1:1 HO-WTI distillate crack
Crack SpreadsLong crack
Trade distillate margin heating oil-crude
Source: encyclopedia
1:1 RBOB-WTI gasoline crack
Crack SpreadsLong crack
Trade refining margin gasoline-crude
Source: encyclopedia
3:2:1 crack spread (refiner)
Crack SpreadsLong crack
3 crude : 2 gasoline + 1 distillate (refiner natural hedge)
Source: encyclopedia
Algo spread market-making
ApplicationBoth
Algorithmic spread market makers (HFT)
Source: encyclopedia
Bear calendar spread (sell near buy far)
Calendar SpreadsShort bear
Sell near buy far; profits if near falls faster
Source: stonex.com
Brent calendar (Dec-Dec)
Calendar SpreadsBoth
Annual Dec-Dec Brent calendar trade
Source: bookmap.com
Brent vs WTI spread
IntermarketBoth
Brent-WTI quality + transport spread
Source: bookmap.com
Bull calendar spread (buy near sell far)
Calendar SpreadsLong bull
Buy near contract sell far; profits if near rises faster
Source: stonex.com
COT 3-year percentile filter
COTFilter
Filter for top 10% / bottom 10% historical positioning
Source: insider-week.com
COT EUR/USD positioning
COTBoth
EUR/USD COT non-commercial positioning
Source: tradingview.com
COT USD/JPY positioning
COTBoth
JPY COT positioning extremes for FX trades
Source: tradingview.com
COT cattle/hogs positioning
COTBoth
Livestock COT for seasonal trades
Source: tradingview.com
COT crude oil signal
COTBoth
COT crude oil non-commercial extreme reversals
Source: tradingview.com
COT divergence signal
COTBoth
Price-COT divergence as reversal signal
Source: tradingview.com
COT extreme + price reversal
COTBoth
Combine COT extreme with price reversal signal
Source: tradingview.com
COT for currency carry
COTBoth
COT positioning to time carry trades
Source: tradingview.com
COT gold signal
COTBoth
COT gold managed money positioning extremes
Source: tradingview.com
COT grains seasonal pattern
COTBoth
Grains COT positioning around USDA reports
Source: tradingview.com
COT silver positioning
COTBoth
Silver COT non-commercial heavily long = caution
Source: tradingview.com
CTA trend-following spreads
ApplicationTrend
CTAs trade calendar/intermarket spreads
Source: encyclopedia
Calendar butterfly spread
ButterfliesBoth
Buy near sell middle x2 buy far - profits on curvature change
Source: encyclopedia
Calendar spread expiration risk
Risk MgmtRisk
Front month expiration roll risk
Source: stonex.com
Canola crush spread
Crush SpreadsLong crush
Canola crush spread for canola processors
Source: encyclopedia
Cattle spring pattern
SeasonalLong
Cattle spring pattern (grilling demand)
Source: encyclopedia
Cattle-corn spread (LE-ZC)
IntermarketBoth
Cattle feedlot margins
Source: encyclopedia
Cocoa LDN vs NY
IntermarketBoth
London vs NY cocoa spread
Source: encyclopedia
Cocoa winter chocolate demand
SeasonalLong
Q4 chocolate demand seasonal pattern
Source: encyclopedia
Coffee Brazil winter risk
SeasonalLong
Brazilian winter (Jun-Aug) frost risk
Source: encyclopedia
Coffee-cocoa spread
IntermarketBoth
Coffee vs cocoa softs spread
Source: encyclopedia
Coffee-sugar spread
IntermarketBoth
Brazilian crop coffee vs sugar relationship
Source: encyclopedia
Commercial extreme long signal
COTLong
Commercial COT extreme long = bullish signal
Source: cftc.gov
Commercial extreme short signal
COTShort
Commercial COT extreme short = bearish signal
Source: cftc.gov
Commercial hedger long-term
ApplicationHedge
Commercial hedgers use futures for risk management
Source: cftc.gov
