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CMS/DUK

Utilities
z today -1.41
p-value (EG) 0.0102
β (log) 0.795
μ spread 0.4685
σ spread 0.0161
half-life 8.8 d
corr 18m 0.816
setup 1Y 0
bollinger 1Y 7
%b today 0.16

CMS — CMS Energy Corporation

Utilities - Regulated Electric · Utilities
CMS Energy Corporation operates as an energy company primarily in Michigan. The company operates through three segments: Electric Utility; Gas Utility; and NorthStar Clean Energy. The Electric Utility segment is involved in the generation, purchase, distribution, and sale of electricity. This segment generates electricity through coal, wind, gas, renewable energy, oil, and nuclear sources. Its distribution system comprises 263 miles of high-voltage distribution overhead lines; 4 miles of high-voltage distribution underground lines; 4,619 miles of high-voltage distribution overhead lines; 18 miles of high-voltage distribution underground lines; 82,854 miles of electric distribution overhead […]
Mkt cap: $23.3B Dipendenti: 8,350 Paese: United States sito ↗

DUK — Duke Energy Corporation

Utilities - Regulated Electric · Utilities
Duke Energy Corporation, through its subsidiaries, operates as an energy company in the United States. The company operates through two segments: Electric Utilities and Infrastructure (EU&I); and Gas Utilities and Infrastructure (GU&I). The EU&I segment generates, transmits, distributes, and sells electricity to customers in the Southeast and Midwest regions. It generates electricity through coal, hydroelectric, natural gas, oil, renewables, and nuclear fuel. This segment also engages in the wholesale of electricity to municipalities, electric cooperative utilities, and other load-serving entities. The GU&I segment distributes natural gas to customers in the residential, commercial, […]
Mkt cap: $101.9B Dipendenti: 26,441 Paese: United States sito ↗
Lo spread — il grafico chiave. La linea verde misura la “distanza” tra le due azioni: ln(CMS) − β·ln(DUK). 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, CMS e’ diventata cara rispetto a DUK; 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(VCMS, VDUK) < 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 — CMS / DUK

z attuale -1.41 · prezzi di carico presi alla chiusura piu' recente disponibile.

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