Why Distant Futures Settlements Can Be Unreliable
Summary
The document explains why a futures contract's historical listing may contain dates well before its delivery month. Exchanges list contracts across multiple expiries, but trading activity is usually concentrated in nearer contracts. Farther-dated contracts can still show daily settlement prices even when they have little or no trading, so those values may be unreliable for analysis. The answer recommends comparing the price series with volume or open interest to identify inactive periods.
A second answer suggests that apparent jumps or reversals in a displayed series may result from missing or synthetic settlement data rather than genuine price moves. The discussion is qualitative and does not provide an adjustment procedure, a formal liquidity threshold, or a specific method for constructing continuous futures series. It cautions analysts to interpret historical settlements alongside trading activity, while leaving the details of futures adjustment for further study.
Key ideas
- A futures contract can have historical settlement records from before its delivery month because the contract was listed earlier.
- Trading activity tends to concentrate in nearby expiries, while distant contracts may be inactive.
- Volume and open interest can help identify periods when a contract had no meaningful trading.
- Apparent jumps may reflect missing or synthetic settlement observations rather than actual market moves.
- The document does not specify a continuous-futures adjustment method.
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# Understanding Quandl Futures Data # Understanding Quandl Futures Data 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: 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! ## Answer by Helin (score 2, accepted) https://quant.stackexchange.com/a/18829 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. ## Answer by glaucoOptions (score 0) https://quant.stackexchange.com/a/25185 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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