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TOPIC: What is a "correlation" spread?

What is a "correlation" spread? 2 years 1 month ago #9

  • andy
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Correlation means a comparison of the price pattern in the current spread to patterns exhibited by that spread historically. The theory underlying this analysis of analogous years, or analogous contracts, is that a market which closely follows the trading pattern of a previous year(s) may continue (to one degree or another) to do so because similar fundamental conditions may exist.
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What is a "correlation" spread? 1 year 11 months ago #15

  • Rahimseven
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Not sure I understand your meaning. So you are using a previous year contract as a leading indicator? How does that work? Can this be done on currency futures or FOREX? How do you handle a deviation?
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What is a "correlation" spread? 1 year 11 months ago #18

  • andy
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Please have a look at the following link from MRCI. It explains correlation in more detail:

www.mrci.com/web/help-pages/frequently-a...relation-charts.html

Best,
Andy
Last Edit: 1 year 11 months ago by andy.
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Derivative transactions, including futures, are complex and carry a high degree of risk. They are intended for sophisticated investors and are not suitable for everyone. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results, and all of which can adversely affect actual trading results. For more information, see the Risk Disclosure Statement for Futures and Options.