Futures Spread Monitor
29 curated relative-value relationships — refining cracks, the board crush, metal ratios, feed margins and curve proxies — each measured against its own history. The z-score says how unusual today is; the half-life says whether unusual has historically meant anything.
| Spread | Legs | Level | Unit | 1D chg | 1W chg | 1M chg | Z | %ile | 5Y range | Half-life | ADF t | Leg r |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Gasoline − Heating oil Seasonal product switch, both in $/bbl | RB / HO | -50.61 | $/bbl | -11.07 | -9.40 | -26.72 | -2.77 | 2 | -83.45 – 13.23 | 26 | -2.85 | 0.55 |
| 30Y − 10Y (price) Long-end curve proxy in futures price, not yield | ZB / ZN | 0.686 | pts | -0.532 | +0.343 | -1.439 | -2.43 | 0 | 0.344 – 33.000 | 86 | -1.57 | 0.90 |
| 10Y − 2Y (price) Belly curve proxy in futures price, not yield | ZN / ZT | 5.570 | pts | -0.332 | +0.375 | -0.520 | -1.90 | 2 | 4.316 – 24.070 | 26 | -3.13 | 0.83 |
| Copper / Gold Growth against fear — the classic macro barometer | HG / GC | 0.00156 | ratio | +0.6% | -0.8% | +2.3% | 1.89 | 29 | 0.00111 – 0.00268 | 101 | -1.75 | 0.40 |
| Heating oil crack Distillate refining margin: HO ×42 − WTI | HO / CL | 86.07 | $/bbl | +3.19 | +0.86 | +8.24 | 1.74 | 98 | 17.82 – 110.33 | 165 | -0.83 | 0.70 |
| Copper / Aluminum Relative industrial-metal demand | HG / ALI | 0.00196 | ratio | +0.3% | +2.4% | +6.7% | 1.63 | 95 | 0.00127 – 0.00226 | 16 | -4.10 | 0.45 |
| Cattle / Corn Feed cost pressure on the feedlot | LE / ZC | 0.4853 | ratio | -2.0% | +0.3% | -5.2% | -1.44 | 77 | 0.1626 – 0.6298 | 84 | -1.87 | -0.05 |
| Wheat − Corn Feed-substitution spread, cents per bushel | KE / ZC | 236.0 | c/bu | -15.8 | -7.5 | +33.0 | 1.39 | 77 | 54.0 – 567.0 | 51 | -2.10 | 0.45 |
| S&P / Gold Equities priced in gold | ES / GC | 1.790 | ratio | -0.4% | -2.3% | -3.4% | 1.28 | 21 | 1.274 – 2.664 | 182 | -1.23 | 0.10 |
| Live cattle / Lean hogs Protein substitution ratio | LE / HE | 2.756 | ratio | +0.0% | +1.3% | +17.6% | 1.07 | 97 | 1.118 – 3.021 | 25 | -3.31 | -0.02 |
| 3-2-1 crack Blended refinery margin: (2×RBOB + 1×HO) ×42 ÷ 3 − WTI | RB / HO / CL | 52.33 | $/bbl | -4.19 | -5.40 | -9.57 | 0.86 | 93 | 13.30 – 72.22 | 100 | -1.39 | — |
| Cocoa / Coffee The two supply-shock softs against each other | CC / KC | 17.96 | ratio | -5.2% | +13.5% | -8.1% | 0.75 | 53 | 9.63 – 52.76 | 77 | -1.80 | 0.13 |
| Crude / Natural gas Energy-equivalent ratio between the two benchmarks | CL / NG | 29.68 | ratio | +5.9% | -6.1% | +22.2% | 0.71 | 73 | 8.92 – 51.95 | 61 | -2.07 | 0.11 |
| Russell / S&P Small caps against large — the breadth trade | RTY / ES | 0.3887 | ratio | -0.3% | -0.5% | -1.1% | 0.66 | 37 | 0.3467 – 0.5202 | 43 | -2.51 | 0.84 |
| Coffee / Sugar Brazilian soft-complex relative value | KC / SB | 20.66 | ratio | +0.8% | -7.7% | +0.8% | -0.58 | 84 | 5.37 – 29.31 | 160 | -1.51 | 0.15 |
| Gold / Dollar index Metal against the currency it is quoted in | GC / DX | 43.26 | ratio | -0.3% | +5.1% | +6.0% | -0.54 | 87 | 14.32 – 55.70 | 306 | -1.07 | -0.26 |
