We are a few days into the Chicago SRW wheat futures (exchange symbol ZW) Z9-H0 roll period. Here are the key points for the ongoing roll: Forecast based on multifactor model is that the calendar spread will richen .75 ± 0.8 from 𝑡 = −20, which is the start of the roll period until 𝑡 = −5, which is the options expiration day of the near contract..

Guest UserNovember 29, 2019Commodities

CME - Corn Futures Roll Forecast

We are a few days into the Chicago Corn futures (exchange symbol ZC) Z9-H0 roll period. Here are the key points for the ongoing roll: Volatility in the calendar spreads during the roll periods is typically low, more so during the December roll periods…

Guest UserNovember 22, 2019Commodities

CME - WTI Crude Oil Roll Forecast

Every roll period we issue a forecast specific to CME’s WTI Crude Oil futures contract, including the two most active futures roll periods. Contact us to receive the latest forecast and learn about The Roll Algorithm.

Guest UserAugust 30, 2019Commodities

CME Wheat Futures' Calendar Spread During The Roll Periods

Using CME’s end of the day settlement prices from 2001 – 2019, we analyze Chicago soft Red Winter Wheat (exchange symbol SRW) futures’ calendar spreads around the roll periods.

Guest UserApril 9, 2019Commodities