· Analytic
Z2884 Corn Dec-Nearby Carry
The calendar spread between CBOT corn December contract and the first-nearby contract, z-scored and polarity-inverted. Deep carry markets (Dec well above nearby) and deep inversion markets have historically been the two signature regimes for US corn; the signal measures where current carry sits across 38 years of history.
At a glance
Current composite
-0.6513
On the plus-or-minus one scale; CBOT Dec corn carries a premium over nearby
Signal state
Moderate NEG
12 consecutive days in state
All-time percentile
29.1th
Below median, within normal carry regime
moderate-pos corn fwd 60d
-2.62%
819 days (9.1% of sample), HAC t -2.35 significant at 5%
extreme-neg corn fwd 60d
-0.45%
3,419 days (38.1% of sample), HAC t -0.82
Current state corn fwd 60d
+0.68%
MODERATE_NEG mean, 1,107 state-days, HAC t +0.81, edge +1.17pp
As of Oct 30, 2026. Updated nightly.
OBJECTIVE
CBOT corn trades across a seasonal cycle of contracts anchored to the US harvest. The December contract is the first new-crop month in that cycle, settling in mid-December after the fall harvest ships. In normal supply years the December contract trades at a premium to the first-nearby contract, reflecting the storage incentive the market offers to end-users holding grain through the fall. In scarcity years that structure inverts, and the first-nearby trades at a premium to December as immediate demand pulls grain into the engine workflow faster than it can be delivered. This signal captures that calendar-spread regime by taking the raw CBOT Dec-nearby price difference, z-scoring it on a 504-trading-day rolling window with 126-day minimum, polarity-inverting it (so negative spreads become positive signal readings in the bullish-for-corn direction), and tanh-bounding to the plus-or-minus one scale. The signal reads -0.765 as of Oct 30, 2026, placing it in MODERATE_NEG territory for 12 consecutive trading days at the 29.1 percentile of 38 years of history. The reading corresponds to a solidly-positive calendar spread (Dec premium over nearby), consistent with the post-harvest 2026 storage-incentive regime. Here is the empirical twist across 38 years. The author’s thesis is clean: inversion means scarcity means bullish-for-corn. The empirical state-conditional corn fwd 60d statistics tell a more nuanced story. The moderate-pos state (val between plus 0.2 and plus 0.5, meaning mild inversion) is the ONLY statistically-significant tail, and it delivers minus 2.62 percent corn fwd 60d (HAC Newey-West t minus 2.35, significant at the 5 percent level, 819 state-days). The deeper extreme-pos state (val above plus 0.5, deep inversion) delivers near-zero forward returns because the market has already priced the scarcity by the time inversion gets extreme. The signal contributes 15 percent weight to Corn Cycle DNA with polarity sign minus one; the current contribution to Corn Cycle DNA is plus 0.098 on the composite scale. Read on for the three signature historical cases, the five-state verdict evidence, and the current reading in context.
LIVE CHART
Thirty-eight years of CBOT corn December-nearby calendar-spread regime history.
The signal has been in MODERATE_NEG for 12 consecutive trading days through Oct 30, 2026, with the composite reading at the 29.1 percentile. Signature episodes: extreme-pos (deep inversion) firings during the 2012 drought summer, the 1996 scarcity window, the 2022 Russia-Ukraine Black Sea disruption, and the 2010 Russian export ban. extreme-neg (deep carry) firings during the 2000-2005 pre-ethanol-mandate oversupply era, the 2016-2018 trade-war-era record US stocks window, and the 2020 pandemic-era storage-glut window.
STATE
moderate-neg (deep carry)
COMPOSITE
-0.6513 (29.1th pctile)
CURRENT-STATE CORN FWD 60d
+0.68% mean, n=1,107
PERSISTENCE
7 days in state, 38 years of history
TODAY’S PLAYBOOK READING
STATE
Moderate Neg
STATE AND PERCENTILE
moderate-neg, 7 consecutive days. Composite at minus 0.651 is at the 29.1 percentile.
WHY THE SIGNAL IS HERE
The 2026 US corn harvest is in storage. The CBOT December contract carries a premium over nearby reflecting the storage incentive the market pays end-users through the carry window.
