This came in from the NYC Contact which could be very very useful for y’all. More to come!
R Code for for charting Daily Crude Oil Futures spread (calendar spread of first two months) .
The chart shows mean reversion and volatility. Extreme contango has happened several times.
Here is the R code:
CL1 = read.csv('http://www.quandl.com/api/v1/datasets/CHRIS/CME_CL1.csv?&trim_start=1983-03-31&trim_end=2014-03-24&sort_order=desc', colClasses=c('Date'='Date'))
CL2 = read.csv('http://www.quandl.com/api/v1/datasets/CHRIS/CME_CL2.csv?&trim_start=1983-03-30&trim_end=2014-03-24&sort_order=desc', colClasses=c('Date'='Date'))
CL_Spread["Date"] = CL1["Date"]
CL_Spread["Settle"] = CL1["Settle"] - CL2["Settle"]