· Analytic
Z3302 FC Term Structure Curve Signal
CME Feeder Cattle full term curve composite (L2/L3/L6 vs L1 average), z-scored on two years — Grade A directional signal on CME Feeder Cattle forward returns.
At a glance
Current reading
+0.348
Contango moderate-positive firing
Signal state
Contango
phase +1, FC curve in contango
Sample
Daily CME, 36-year span
Feeder Cattle individual contract curve, 1990+
Daily IC
-0.228 (p < 1e-105)
Spearman vs FC fwd60d, n = 9,049 observations
Non-overlap IC
-0.220 (p = 0.007)
Every-60d sample, n = 150, INDEPENDENTLY SIGNIFICANT
Baseline FC fwd60d
+1.20%
Unconditional mean (per-day grouping)
As of Oct 30, 2026. Updated nightly.
OBJECTIVE
CME Feeder Cattle futures trade across multiple contract months. The inter-month spreads embed the market consensus on forward feeder supply. When deferred months trade at a PREMIUM to the front month (CONTANGO), the market expects feeder supply to be plentiful forward. When deferred months trade at a DISCOUNT to the front (BACKWARDATION), the market expects feeder supply to be tight forward or demand to be firm. This signal reads the full term curve composite — the average spread of L2, L3, and L6 contracts versus L1 — z-scored on a 504-day rolling window, bounded by tanh. Positive composite = CONTANGO = bearish-FC. Negative composite = BACKWARDATION = bullish-FC. State thresholds at plus or minus 0.2 (moderate) and plus or minus 0.5 (extreme). Daily release cadence. The memorable finding: Grade A directional signal with rare independent-sample confirmation. Daily Spearman IC against FC fwd60d is minus 0.228 at p-value below 1e-105 across 9,049 observations. Non-overlapping (every-60-day) IC is minus 0.220 at p-value 0.007 across 150 independent samples — INDEPENDENTLY SIGNIFICANT. This is among the handful of FC signals that clear the non-overlap test. Current reading: Contango moderate-positive firing at composite plus 0.348. The FC curve is modestly contangoed. Historical direction: Phase +1 (Contango) is the lowest fwd60d cell, Phase -1 (Backwardation) is the highest. Read on for the anchor cases and how to pair with the FC fundamental stack.
LIVE CHART
FC Term Structure Curve Signal
Composite reads +0.348 as of October 30, 2026, in the Contango moderate-positive band. The CME FC term curve is modestly contangoed. CME Feeder Cattle (orange) has traded in the \$330-340 range.
COMPOSITE
+0.348 / tanh
STATE
Contango
PHASE
+1
DAILY IC
-0.228 (p < 1e-105)
NON-OVERLAP IC
-0.220 (p = 0.007)
TODAY’S PLAYBOOK READING
STATE
Moderate Pos
STATE AND HISTORY
Contango moderate-positive firing, 3 days running. Daily IC minus 0.228 at p below 1e-105 across 9,049 observations. Non-overlap IC minus 0.220 at p-value 0.007 across 150 independent samples — independently significant. Phase +1 (Contango) is the lowest-fwd60d cell. Phase -1 (Backwardation) is the highest.
THE TERM-STRUCTURE MECHANISM
Contango = deferred premium = market expects feeder supply plentiful forward = bearish-FC. Backwardation = deferred discount = tight forward supply = bullish-FC. The curve embeds market consensus on forward feeder availability.
HOW TO POSITION
Pair with FC US Herd Inventory, LC Term Structure Curve, LC-corn ratio, and the LC fundamental stack. FC term structure is the market-consensus read; pair with structural herd and feedlot-margin signals for stacked confirmation.
WHAT THE CHART SHOWS
The composite sits at +0.348 in the Contango moderate-positive band. The blue signal line has moved above the +0.3 phase threshold as the CME FC term curve modestly contangoed. CME Feeder Cattle (orange) has traded in the \$330-340 range.
TOP INPUTS FIRING
- Primary composite +0.348 State Contango moderate-positive firing, 3 days running.
- FC term curve modestly contangoed Deferred contract months (L2, L3, L6) are trading at a modest premium to the L1 front month — market is pricing plentiful forward feeder supply.
- Non-overlap IC confirms directional edge Daily IC minus 0.228 at p-value below 1e-105. Non-overlap IC minus 0.220 at p-value 0.007 across 150 independent samples — independently significant.
THE TAKEAWAY
What this means for you today
THE TERM-STRUCTURE CALL
Composite plus 0.348, Contango moderate-positive firing. The FC curve is modestly contangoed — market is pricing feeder supply plentiful in the deferred months.
