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Crop Year, an aspect to consider in spread trading

David Carli 11 February 2021 Trading Pills

In spread trading, the least risky and volatile spreads are the Intramarket, that is when you are long and short on futures of the same commodity but with different deliveries (aka calendar spread or

David Carli

I am a macroeconomic and financial analyst with over 30 years' experience, including two years as a fund manager. I specialise in currencies and commodities, and I am the author of several successful books on trading, macroeconomics, and financial markets.

3 comments

  1. Hello David,

    thanks for a very interesting article. I, personally, am aware of an impact of creating a calendar spread with futures from two different crop years. However, I´ve been struggeling a bit with an influence of a crop season to a particular spread around the transitional month. Exempli gratia: Corn shows September as a transitional month (I generally consider the last months in the table as containing a new and still an old crops). So, I am always curious about what an influence of a new crop is to calendar spreads around that transitional months. Would you be able to elaborate more on that influence based on your observations/experience? And share your recommendations?

    Again, thanks for a very interesting info and wish you all the best,

    Adam

    Reply

    1. Thank you very much Adam for your comment. In my experience, the two key months for corn are December because it gathers all the crops, part of September (the old crop) and the new crop, and June because it is the first delivery after planting. The months change slightly for soybeans (November and June) while for wheat it depends on the type. For Chicago SRW (ZC) the first delivery after planting is December, while the key month that gathers the old and new crop is September.

      Have a great day!
      David

      Reply

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