Commercials vs price divergence
COTBoth
Commercials selling rallies = bearish divergence
Source: tradingview.com
Corn calendar Jul-Dec
Calendar SpreadsBoth
Old crop (Jul) vs new crop (Dec) calendar
Source: encyclopedia
Corn-soybean ratio
IntermarketBoth
Bean-corn ratio drives planting decisions
Source: encyclopedia
Corn-wheat ratio
IntermarketBoth
Corn-wheat ratio mean reverts
Source: encyclopedia
Cotton summer rally
SeasonalLong
Cotton tends to rally May-July
Source: encyclopedia
Cotton-corn spread
IntermarketBoth
Cotton vs corn for acreage decisions
Source: encyclopedia
Crude oil 3-month butterfly
ButterfliesBoth
M1-2*M2+M3 crude butterfly
Source: bookmap.com
Crude oil vs natural gas
IntermarketBoth
Trade ratio between crude and natgas (energy spread)
Source: bookmap.com
Crude winter-summer pattern
SeasonalLong
Crude often weak in winter (low demand)
Source: encyclopedia
Crush+ optimization
Crush SpreadsLong crush
Optimal weights for crush spread (~46% oil 38% meal)
Source: cmegroup.com
DEBUNKED COT alone trading
DEBUNKEDN/A
COT alone insufficient; need price confirmation
Source: tradingview.com
DEBUNKED arbitrary intermarket
DEBUNKEDN/A
Random pairs without economic link = noise
Source: encyclopedia
DEBUNKED rigid seasonal patterns
DEBUNKEDN/A
Seasonality fades; recent decade often diverges
Source: encyclopedia
Disaggregated report (post-2009)
COTMethodology
Producer/Swap Dealer/Managed Money/Other detail
Source: cftc.gov
Discretionary spread trader
ApplicationBoth
Pro spread traders specialize in 1-2 markets
Source: encyclopedia
Eurodollar pack butterfly
ButterfliesBoth
Red-Green-Blue Eurodollar butterfly
Source: encyclopedia
Eurodollar packs (red green blue)
Calendar SpreadsBoth
Eurodollar packs trade STIR curve
Source: encyclopedia
Gasoline calendar (summer)
Calendar SpreadsLong
Summer driving season gasoline premium
Source: bookmap.com
Gasoline summer demand
SeasonalLong
Summer driving season gasoline rally
Source: encyclopedia
Gold January effect
SeasonalLong
Gold often rallies in January
Source: encyclopedia
Gold calendar (Dec-Dec)
Calendar SpreadsBoth
Gold annual Dec-Dec calendar
Source: encyclopedia
Gold-copper ratio
IntermarketBoth
Gold-copper ratio as macro signal
Source: encyclopedia
Gold-platinum ratio
IntermarketBoth
Gold vs platinum ratio for risk-on/off
Source: encyclopedia
Gold-silver ratio
IntermarketBoth
Trade gold-silver ratio mean reversion (~70-90 range)
Source: bookmap.com
Grain butterfly (Mar-May-Jul)
ButterfliesBoth
Grain calendar butterfly
Source: encyclopedia
Grain harvest pressure pattern
SeasonalShort
Grains weak Aug-Oct on harvest
Source: encyclopedia
Heat rate spark spread
Spark SpreadsLong spark
Heat-rate adjusted spark spread
Source: encyclopedia
Heating oil calendar (winter)
Calendar SpreadsLong
Winter heating oil contracts seasonal premium
Source: bookmap.com
Hog autumn pattern
SeasonalLong
Hog autumn slaughter (lower supply)
Source: encyclopedia
Hog-cattle spread
IntermarketBoth
Trade pork vs beef demand divergence
Source: encyclopedia
Hog-corn spread (HE-ZC)
IntermarketBoth
Hog feedlot margins; pork vs feed costs
Source: encyclopedia
Liquidity risk far months
Risk MgmtRisk
Far calendar months less liquid
Source: stonex.com
Live cattle vs feeder cattle
IntermarketBoth
Trade feedlot margins via cattle spread
Source: encyclopedia
Long-roll yield backwardation
Roll YieldLong
Long backwardated futures captures positive roll
Source: encyclopedia
Managed money momentum
