My current project needs a good visualisation of various commodity futures curves and their evolution over time. I’ve seen dozens of ‘Snapshots in time’ pictures in various sources, but I knew there was a better way. Some coding in Matlab has enabled me to observe the futures curves evolving in time, rendered as a movie.
Below are some samples, for the period 2004-2009. The lefthand figure is the futures curve, the righthand figure is the price history of the front-most contract (usually as close as we get to ‘spot’ price). Linear interpolation has been used if some months are not traded.
Please comment if you can’t view the movies (Apple people, can you see them?) or want other commodities.
NOTE : Download the movies for much better quality.
Nymex Natural Gas, ‘NG’ (download movie, 27Mb)
Copper, High Grade, ‘HG’. (download movie, 28Mb)
Wheat, #2 Soft Soft Red Winter, ‘W’. (download movie, 28Mb)
Cocoa, LIFFE (download movie, 29Mb)