒ long spread), in concomitanza con BandWidth in pendenza piatta o negativa su 5 giorni (volatilità non in espansione ⇒ movimento esaurito). Bande di Bollinger SMA(20) ± 2σ rolling. Le zone gialle evidenziano i giorni triggered.

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Registra trade — AEE / CNP

z attuale 1.66 · prezzi di carico presi alla chiusura piu' recente disponibile.

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