Could someone please explain these (real) soybean spread quotes?

Discussion in 'Commodity Futures' started by soks86, Oct 7, 2009.

  1. soks86


    At the bottom of this post you'll find prices for all months of the CMEG Soybean Futures contract for today as well as all spreads and butterfly spreads.

    Could someone please explain to me how these spread prices are valid? I mean to my understanding a Front-Back spread means Buy Front, sell Back. So if front is 5 and back is 10 the spread should cost 5. If front is 10 and back is 5 then the spread should cost -5. Is this correct?

    If my above assumption is correct then what could explain the spread prices I have posted below. From my understanding I should be able to make money by arbitraging any of these spreads with their actual leg contracts and make good money on many of them.

    Thank you in advance for any assistance.

    Nov 2009 912'0
    Jan 2010 916'6
    Mar 2010 918'6
    May 2010 918'6
    Jul 2010 921'0
    Aug 2010 919'0
    Sep 2010 915'0
    Nov 2010 916'4
    Jan 20116 922'4
    Mar 2011 924'4
    May 2011 926'0
    Jul 2011 926'4
    Aug 2011 924'0
    Sep 2011 922'0
    Nov 2011 923'4
    Jul 2012 930'0
    Nov 2012 926'0

    ZSX9 - ZSF0 - 4'2
    ZSX9 - ZSX0 - 1'0
    ZSF0 - ZSH0 + 0'2
    ZSX9 - ZSH0 - 4'0
    ZSX9 - ZSN0 - 5'2
    ZSX9 - ZSK0 - 2'4
    ZSH0 - ZSK0 + 1'2
    ZSX9 - ZSF0 - ZSH0 - 5'0
    ZSN0 - ZSX0 + 6'0
    ZSK0 - ZSN0 - 2'4
    ZSF0 - ZSH0 - ZSK0 - 1'0
    ZSF0 - ZSK0 + 1'6
    ZSH0 - ZSN0 - 1'0
    ZSF0 - ZSN0 - 1'0
    ZSH0 - ZSK0 - ZSN0 + 3'4
    ZSX9 - ZSH0 - ZSN0 - 3'0
    ZSQ0 - ZSU0 + 7'0
    ZSX1 - ZSX2 + 0'2
    ZSN0 - ZSQ0 + 0'2
    ZSH0 - ZSX0 + 4'0
    ZSX9 - ZSH0 - ZSK0 - 11'4
    ZSK0 - ZSN0 - ZSQ0 - 3'6
    ZSX0 - ZSX1 - 9'0
    ZSX0 - ZSX2 - 7'6
    ZSF0 - ZSX0 + 5'0
    ZSH1 - ZSX1 + 0'6
    ZSK0 - ZSQ0 - 2'0
    ZSK0 - ZSX0 + 4'0
    ZSQ0 - ZSX0 + 6'4
  2. You math is correct, so the issue has to do with the time print on the prices. Are these the settlement prices or last traded prices?
  3. soks86


    To be sure they matched I grabbed the Previous Days Settle prices off of the CMEG site. I figured the "Last Price" might change after some final settlements. I'm not sure if they all settle at the same time but I'll look into that right now.
  4. soks86


    From the looks of it all spreads should settle at the same time as their underlying. However I'm basing this on the fact that I do not see any special dates or closing times for spreads.
  5. soks86


    I spoke with folks and it's likely just low trading volume before close that leaves a settle (last) that can seem very wrong. This is magnified because in a spread because it's based on two contracts which each have their own bid/ask spread within which the last may be far from center.
  6. I often trade the def. spreads and at points during the day you will just have "mis-pricing" It doesn't effect the value of the spread per the b/a of the spread but on paper it looks as if an anomaly has occured. But it's no arb. I'll give you an example.

    h10/11 cocoa is trading according to the spread at 6 bid offered at 8, but if you look at individual quotes because of a possible hedger in the 11 contract there is a fill made that moves the back month way out, but it doesn't move the spread. Does that make any sense?
  7. soks86


    Yes, quite very much so. That was pretty much what the traders I spoke with got across to me, but not with such a practical example.

  8. I usually only watch the sequential spreads (X9-F0, F0-H0, etc.) the rest of the bean spreads are subject to stale quotes/wide markets, etc. Do you have a software platform with DDE or RTD links....I'll toss together a quick spreadsheet that links up and shows the implied out spread prices for you if you want.
  9. soks86


    My software platform is my own and right now... it's just console and data.

    But if you look into my data from the first post the first two spreads are sequential.

    Nov 2009 912'0
    Jan 2010 916'6
    Mar 2010 918'6

    ZSX9 - ZSF0 - 4'2
    ZSX9 - ZSX0 - 1'0
    ZSF0 - ZSH0 + 0'2

    Here F0 - H0 should be -2'0 and instead it's +0'2.

    These numbers looked better than the settle the day of my sample data, the sample data is the previous settle that day, which had more spreads which were listed as + but were actually -. Either way, this is likely because of bid/ask spreads near end of day.
  10. Are you looking at the sequential (exchange listed soybean spreads) when the market is open and not computing (implying out) the spreads from the outrights? These almost look like quotes from when the market is closed......

    I have attached a settlement curve Excel sheet for you....type in the market outright prices and it will compute implied out prices.....Enjoy! Link your data to the grey column and the spread matrix will compute your spread prices; the yellow cell shows the butterfly prices.
    #10     Oct 12, 2009