Grouping of Commodity Futures

The volatility seems to be leaking quickly out of the stock market, and it seems to be back to its pre-dominantly bull-mode, which has been going on for a while now. So time to go long and wait for the next opportunity for more trading?

Not if one trades futures. In fact, there has been a lot of turbulence in various future markets as of late. In fact, pretty much everywhere: oils, metals, currencies, for instance. But before going into the interesting stuff, there are a few more basics that need to be covered, which I didn’t touch on in my previous post on the topic.

The future universe is rich. For easier handling, one usually wants to group them and decide on which one he’d like to concentrate. There are similarities within the groups (for example, stronger correlations). One may decide to develop systems targeting a group (for example currencies), rather then the entire universe, or even a single future. Below are mine choices. I listed them together with their symbol on Interactive Brokers (IB).

Be extremely careful when dealing with futures. The contracts are huge (most in the $100,000 range), some of them are very volatile and mistakes can be extremely expensive.

Grains

A few commodities, mostly grains, thus, the name.

  • Oats (ZO on IB)
  • Corn (ZC on IB)
  • Soybeans (ZS on IB)
  • Soybean Meal (ZM on IB)
  • Soybean Oil (ZL on IB)
  • Wheat (ZW on IB)
  • Rough Rice (ZR on IB)

Meats

A small group containing three meat contracts.

  • Lean Hogs (HE on IB)
  • Live Cattle (LE on IB)
  • Feeder Cattle (GF on IB)

Indexes

Stock indexes. The only foreign one is the Nikkei. There are a lot others available, but I am trying to keep everything denominated in a single currency – the US dollar.

  • E-mini S&P 500 (ES on IB)
  • E-mini Nasdaq 100 (NQ on IB)
  • E-mini Russell 2000 (TF on IB)
  • E-mini S&P Midcap 400 (EMD on IB)
  • E-mini Dow Jones (YM on IB)
  • Nikkei 225 (NKD on IB)

Softs

A few contracts covering a wide range of food/drinks/materials.

  • Coffee (KC on IB)
  • Cotton (CT on IB)
  • Cocoa (CC on IB)
  • Orange Juice (OJ on IB)
  • Sugar (SB on IB)
  • Lumber (LB on IB)

Bonds

Again, I limit myself to only US notes and bonds. The full list is quite long.

  • 30 Year US Treasury Bond (ZB on IB)
  • 10 Year US Treasury Note (ZN on IB)
  • 5 Year US Treasury Note (ZF on IB)
  • 2 Year US Treasury Note (ZT on IB)

Metals

Industrial and precious metals. A very interesting group. Some of the metals have mini contracts too.

  • Copper (HG on IB)
  • Silver (SI on IB)
  • Gold (GC on IB)
  • Palladium (PA on IB)
  • Platinum (PL on IB)

Currencies

If you wonder, I prefer currency futures instead of Forex.

  • Euro (EUR on IB)
  • US Dollar (DX on IB)
  • Japanese Yen (JPY on IB)
  • Swiss Franc (CHF on IB)
  • British Pound (GBP on IB)
  • Canadian Dollar (CAD on IB)
  • Australian Dollar (AUD on IB)
  • Mexican Peso (MXP on IB)

Oils

Last but not least. A very interesting to me group, including a few very liquid (I guess in both meanings;)) contracts. Crude Oil and Natural Gas have mini futures too.

  • Crude Oil (CL on IB)
  • Heating Oil (HO on IB)
  • RBOB Gasoline (RB on IB)
  • Natural Gas (NG on IB)

Comments

  1. paglos says:

    Hello,
    Do you use a statistical/quantitative method to group them ? ( apart from correlation )
    How do you decide which ones represent a group ?

    1. ivannp says:

      No, I don’t. These groups are something I picked up from various data providers and system developers. I find them useful in different ways.

Leave a Reply