Commodity Futures Curves Visualisation – “The Movie”

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.

Energy Commodities

WTI Crude Oil, ‘CL’ 2004-2010 (download, 28Mb) / 1985-2005 (download, 100Mb)

Nymex Natural Gas, ‘NG’ (download movie, 27Mb)

Metals

Copper, High Grade, ‘HG’. (download movie, 28Mb)

Agriculturals

Wheat, #2 Soft Soft Red Winter, ‘W’. (download movie, 28Mb)

Cocoa, LIFFE (download movie, 29Mb)

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16 Responses to Commodity Futures Curves Visualisation – “The Movie”

  1. Danah says:

    I’m an Apple and I can see it… great stuff Will

  2. Druidkgm says:

    you did great work man.
    thx a lot.
    some spread-pair trading ideas have to be tested )))

  3. Jad says:

    Love this ! This is the best illustration of backwardation to contango transition I’ve seen so far.

  4. Adam Luciano says:

    Awesome representation of futures curves. The curves tend to really tell the underlying story.

  5. Jonathan DePeri says:

    Would you be willing to post the MATLAB source code you used to generate the videos? That way one could contribute other commodities…

    Thanks so much for doing this and posting it for all to see!

    • ?In response to Jonathan DePiri:

      Sorry, no, I don’t want to post the source code. My career history is about 15 years of working in finance and IT, now moving to commodities. As well as studying for a PhD, some of my time is spent on commodity-related consultancy. My personal commodity-based software library written in Matlab is a big part of my consultancy, so I don’t wish to give it out for free.

      If you mention a commodity I may already have the data and be able to build the movie. Or if you have the historical futures data, I could convert it into a suitable format (often not a trivial task) and render it as a movie for a small fee.

  6. Jez Liberty says:

    Will, glad I found your blog (well actually one my reader pointed me to that post as I have done a bit of work on commodity yield curves – with the aim of enhancing a typical Trend Following strategy using the yield curve to enhance the roll yield. I talked about it here: http://www.automated-trading-system.com/better-trend-following-improved-roll-yield/ )

    Your method of visualisation is great – better than my static snapshot one “built” in Excel (as per there: http://www.automated-trading-system.com/roll-yield-commodity-yield-curve/ )

    If you ever look to improve it though, a design idea that I quite like is this interactive player for the yield curve on the stockcharts website:

    http://stockcharts.com/charts/YieldCurve.html

    Cheers,
    Jez

    • Hi Jez

      That animated yield curve looks suspiciously like my movies! Maybe just coincidence, not sure how long their site has been up.
      The trouble with putting the data on the internet is that I don’t have a license to use the prices for anything other than personal research use. So I can’t take this concept too far.

    • 2nd comment, Jez, I was actually talking to a large hedge fund recently about the possibility of using roll yield to enhance commodity returns, in a more dynamic way than the DB Enhanced Yield. I agree that it’s not widely used yet, at least publicly.

      • Tom says:

        Hi,

        Nice graphs indeed, might be worth fixing the axis scale to improve the visualisation, not very nice when it jumps about.

        You underestimate the CTA universe. The vast majority already account for and model commodity roll down in extremely sophisticated ways. There are CTA’s whose entire purpose is to trade this by arbitraging the dislocations which occur when large ETF’s, funds and commodity indices roll their futures.

      • Hi Tom

        Actually a lot of the coding effort for these graphs WAS in the scaling of the axes. If it doesn’t ever jump, I need a really wide y axis to show the whole time range, and you cannot see in detail the ‘shape’ of the curve, which is my emphasis.

        If the axis jumps constantly (every frame), the axis becomes a blur and the line remains constant, with only its shape changing.

        Glad to know other people are studying and profitiing the roll yield and arbitraging the by-necessity fully-declared-up-front trading strategies of the index funds.

  7. Jez Liberty says:

    Thanks for the feedback on the hedge fund looking at using roll yield – that’s interesting. I feel it is a topic that has been hotting up lately.
    I have actually been talking to another CTA who is looking into this also and he seemed to confirm this (ie lots of CTAs he talks to are using/looking into similar methodologies).

    The stockcharts yield curve chart has actually been up for a good few years (I started watching it in 07)

    Understand the license issue with data…

  8. physecon says:

    That’s really helpful. I’d recommend fixing the bounds of the y-axis though. Letting the scale change with time like that makes it harder to really see things.

  9. Roger Enright says:

    This is great stuff. I’ve been waiting for something like this on the NG and CL curves for years. Bravo and well done.

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