THE EMPIRICAL CONTEXT
Phase +1 (Contango) historically delivers the lowest fwd60d cell among the three states, with a negative edge versus the baseline. Current firing is in Moderate POS sub-band (below plus 0.5 EXTREME threshold).
THE HONEST CAVEAT
Daily IC minus 0.228 at p-value below 1e-105 strongly significant. Non-overlap IC minus 0.220 at p-value 0.007 INDEPENDENTLY significant across 150 independent samples. Grade A directional. Among the few FC signals that clear the non-overlap test.
THE REGIME MAP
The three states, forward returns and sample share
Computed from 9,049 trading days with observable FC fwd60d. Baseline FC fwd60d (unconditional): plus 1.20 percent mean. Grade A directional term-structure signal with independent-sample significance.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Contango TODAY | +1 | 41.3% (3734 d) | +0.70% | -0.50pp | Oct 2026, Oct 2026, Jun 2026 | |
| Normal | 0 | 22.6% (2048 d) | +0.90% | -0.31pp | Oct 2026, Oct 2026, Oct 2026 | |
| Backwardation | -1 | 36.1% (3267 d) | +1.11% | -0.09pp | Oct 2026, Apr 2026, Jan 2024 |
The historical pattern
Signature episodes in the 36-year sample
THE TRACK RECORD
State changes
| State | Start | End | Duration | Fwd 60d FC |
|---|---|---|---|---|
| Contango | 10/30/2024 | 03/26/2026 | 352d | +3.76% |
| Normal | 03/27/2026 | 03/30/2026 | 2d | +15.64% |
| Contango | 03/31/2026 | 04/01/2026 | 2d | +12.09% |
| Normal | 04/02/2026 | 04/15/2026 | 9d | +13.87% |
| Contango | 04/16/2026 | 04/24/2026 | 7d | +7.15% |
| Normal | 04/27/2026 | 04/27/2026 | 1d | +3.22% |
| Backwardation | 04/28/2026 | 04/29/2026 | 2d | +3.83% |
| Normal | 04/30/2026 | 05/07/2026 | 6d | +3.09% |
| Contango | 05/08/2026 | 06/22/2026 | 30d | +4.36% |
| Normal | 06/23/2026 | 06/23/2026 | 1d | +3.96% |
| Contango | 06/24/2026 | 10/06/2026 | 73d | +3.88% |
| Normal | 10/07/2026 | 10/07/2026 | 1d | |
| Contango | 10/08/2026 | 10/08/2026 | 1d | |
| Normal | 10/09/2026 | 10/19/2026 | 7d | |
| Backwardation | 10/20/2026 | 10/26/2026 | 5d | |
| Normal | 10/27/2026 | 10/27/2026 | 1d | |
| Contango | 10/28/2026 | 10/30/2026 | 3d |
Scroll inside the table for the full history. Forward 60-day FC 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 signal pulls CME Feeder Cattle individual contract month closes (L1 front, L2 second-nearby, L3 third-nearby, L6 sixth-nearby) from CSI continuous data, computes the average spread (L2+L3+L6)/3 vs L1, z-scores on a 504-day rolling window with 60-day minimum sample, and bounds with tanh. State thresholds plus or minus 0.2 (moderate) and plus or minus 0.5 (extreme). Daily release.
Why it matters
Why term structure reads market consensus on forward supply
CME Feeder Cattle futures trade across multiple contract months. The inter-month spreads embed the market consensus on forward feeder supply. For feeder cattle, the roll-yield component is smaller than in storable commodities because feeders themselves are biologically bounded in how long they can be held. The inter-month spread is dominated by the supply/demand expectation component. Contango signals plentiful forward supply; backwardation signals tight forward supply.
Why Grade A with independent-sample significance
Daily Spearman IC against FC fwd60d is minus 0.228 at p-value below 1e-105 across 9,049 observations — strongly significant daily. Non-overlapping (every-60-day) independence test at p-value 0.007 across 150 independent samples — INDEPENDENTLY SIGNIFICANT. Directional ordering holds across all three phases: Phase +1 (Contango) is the lowest-fwd60d cell, Phase 0 is middle, Phase -1 (Backwardation) is the highest. The non-overlap test is what separates Grade A directional signals from autocorrelation-inflated daily-IC-only candidates. Among the few FC signals that clear.
How to use this signal today
Pair with FC US Herd Inventory (longest-lead structural supply), LC/FC Ratio, LC-corn ratio (feedlot-margin primary driver), and the LC fundamental stack. FC term structure is the market-consensus directional anchor for FC positioning. When term structure agrees with structural herd inventory, direction is high-conviction.
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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 01, 2026 03:06 PM ET