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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 30Y − 10Y (price) Long-end curve proxy in futures price, not yield | ZB / ZN | 1.219 | pts | -0.124 | +0.359 | -0.953 | -1.93 | 0 | 0.344 – 33.000 | 82 | -1.64 | 0.90 |
| Copper / Gold Growth against fear — the classic macro barometer | HG / GC | 0.00155 | ratio | -2.2% | -0.2% | +2.6% | 1.84 | 28 | 0.00111 – 0.00268 | 100 | -1.76 | 0.40 |
| Gasoline − Heating oil Seasonal product switch, both in $/bbl | RB / HO | -39.54 | $/bbl | -3.22 | +2.37 | -17.16 | -1.68 | 7 | -83.45 – 13.23 | 23 | -3.25 | 0.55 |
| Wheat − Corn Feed-substitution spread, cents per bushel | KE / ZC | 251.8 | c/bu | +11.3 | -10.5 | +35.3 | 1.66 | 81 | 54.0 – 567.0 | 54 | -1.99 | 0.45 |
| 10Y − 2Y (price) Belly curve proxy in futures price, not yield | ZN / ZT | 5.902 | pts | -0.068 | +0.277 | -0.336 | -1.59 | 4 | 4.316 – 24.070 | 25 | -3.20 | 0.83 |
| Heating oil crack Distillate refining margin: HO ×42 − WTI | HO / CL | 82.89 | $/bbl | +2.63 | -6.94 | +4.96 | 1.58 | 98 | 17.82 – 110.33 | 140 | -0.97 | 0.70 |
| Copper / Aluminum Relative industrial-metal demand | HG / ALI | 0.00196 | ratio | +0.2% | +4.4% | +4.9% | 1.58 | 94 | 0.00127 – 0.00226 | 16 | -4.08 | 0.45 |
| S&P / Gold Equities priced in gold | ES / GC | 1.796 | ratio | -3.5% | -0.0% | -2.0% | 1.33 | 21 | 1.274 – 2.664 | 184 | -1.22 | 0.10 |
| Cattle / Corn Feed cost pressure on the feedlot | LE / ZC | 0.4952 | ratio | +0.7% | +4.6% | -1.8% | -1.16 | 79 | 0.1626 – 0.6298 | 84 | -1.88 | -0.05 |
| 3-2-1 crack Blended refinery margin: (2×RBOB + 1×HO) ×42 ÷ 3 − WTI | RB / HO / CL | 56.53 | $/bbl | +0.48 | -5.37 | -6.48 | 1.15 | 96 | 13.30 – 72.22 | 118 | -1.17 | — |
| Live cattle / Lean hogs Protein substitution ratio | LE / HE | 2.754 | ratio | +2.0% | +5.7% | +14.1% | 1.07 | 97 | 1.118 – 3.021 | 26 | -3.28 | -0.02 |
| Cocoa / Coffee The two supply-shock softs against each other | CC / KC | 18.94 | ratio | +0.8% | +19.0% | +4.5% | 1.00 | 55 | 9.63 – 52.76 | 76 | -1.82 | 0.13 |
| RBOB crack Gasoline refining margin: RBOB ×42 − WTI | RB / CL | 43.35 | $/bbl | -0.60 | -4.58 | -12.20 | 0.82 | 92 | 7.45 – 60.79 | 45 | -2.30 | 0.72 |
| Russell / S&P Small caps against large — the breadth trade | RTY / ES | 0.3900 | ratio | -0.5% | -1.4% | -1.6% | 0.77 | 38 | 0.3467 – 0.5202 | 41 | -2.59 | 0.84 |
| Coffee / Sugar Brazilian soft-complex relative value | KC / SB | 20.50 | ratio | -4.9% | -8.8% | -2.3% | -0.63 | 83 | 5.37 – 29.31 | 160 | -1.51 | 0.14 |
| Feeder − Live cattle The feeding margin, cents per pound | GF / LE | 125.33 | c/lb | +7.22 | +10.00 | -1.30 | 0.55 | 94 | 13.74 – 134.53 | 342 | -0.72 | 0.12 |
| Crude / Natural gas Energy-equivalent ratio between the two benchmarks | CL / NG | 28.03 | ratio | +1.4% | -7.5% | +17.1% | 0.52 | 67 | 8.92 – 51.95 | 61 | -2.07 | 0.11 |
| Soybean oil / meal Which half of the bean is carrying the crush | ZL / ZM | 0.2118 | ratio | -0.4% | +0.0% | -2.8% | 0.51 | 92 | 0.1091 – 0.2495 | 151 | -1.17 | 0.03 |
| Gold / Dollar index Metal against the currency it is quoted in | GC / DX | 43.39 | ratio | +3.4% | +4.1% | +5.5% | -0.51 | 87 | 14.32 – 55.70 | 315 | -1.04 | -0.26 |
| Gold / Silver The classic precious-metals ratio | GC / SI | 69.43 | ratio | +1.2% | -1.5% | +1.9% | 0.44 | 14 | 44.00 – 105.33 | 111 | -1.49 | 0.77 |
| Gold / Platinum Store-of-value against the industrial precious metal | GC / PL | 2.448 | ratio | +3.5% | -2.3% | -3.6% | 0.43 | 70 | 1.662 – 3.554 | 56 | -2.27 | 0.59 |
| Dow / S&P Old economy against the index | YM / ES | 7.035 | ratio | +0.6% | +0.4% | +1.2% | 0.43 | 17 | 6.659 – 8.679 | 73 | -2.17 | 0.90 |
| Board crush Processor margin: meal ×0.022 + oil ×0.11 − beans, $/bu | ZM / ZL / ZS | 2.580 | $/bu | -0.072 | -0.153 | -0.140 | 0.37 | 79 | 0.574 – 4.876 | 68 | -1.88 | — |
| Gold / Crude How many barrels an ounce buys | GC / CL | 57.62 | ratio | +2.7% | +15.8% | +0.3% | -0.34 | 88 | 15.15 – 83.90 | 114 | -1.63 | 0.03 |
| Nasdaq / S&P Growth against the broad market | NQ / ES | 3.809 | ratio | -0.7% | +0.8% | -3.4% | 0.29 | 94 | 2.826 – 4.065 | 76 | -1.81 | 0.94 |
| Platinum / Palladium Substitution pair in autocatalysts | PL / PA | 1.284 | ratio | -0.8% | +1.1% | -1.3% | 0.24 | 90 | 0.370 – 1.443 | 65 | -2.10 | 0.68 |
| Soybeans / Corn The acreage-switch ratio watched every spring | ZS / ZC | 2.548 | ratio | +0.3% | +0.4% | -0.6% | -0.12 | 65 | 1.896 – 2.995 | 48 | -2.38 | 0.54 |
| Brent − WTI Atlantic vs inland US crude — the location/quality spread | BZ / CL | 4.32 | $/bbl | +0.53 | +1.03 | +0.10 | -0.10 | 65 | -3.68 – 13.87 | 7 | -6.31 | 0.95 |
| Corn / Oats Feed-grain relative value | ZC / ZO | 1.378 | ratio | -0.3% | -2.4% | +5.2% | 0.00 | 69 | 0.738 – 2.047 | 25 | -3.21 | 0.21 |
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.