Crude Oil Spread Historical Data

[ed_berk]

Does anyone know where I might find historical data for the exchange-listed calendar spreads that are traded on GLOBEX? I have checked with the exchange as well as a few data vendors. No luck as of yet. Any help would be greatly appreciated.

Ed

 

[Trader922]

I have never seen data for what you're looking for. There is a lot of spread information out there, but I have not found what you are looking for.

I also would be interested in this.

Regards,
Eric

 

[H2O]

At the moment I don't use CQG (Bloomberg now) but I'm fairly sure CQG has this data. I think you should use a symbol like this: CLS3H9 (This would be the 3 month spread starting in March 09)

Btw, I never used this for oil data but it does work on the Euribor / Eurodollar and Short Sterling interest rate spread data

Hope this helps

 

[yshterk]

Check out https://www.cqgdatafactory.com/, they have the exchange traded spreads.

 

[SideShowBob]

Quote from yshterk:

Check out https://www.cqgdatafactory.com/, they have the exchange traded spreads.

Don't forget to make sure you increase the limit on your credit cards, CQG data is not cheap.

 

[local_crusher]

I used the individual contracts and calculated spread data from these.

Not the most exact solutions, but still viable.