Help Center Blog Open An Account

Daily futures - correlation

Good morning everyone,

I would like to analyze the correlation between spot prices and futures prices. However, I will use continuous futures. Can I use the spot price at date t and the future price at date t to do this? Or- is there a time lag?

Thank you in advance.

It is hard to answer this question without knowing the underlying asset. If the underlying cash asset is not liquid, or the Futures are not, you can get some inconsistent gaps between the two.
However, I assume you are referring to some liquid assets, could you specify what they are and what concerns you have over time lag?

Matt Zimberg
Optimus Futures

Good morning Matt Zimberg,

Thank you very much for your answer.
In my example, I am referring to soft commodities prices—specifically coffee and cocoa. I want to analyze the correlation between their spot prices and their future prices.


Cocoa is a unique type of commodity because it has a geographical location dominance (Ivory Coast) so I am sure there are times that Cash and Cocoa Futures (mildly liquid) have spread basis.
A personal suggestion: If you are looking to speculate on Cocoa or Sugar Futures stick to the Futures movement and its analysis. It would be hard to arbitrage such instruments.