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Add training workflow, datasets, and runbook

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Rushabh Gosar
2025-12-23 21:17:22 -08:00
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INTERCOMMODITY SPREADS: DETERMINING CONTRACT RATIOS
In the preceding example, because wheat is a larger contract than corn (in dollar-value terms),
a long 1 wheat/short 1 corn spread would be biased in the direction of the general price trend of
grains. For example, during November 2012–August 2013, a period of declining grain prices (see
Figure 31.4 ), the equal contract spread seems to suggest that wheat prices weakened signifi cantly
relative to corn prices (see Figure 31.1 ). In reality, as indicated by Figures 31.2 and 31.3 , the
wheat/corn relationship during this period was best characterized by a trading range. T o illustrate
the trading implications of the spread ratio, consider a long wheat/short corn spread initiated at the
late-November 2012 relative high and liquidated at the August 2013 peak. This trade would have
resulted in a near breakeven trade if the spread were implemented on an equal-dollar-value basis
(see Figure 31.2 or 31.3 ), but a signifi cant loss if an equal contract criterion were used instead (see
Figure 31.1 ).
It should now be clear why the standard assumption of an equal contract position is usually valid
for intramarket spreads. In these spreads, contract sizes are identical, while price levels are normally
close. Thus, the equal-dollar-value approach suggests a contract ratio very close to 1:1.
If, however, two contracts in an intramarket spread are trading at signifi cantly diff erent price
levels, the argument for using the equal-dollar-value approach (as opposed to equal contract positions)
would be analogous to the intercommodity and intermarket case. Wide price diff erences between
contracts in an intramarket spread can occur in extreme bull markets that place a large premium on
FIGURE /uni00A031.4 September 2013 Wheat and September 2013 Corn