POSTURE FOR THE WEEKS AHEAD
moderate-neg has historically delivered modestly-above-baseline corn fwd 60d (edge plus 1.17 pp). A move toward moderate-pos (inversion regime) would flip into the statistically-significant minus 2.62 percent tail.
WHAT THE CHART SHOWS
The composite sits at -0.76 in the Deep Carry (Storage Incentive) band. The CBOT corn December contract is trading well above the first-nearby, consistent with abundant supply and storage-incentive economics. The parallel Z4393 Stocks Loosening signal confirms the fundamental supply-abundance picture. CBOT front-month corn (orange, right axis) sits near $4.48/bu.
TOP INPUTS FIRING
- Primary composite -0.76 State Deep Carry (Storage Incentive), moderate extreme band. CBOT December contract trades well above the first-nearby.
- CBOT corn December-nearby calendar spread, z-scored The December-contract price minus the first-nearby-contract price, z-scored on a long-rolling window, polarity-inverted so inversion reads positive.
- IC vs CBOT corn fwd 60d: Spearman -0.061, p=6.1e-09 (N=8,984) Mildly significant NEGATIVE IC. Deep carry (negative composite) is modestly bearish for corn fwd 60d via the supply-abundance mechanism. Full-sample mechanism-aligned but moderate strength.
THE TAKEAWAY
What this means for you today
WHAT THE CARRY REGIME IS TELLING YOU
CBOT corn December-nearby spread is in solid-carry territory, consistent with the post-harvest storage-incentive regime. End-users holding corn through the fall-and-winter window are being paid by the market to carry grain, which is the normal pattern in adequate-supply years. The 29.1 percentile reading places the current carry within the normal-depth-of-carry range historically.
THE AUTHOR THESIS VERSUS EMPIRICAL READING
The author’s thesis on this signal is clean: inversion equals scarcity equals bullish-for-corn. The 38-year empirical state-conditional corn fwd 60d statistics confirm the direction but complicate the magnitude. The ONLY statistically-significant tail is moderate-pos (mild inversion), which delivers minus 2.62 percent corn fwd 60d (HAC t minus 2.35 significant at 5 percent) , the OPPOSITE of the thesis. The deep-inversion extreme-pos state delivers near-zero forward returns. The pattern is consistent with "news already priced": by the time inversion is mild, the forward-return window has typically been where profit-taking occurs; by the time inversion is deep, the market has absorbed the scarcity narrative and forward returns are flat.
THE HONEST CAVEAT
The Dec-nearby spread is sensitive to the calendar position (what the first-nearby actually is at any given time). The signal is more informative in the September-through-March window when December is a well-defined forward contract than in the May-through-August window when the Dec contract shares the curve with multiple intervening months and the roll pattern becomes more complex. The 504-day z-score window captures approximately two seasonal cycles; readers should weight the signal higher in post-harvest months when the Dec contract carries clean forward-storage-incentive information.
THE REGIME MAP
The three corn Dec-nearby carry regime states, forward returns and sample share
Behavior across the CBOT corn December-nearby calendar spread, z-scored and polarity-inverted. Deep carry (Dec well above nearby, storage-incentive regime) reads negative composite; carry inversion (nearby above Dec, scarcity signal) reads positive composite. The two signature regimes historically map to abundant-supply (deep carry) and tight-supply (inverted) corn markets. CBOT corn benchmark.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Deep Carry (Storage Incentive) TODAY | – | 47.2% (4266 d) | +1.10% | +0.81pp | Oct 2026, Oct 2026, Aug 2026 | |
| Normal Carry | 0 | 19.2% (1739 d) | +0.27% | -0.03pp | Oct 2026, Aug 2026, Jul 2026 | |
| Carry Inverted (Scarcity) | + | 33.6% (3039 d) | -0.66% | -0.95pp | Aug 2026, Jul 2026, Jul 2026 |
Thirty-eight years of CBOT corn Dec-nearby calendar-spread regime, four scenes
The signal across 38 years of US corn carry history
THE TRACK RECORD
The last fourteen state transitions
14 transitions from 10/14/2024 to 10/23/2026.
