Question about calendar spreads?

Discussion in 'Commodity Futures' started by mizhael, Jun 7, 2010.

  1. Lets say I am doing a spread of July vs. December of CL.

    I downloaded some historical data from Bloomberg.

    Lets take the year 2001 as an example:

    On 6/21/2000, CLN01 started to be available for trading.

    On 11/20/2000, CLZ01 started to be available for trading.

    On 6/21/2001, CLN01 ceased to exist and CLN02 started to kick in.

    So from 11/20/2000 to 6/21/2001, both CLN01 and CLZ01 are available and I can form a matching spread.

    But after 6/21/2001, it became CLN02 vs. CLZ01, which lasted until 11/20/2001, when CLZ02 replaced CLZ01.

    So my question is: do I only trade the spread from 11/20/2000 to 6/21/2001? What's the potential pitfall there?

    Can I trade the spread between CLN02 vs. CLZ01 from 6/21/2001 to 11/20/2001 althought they seem to be not a matching pair?

    Or maybe it just doesn't matter.

    My goal is to do backtest using historical data and then trade the spreads...

    Any thoughts would be highly appreciated! Thank you!
  2. TraDaToR


    I guess the contracts had such a short life in 2001 because that's when crude started on globex, right? Today they are tradable until 2015 for standard months and 2018 for dec and june:

    Trading jun/dec is not the same thing as trading dec/june+1. You should start backtesting jun02/dec02 after jun01/dec01, and not dec 01/jun02 and it would be better to test directly on the calendar spread historical datas rather than a combo of expiries datas.
  3. mshanil


    is there a news portal for the OIlL and Natural gas markets?
    A good website that gives a good news feed and live updates.

    I am using a bunch of Stocks news sites, looking for any on Energy markets front if there are any.

    Thanks for the help.
  4. google comes up with plenty of results:
  5. What are you looking for?
    If you can make me understand your request,
    I can ask Bloomberg and Reuters guys.
    I have both.
    I am interested myself...