| Gold / Platinum Store-of-value against the industrial precious metal | GC / PL | 2.468 | ratio | +0.8% | -0.3% | -2.3% | 0.53 | 71 | 1.662 – 3.554 | 57 | -2.22 | 0.59 |
| Soybean oil / meal Which half of the bean is carrying the crush | ZL / ZM | 0.2125 | ratio | +0.3% | +2.0% | -8.4% | 0.53 | 93 | 0.1091 – 0.2495 | 151 | -1.17 | 0.03 |
| Gold / Crude How many barrels an ounce buys | GC / CL | 55.35 | ratio | -3.9% | +17.0% | -3.9% | -0.51 | 86 | 15.15 – 83.90 | 112 | -1.67 | 0.03 |
| Corn / Oats Feed-grain relative value | ZC / ZO | 1.415 | ratio | +2.6% | +0.7% | +10.6% | 0.50 | 75 | 0.738 – 2.047 | 25 | -3.17 | 0.21 |
| Gold / Silver The classic precious-metals ratio | GC / SI | 69.11 | ratio | -0.5% | -2.8% | +1.1% | 0.42 | 14 | 44.00 – 105.33 | 110 | -1.50 | 0.77 |
| Nasdaq / S&P Growth against the broad market | NQ / ES | 3.817 | ratio | +0.2% | +1.0% | -3.2% | 0.35 | 94 | 2.826 – 4.065 | 79 | -1.74 | 0.94 |
| Board crush Processor margin: meal ×0.022 + oil ×0.11 − beans, $/bu | ZM / ZL / ZS | 2.566 | $/bu | -0.014 | -0.140 | -0.451 | 0.35 | 78 | 0.574 – 4.876 | 69 | -1.86 | — |
| Brent − WTI Atlantic vs inland US crude — the location/quality spread | BZ / CL | 5.41 | $/bbl | +1.09 | +2.06 | +0.81 | 0.33 | 83 | -3.68 – 13.87 | 7 | -6.29 | 0.95 |
| RBOB crack Gasoline refining margin: RBOB ×42 − WTI | RB / CL | 35.46 | $/bbl | -7.89 | -8.53 | -18.48 | 0.28 | 84 | 7.45 – 60.79 | 41 | -2.54 | 0.72 |
| Feeder − Live cattle The feeding margin, cents per pound | GF / LE | 123.05 | c/lb | -2.27 | +7.33 | -5.45 | 0.24 | 91 | 13.74 – 134.53 | 341 | -0.72 | 0.12 |
| Platinum / Palladium Substitution pair in autocatalysts | PL / PA | 1.274 | ratio | -0.8% | -1.6% | -0.2% | 0.14 | 89 | 0.372 – 1.443 | 63 | -2.17 | 0.68 |
| Soybeans / Corn The acreage-switch ratio watched every spring | ZS / ZC | 2.552 | ratio | +0.1% | +1.0% | -1.1% | -0.08 | 65 | 1.896 – 2.995 | 49 | -2.32 | 0.54 |
| Dow / S&P Old economy against the index | YM / ES | 6.972 | ratio | -0.9% | -0.4% | +0.4% | -0.07 | 11 | 6.659 – 8.679 | 75 | -2.11 | 0.90 |
Change columns are in the spread’s own units for differences and cracks, and in percent for ratios — a difference spread can cross zero, where a percentage change stops meaning anything. Z is the current level against the mean and standard deviation of the last 250 sessions of the spread itself. %ile is its rank within the full five-year history (sequential ramp — magnitude, not direction). Half-life is the mean-reversion half-life in sessions from an OLS fit of ΔS on lagged S; “none” means the fit found no reversion at all, which is the honest answer for a trending ratio. ADF t is a single-lag Augmented Dickey-Fuller t-statistic on the spread: roughly −2.9 or lower is 5% evidence against a random walk. A spread with a high |z| but no reversion evidence is a trend, not a snap-back. Leg r is the daily-return correlation of the two legs, shown only for two-legged spreads. Cracks convert $/gal to $/bbl at 42 gallons; the board crush uses the standard 44 lb meal / 11 lb oil per bushel yields. Levels come from continuous front-month series, so each leg carries its own roll gaps — the spreads are a monitor, not a settlement price.