PSX vs XOM 10-session relative return after Brent -2% days with PSX up
When Brent falls more than 2% and PSX still closes green, the refiner is usually saying something about product cracks and cheaper feedstock. The tape has largely agreed. Across 39 such days in the past three years, PSX beat XOM over the following 10 sessions in two-thirds of cases, with a median relative gain north of 2 percentage points — and the median sitting above the mean argues no single blowout window is carrying the result.
That conditional edge also runs well ahead of the 0.57% average spread on the 679 ordinary days, which is the interesting part. The uninteresting part is confidence: a t-stat near 1.93 leaves roughly a 6-in-100 chance this is luck, and the 39 triggers overlap heavily, so the true number of independent bets is smaller than it looks.
The full breakdown of windows, baselines and distributions follows.
Over the past ~3 years, when Brent crude's one-day return is below -2% but PSX closes higher on the day, does PSX outperform XOM over the next 10 trading sessions? I expect a refiner that rallies on a sharp crude down-spike to be pricing feedstock-cost relief and widening product cracks, so its relative strength against the integrated major persists.
How this was measured
Resampled PSX and XOM minute bars to daily closes and intersected them on a common trading calendar. Reindexed Brent daily closes onto that calendar with forward-fill and computed one-day returns. A qualifying day is one where Brent's one-day return is below -2% while PSX's same-day close-to-close return is positive. For each qualifying day, measured the close-to-close return over the next 10 trading sessions for PSX and XOM, and the difference PSX minus XOM. Compared that conditional edge against zero using a one-sample t-test, and against the non-qualifying-day 10-session PSX-XOM baseline.
The key numbers
Reading the numbers
There were 39 days matching the setup. PSX beat XOM over the next 10 sessions in about two-thirds of them, with an average edge of +1.67% versus a +0.57% baseline, but the p-value of 0.061 means that result could still be chance.
The charts
Each dot is one of the 39 trigger days: farther left means Brent fell harder, from -2.05% to -12.35%, and higher means PSX did better than XOM over the next 10 sessions. The dots are widely scattered, from -8.7% to +16.5%, with many above zero and an average of +1.67%. So the average PSX edge is positive, but individual outcomes are very inconsistent, which helps explain why the 67% win rate does not become a statistically clean edge.
This bar chart breaks the 10-session result into three averages: PSX +2.41%, XOM +0.74%, and the PSX-minus-XOM gap +1.67%. The PSX bar is taller than XOM's, which is the core of the feedstock-relief trade: on average the refiner did outperform the integrated major after those crude down-spikes. But that +1.67% gap is the same one the t-test says is not distinguishable from zero at the 5% level, so the visual separation is suggestive rather than conclusive.
Qualifying days and following 10-session returns
| date | brent_1d_ret | psx_1d_ret | psx_10d_fwd | xom_10d_fwd | psx_minus_xom_10d |
|---|---|---|---|---|---|
| 2023-10-16 | -0.0354 | 0.0102 | 0.0052 | -0.0388 | 0.0439 |
| 2023-10-31 | -0.0431 | 0.0054 | 0.0193 | -0.0053 | 0.0246 |
| 2023-11-15 | -0.0214 | 0.0013 | 0.1293 | -0.0101 | 0.1394 |
| 2023-11-24 | -0.0237 | 0.0053 | 0.0611 | -0.047 | 0.1081 |
| 2023-12-01 | -0.0367 | 0.0132 | -0.0153 | -0.021 | 0.0057 |
| 2024-04-15 | -0.0245 | 0.0008 | -0.0549 | -0.005 | -0.0499 |
| 2024-05-14 | -0.0262 | 0 | -0.035 | -0.0354 | 0.0004 |