| State | Start | End | Duration | Fwd 60d SPY |
|---|---|---|---|---|
| extreme-neg | 10/14/2024 | 11/11/2024 | 20d | |
| moderate-neg | 11/12/2024 | 12/02/2024 | 15d | |
| NORMAL | 12/03/2024 | 02/14/2025 | 54d | |
| moderate-pos | 02/17/2025 | 04/11/2025 | 40d | |
| NORMAL | 04/14/2025 | 06/13/2025 | 45d | |
| moderate-neg | 06/16/2025 | 08/15/2025 | 45d | |
| extreme-neg | 08/18/2025 | 11/14/2025 | 65d | |
| moderate-neg | 11/17/2025 | 12/19/2025 | 24d | |
| NORMAL | 12/22/2025 | 02/27/2026 | 48d | |
| moderate-neg | 03/02/2026 | 04/10/2026 | 29d | |
| extreme-neg | 04/13/2026 | 07/24/2026 | 75d | |
| moderate-neg | 07/27/2026 | 09/11/2026 | 34d | |
| NORMAL | 09/14/2026 | 10/14/2026 | 23d | |
| moderate-neg LIVE | 10/15/2026 | current | 7d |
Scroll inside the table for the full history. Forward 60-day SPY is measured from each run’s start date; a reader cannot trade off a start-date they only identify in hindsight, so this is a transparency log, not an alpha claim. Asterisked (*) returns are partial. The run is less than 60 trading days old. The full 60-day comparable fills in as more data arrives.
What this measures
The engine loads CBOT corn December-contract and first-nearby back-adjusted continuous close series. Computes the raw spread (Dec minus nearby) daily. Z-scores the spread on a 504-trading-day rolling window with 126-day minimum. Polarity-inverts so that negative spreads (inversion, nearby premium) map to positive signal values in the bullish-for-corn direction. Tanh-bounds to the plus-or-minus one scale. Five-state machine: extreme-neg below minus 0.5 (deep carry, bearish-for-corn per author thesis), between minus 0.5 and minus 0.2, NORMAL between plus-or-minus 0.2, moderate-pos between plus 0.2 and plus 0.5, extreme-pos above plus 0.5 (deep inversion, scarcity).
Why it matters
THE CALENDAR SPREAD IS THE CLEANEST SUPPLY-DEMAND REGIME INDICATOR
Unlike production-side signals that depend on USDA forecasts or satellite estimates, the calendar spread is a market-priced reflection of actual end-user versus holder behavior. When end-users are willing to pay nearby premiums over December, immediate demand is pulling grain into the engine workflow faster than storage economics would otherwise suggest. When December carries a premium over nearby, the market is paying holders to retain grain through the fall-and-winter window. The spread is the cleanest supply-demand regime indicator available in the US corn market.
THE ONLY STATISTICALLY-SIGNIFICANT TAIL IS CONTRARIAN
The 38-year empirical state-conditional corn fwd 60d statistics show the moderate-pos state as the only statistically-significant tail, and it delivers minus 2.62 percent (HAC t minus 2.35 significant at 5 percent). This runs opposite the author’s clean "inversion equals bullish" thesis. The empirical pattern is consistent with "news already priced": mild inversion typically arrives after corn has already rallied substantially, leaving the forward window skewed to profit-taking. Deep extreme-pos inversion delivers near-zero forward returns because the market has absorbed the scarcity narrative.
Corn Cycle DNA DOUBLE-FLIPS THE SIGNAL VIA POLARITY MINUS ONE
Corn Cycle DNA ingests this signal at weight 0.15 with polarity sign minus one. The polarity flip converts the signal’s current MODERATE_NEG reading (val minus 0.651) into a positive contribution of plus 0.098 to Corn Cycle DNA (equal to minus 0.651 times minus 1 times 0.15). The polarity design treats deep-carry readings as composite-bullish contributors in Corn Cycle DNA, reflecting that extended oversupply regimes have historically preceded mean-reverting rally conditions in subsequent seasons.
GO DEEPER
What CBOT corn December-nearby calendar-spread regime has meant for corn forward returns across 38 years of US supply-and-demand cycles
The full research brief adds methodology detail on the Dec-nearby calendar spread construction, why the sign is polarity-inverted (inversion = scarcity = positive composite), and the historical context for the two signature regimes (deep carry and carry inversion). Includes historical case studies anchored to actual carry episodes, the three-regime state-conditional table, and the methodology for pairing with Ending Stocks, Commercials positioning, and the Corn Cycle DNA playbook.
Signal consumers and companion lenses
Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.
Last refreshed Nov 02, 2026 01:17 PM ET