Introduction

The Futures Spread App shows current and historical commodity calendar spread activity. Gro users can view currently traded spreads relative to historical spreads with a seasonal filter, centered on the commodity index roll period, and quickly view a table of average spread values traded by month. Users can see the current spread relative to the whole history (historical spread chart), see each year at a time, or select a variety of years together.

Customers Use the Model to: 

  • Identify the best time to roll a futures position
  • Analyze if calendar spreads are overvalued or undervalued this year relative to past years
  • See if futures markets pricing is over- or under-supply in the spot market

Why It Matters

Gro users can use this tool to understand the valuation of calendar spreads relative to historical trends. In addition, it can be used to optimize when to trade or roll futures positions by looking at seasonal tendencies in analogous years. This is important because there is a lot of risk around futures spreads. When a position is rolled to the next month, a fluctuation in the spread can have a large impact on trading profit and loss. The Futures Spread App is available for the CME or Dalian data sources.