| 2024-05-31 | -0.0247 | 0.0286 | -0.0411 | -0.0693 | 0.0282 |
| 2024-07-22 | -0.0205 | 0.0154 | -0.0432 | 0.0023 | -0.0455 |
| 2024-07-30 | -0.0208 | 0.0787 | -0.0895 | -0.0024 | -0.087 |
| 2024-09-26 | -0.031 | 0.0023 | 0.0439 | 0.09 | -0.0461 |
| 2024-11-08 | -0.0223 | 0.0072 | 0.0631 | 0.0128 | 0.0503 |
| 2024-11-11 | -0.025 | 0.008 | 0.0761 | 0.0028 | 0.0734 |
| 2024-11-25 | -0.024 | 0.0204 | -0.0699 | -0.0568 | -0.0132 |
| 2025-01-21 | -0.0295 | 0.0046 | 0.0179 | -0.0161 | 0.034 |
| 2025-04-07 | -0.0326 | 0.002 | 0.0504 | 0.0452 | 0.0052 |
| 2025-04-29 | -0.0316 | 0.0059 | 0.1749 | 0.0096 | 0.1653 |
| 2025-05-07 | -0.033 | 0.0106 | 0.0601 | -0.0001 | 0.0603 |
| 2025-05-15 | -0.0235 | 0.0041 | -0.0827 | -0.0616 | -0.0211 |
| 2025-07-10 | -0.0222 | 0.0318 | -0.0655 | -0.0346 | -0.0309 |
| 2025-07-22 | -0.031 | 0.0098 | -0.041 | -0.0151 | -0.0259 |
| 2025-08-19 | -0.0229 | 0.0033 | 0.0633 | 0.0203 | 0.043 |
| 2026-03-04 | -0.0207 | 0.0288 | 0.0632 | 0.0555 | 0.0077 |
| 2026-03-10 | -0.0478 | 0.0015 | 0.1299 | 0.1057 | 0.0242 |
| 2026-03-16 | -0.0212 | 0.0042 | 0.0693 | 0.0959 | -0.0266 |
| 2026-03-19 | -0.0596 | 0.0223 | -0.0121 | 0.0142 | -0.0263 |
| 2026-03-23 | -0.1235 | 0.0107 | -0.0966 | -0.041 | -0.0556 |
| 2026-04-08 | -0.1165 | 0.001 | -0.0438 | -0.0446 | 0.0008 |
| 2026-04-14 | -0.0372 | 0.0008 | 0.0469 | 0.0141 | 0.0328 |
| 2026-04-15 | -0.0317 | 0.0156 | 0.0698 | 0.0351 | 0.0347 |
| 2026-05-27 | -0.0549 | 0.0029 | 0.0457 | 0.0249 | 0.0208 |
| 2026-06-12 | -0.0452 | 0.0073 | -0.0207 | -0.0746 | 0.0539 |
| 2026-06-22 | -0.036 | 0.0115 | 0.0741 | 0.0353 | 0.0388 |
| 2026-06-26 | -0.0485 | 0.0039 | 0.1513 | 0.059 | 0.0923 |
| 2026-07-09 | -0.0267 | 0.0048 | 0.0852 | 0.1415 | -0.0563 |
| 2026-07-16 | -0.0223 | 0.0297 | 0.047 | 0.0866 | -0.0396 |
| 2026-07-24 | -0.0476 | 0.0035 | -0.0069 | -0.0303 | 0.0234 |
| 2026-07-27 | -0.0846 | 0.0011 | 0.0389 | 0.0248 | 0.0141 |
| 2026-07-28 | -0.0687 | 0.0073 | 0.0725 | 0.0227 | 0.0499 |
The takeaway
Yes — but only partly, and this is a lean rather than a proven edge. Across the 39 days in the past three years when Brent fell more than 2% and PSX still closed higher, PSX beat XOM over the following 10 sessions 67% of the time, with an average relative gain of +1.67 percentage points — and the median of +2.08 says it isn't one blowout day carrying the result. In those windows PSX averaged +2.4% against XOM's +0.7%, comfortably ahead of the +0.57% average edge on the other 679 ordinary days. The catch is confidence: the reading works out to roughly a 6-in-100 chance this is luck (p = 0.061), which is suggestive but short of the bar you'd normally want before calling something a real signal. That number likely flatters the evidence, too, because the 39 triggers cluster — whenever two fire within 10 sessions the windows overlap, so the number of genuinely independent bets is smaller than 39. Practical upshot: the feedstock-relief read shows up in the data and is worth keeping on the radar as a tilt, but it's too thin to lean on as a standalone signal.
The fine print
- Only 39 trigger days, and windows overlap when triggers land within 10 sessions of each other — truly independent bets are fewer than the count implies.
- XOM is an imperfect benchmark: it has its own refining exposure, so it partly shares the crack-spread tailwind you're trying to isolate.
- The -2% Brent threshold, the PSX-up filter, and the 10-session horizon were fixed choices; a 5- or 20-session window could tell a different story.
- Brent daily values follow a T+1 publication convention, so aligning by date may shift event timing by a session.