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. Ed
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. Regards, Eric
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
I used the individual contracts and calculated spread data from these. Not the most exact solutions, but still viable.