COTBoth
Managed money trend-following positioning
Source: tradingview.com
Multi-asset spread book
ApplicationBoth
Pro spread book combining many markets
Source: encyclopedia
Natural gas calendar spread
Calendar SpreadsBoth
Natural gas seasonal calendar spreads winter heat demand
Source: bookmap.com
Natural gas winter premium
SeasonalLong
Winter natural gas seasonal long bias
Source: encyclopedia
Non-commercial extreme contrarian
COTBoth
Speculator extreme = contrarian signal
Source: cftc.gov
Power-coal dark spread
Dark SpreadLong dark
Coal-fired power plant margin
Source: encyclopedia
Power-natural gas spark spread
Spark SpreadsLong spark
Power generator margin natural gas spark
Source: encyclopedia
Reduced margin advantage
Calendar SpreadsMethodology
Spread margin ~10% of outright; capital efficient
Source: stonex.com
Retail futures spread (limited)
ApplicationBoth
Retail platforms increasingly support spreads
Source: encyclopedia
Reverse crack short refiner
Crack SpreadsShort crack
Short the crack when refining margins compressed
Source: encyclopedia
Reverse crush short
Crush SpreadsShort crush
Short crush when processor margins compressed
Source: cmegroup.com
SOFR packs replacement
Calendar SpreadsBoth
SOFR packs as Eurodollar replacement post-Libor
Source: encyclopedia
Short-roll yield contango
Roll YieldShort
Short contangoed futures captures positive roll
Source: encyclopedia
Silver-copper ratio
IntermarketBoth
Silver/copper for industrial demand
Source: encyclopedia
Smart money index calculation
COTMethodology
Commercial - Speculator = smart money index
Source: tradingview.com
Soybean calendar Jul-Nov
Calendar SpreadsBoth
Old crop vs new crop soybean calendar
Source: encyclopedia
Soybean crush 1:1:1
Crush SpreadsLong crush
1 bean : 1 oil + 1 meal processor margin
Source: cmegroup.com
Speculator long-only commodity
ApplicationLong
GSCI/BCOM long-only commodity index
Source: encyclopedia
Spread leg execution risk
Risk MgmtRisk
Use exchange-recognized spread orders
Source: stonex.com
Spread margin requirements
Risk MgmtRisk
Spread margins ~$100-500 vs outright $1000-5000
Source: stonex.com
Sugar #11 vs #16
IntermarketBoth
World vs US sugar pricing
Source: encyclopedia
Sugar Brazilian harvest pressure
SeasonalShort
Brazilian sugar harvest Apr-Nov pressure
Source: encyclopedia
Term structure trading
Roll YieldBoth
Trade entire term structure shape
Source: encyclopedia
Treasury calendar 10Y nearest
Calendar SpreadsBoth
Calendar in 10Y T-Note for curve dynamics
Source: encyclopedia
UST 2-5-10 butterfly
ButterfliesBoth
2y-5y-10y curvature trade
Source: encyclopedia
WCS vs WTI heavy crude
IntermarketBoth
Western Canadian Select vs WTI
Source: encyclopedia
WTI Cushing vs LLS
IntermarketBoth
Inland WTI vs coastal LLS
Source: encyclopedia
WTI crude calendar Mar-Jun
Calendar SpreadsBoth
Trade nearby vs deferred WTI calendar
Source: stonex.com
Wheat KE-W spread
IntermarketBoth
Hard red winter vs soft red winter wheat
Source: encyclopedia
Wheat London vs Chicago
IntermarketBoth
London vs Chicago wheat spread
Source: encyclopedia
Wheat MW-W spread
IntermarketBoth
Hard red spring vs soft red winter wheat
Source: encyclopedia
Wheat calendar Jul-Dec
Calendar SpreadsBoth
Old crop vs new crop wheat calendar
Source: encyclopedia
Williams-Noseworthy COT index
COTMethodology
Original 0-100 COT index methodology
Source: tradingview.com
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.