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I'm interested in learning how to adjust my own futures contracts for analysis. Unfortunately my quantitative classes didn't really go into this, and I would like to learn it on my own. The methods seem fairly straight forward, but I noticed something in the data that seemed concerning. Take the CZ2014 December Corn Futures data:

https://www.quandl.com/data/CME/CZ2014-Corn-Futures-December-2014-CZ2014

The data look like:

data

My first question - why am I seeing 2012-2013 data in a December 2014 historical price listing? Shouldn't this just be data for the month of December?

Next question is, why is there a sudden whip-saw early in the data but it seems to stabilize after that?

I'm sure these questions are trivial but I'm pretty confused at the moment. Thanks for the help!

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If you plot the price series against volume or open interest, you'll see there was no trading at all in the contract during the early part of the series. This is common for futures – the exchange lists quite a few of them, but only nearby expiries are actually traded. The other contracts still have daily settlement prices, but cannot be relied upon.

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    $\begingroup$ So then it would probably be best for me to just throw away any data not in the December contract? Thank you for your reply! $\endgroup$
    – Steve
    Jul 11, 2015 at 19:15
  • $\begingroup$ It really depends on the product. For Treasury bond futures for example, we really only look at the upcoming two contracts. The Fed funds futures, only the first 12-24 are useful. Bottomline is, if a contract is not trading, don't use the data. $\endgroup$
    – Helin
    Jul 11, 2015 at 19:48
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To reiterate what has been said, futures are just that, a contract for future delivery. So a person trading or using these futures to hedge may want to trade something way out on the curve.

Crude Oil Futures for example trade out to December 2024, though the only volume I see today is in December 2020.

The way that data is presented is tough to understand because on some days there will be trading and then none and the data doesn't show the synthetic settles for those days it seems or there may not be a settle so that's why you see it going to 0 and "snapping back". It never really snapped back it's just missing data it looks like.

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