Crude Oil Spread Historical Data

Discussion in 'Data Sets and Feeds' started by ed_berk, Oct 31, 2008.

  1. ed_berk


    Does anyone know where I might find historical data for the exchange-listed calendar spreads that are traded on GLOBEX? I have checked with the exchange as well as a few data vendors. No luck as of yet. Any help would be greatly appreciated.

  2. I have never seen data for what you're looking for. There is a lot of spread information out there, but I have not found what you are looking for.

    I also would be interested in this.

  3. H2O


    At the moment I don't use CQG (Bloomberg now) but I'm fairly sure CQG has this data. I think you should use a symbol like this: CLS3H9 (This would be the 3 month spread starting in March 09)

    Btw, I never used this for oil data but it does work on the Euribor / Eurodollar and Short Sterling interest rate spread data

    Hope this helps
  4. yshterk


  5. Don't forget to make sure you increase the limit on your credit cards, CQG data is not cheap.
  6. I used the individual contracts and calculated spread data from these.

    Not the most exact solutions, but still viable.