Macro Codex Data provides historical end-of-day futures strategy data and daily updates for sophisticated market professionals. The data packages follow a subscription-based model and are structured to provide a reliable source of clean, deep historical data covering the most popular futures strategies. The diverse range of strategies and timely delivery facilitate quantitative analysis and are used for trade identification, portfolio structuring and risk management purposes by commodity trading advisors, hedge funds, commercials, investment banks, prop trading firms and family offices.
Strategies include basis spreads, intra-commodity spreads, inter-commodity spreads inter-exchange spreads and historical volatility. The data packages include Financials, covering bond, equity index, money market and foreign exchange strategies and Commodities covering energy, grains, livestock, metals and softs strategies.
The basis is the difference between cash and futures prices. Basis = cash price – futures price. Although the basis may be positive or negative during the life cycle of a physically settled futures contract the spread typically converges to zero at contract expiration. This convergence implies that temporary deviations can be profitably arbitraged by producers and hedgers. Being ‘long the basis’ implies a position is long cash and short futures and being ‘short the basis’ implies a position is short cash and long futures.
We provide clean historical basis data dating back to 1974 and the data can be analyzed to identify seasonality and opportune periods for producers and hedgers to initiate and lift hedges.
Inter-commodity spreads are spreads between two different but related futures contracts, for example wheat versus corn, or live cattle versus lean hogs. In the case of wheat versus corn, they are both animal feeds and thus can be substituted for each other. True Inter-commodity spreads have a fundamental relationship with each other, and usually qualify for reduced exchange margin requirements.
Another more complex inter-commodity spread is the commodity product spread, which is the spread between a commodity and its products. An example is the energy crack spread which is the spread between Crude Oil and its derivative products, typically Heating Oil and Gasoline. All intra-commodity and inter-commodity spread data extend back to market inception or 1974, whichever is earlier.
Both current and potential subscribers have access to interactive charts which illustrate historical price data for available markets and strategies. Users can quickly select specific market, strategy, year and month combinations and generate the specific historical strategy chart within a few seconds.
The database encompasses multiple strategies including basis spreads, intra-market spreads, inter-commodity spreads, inter-exchange spreads and historical volatility. The interactive futures strategy charts provide a historical perspective relative to current price action and serve to confirm the depth and quality of the data.
Intra-commodity or calendar spread strategies can be split into bull and bear spreads. A bull spread is long the nearby contract and short the deferred contract with the nearby contract price expected to be stronger relative to the deferred contract price. The bear spread is the reverse and is short the nearby contract and long the deferred contract with the expectation that over time the deferred contract price will be stronger relative to the nearby contract price.
Another type of calendar spread is the intercrop spread, where a long position is taken in one crop year against a short position in another crop year. Margins associated with intercrop spreads are typically higher due to the increased volatility associated with these spreads.
Over the past 30 years the team has managed multi-billion dollar derivatives portfolios at leading hedge funds, investment banks and alternative wealth management firms in the US and Europe. Having successfully navigated multi-asset portfolios through several business cycles, our collective investment wisdom has been sought out by institutional investors who treasure our unique perspective on derivatives portfolio management.
Our consulting services offer solutions for institutional clients interested in sourcing custom datasets, data modelling, strategy development, portfolio structuring, risk management and related topics that directly impact the investment process. Please contact us to learn more about how our services may benefit your organisation..
