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Financial Commodities Time Series Spread analysis  



Hi all,

Not sure if there are any expert in financial/commodities data analysis here?

I have different time-series which is only available for a year for different year, as you know commodities price only exist for certain timeframe, after expiry, the price no longer exist.

I would like to ask for advice or opinion here, how do you analyze this kind of time series? especially when we want to do some operations between different month calendar spread.

Appreciate the advice and guidance from the expert here, thanks.



1 Answer

Hello chinym33,

That will depend on your trading strategy and objective. For instance, most financial traders will not want to trade a future that is far-dated due to low liquidity or close to expiry/delivery date due to decreasing liquidity (and risk of taking delivery of physical cargo, unless you are working in one of the physical houses).

If you simply want a 'connected' time-series of commodity prices, for instance, you could look at 'CL1:COM' at Bloomberg, It chains up all 'front-month' CL futures and automatically rolls the price index to the next contract when the current contract is expiring. I have not touched Bloomberg in a while, but if my memory serves me well, there should be a 'CL2:COM' (or something similar) which chain up the M+1 of 'CL1:COM'; you can analyse the spread of these two chained prices. Bloomberg should also have published their methodologies on how the prices are chained.



This post was modified 4 weeks ago 2 times by Lim Tern Poh

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