Home  ›  Signals  ›  Z5938 Corn from Wheat Grain Complex Variance Spillover

· Analytic

Z5938 Corn from Wheat Grain Complex Variance Spillover (2-day)

A portfolio-regime variance signal: 21-day rolling std of SRW wheat return residualized against USD + HY OAS, 252-day z-scored, DY-weighted at 0.094 influence-share, 2-day forward shifted. Captures 2-day propagation of wheat-complex shocks into corn-complex volatility. Portfolio-level sizing nudge, not directional alpha.

Current reading

-0.117

NEUTRAL

DAILY · SIGNAL

As of Oct 23, 2026. Updated nightly.

Current composite

-0.1062

On the plus-or-minus one scale; W residual vol below average 2d ago

Signal state

Neutral

13 consecutive days in episode

All-time percentile

38.4th

Lower-middle of 15 years

EXTREME_NEG corn fwd 60d

+20.63%

22 days (0.5%), HAC t +4.23 sig at 1% , small-N but sharp

MODERATE_POS corn fwd 60d

+2.25%

900 days (21.6%), HAC t +1.84 near 10%

LOCKED portfolio weight

7.7%

1/13 equal-weight in Layer 1 base sleeve, polarity +1

OBJECTIVE

The INFLUENCE_NETWORK framework decomposes a target market’s residualized forecast variance into DY (Diebold-Yilmaz) shares attributable to connected markets. For US corn (C), the INFLUENCE_NETWORK truth INF_T043 documents that approximately 9.4 percent of corn’s 10-day residualized forecast variance is attributable to SRW wheat (W) shocks. This signal captures that spillover channel in daily operational form. The engine queries CBOT SRW wheat continuous closes, residualizes W daily log-returns against USD index + HY OAS credit spread (rolling 252-day OLS), computes a 21-day rolling standard deviation of the W residual (idiosyncratic wheat vol), z-scores on a 252-day rolling window, applies a 2-day forward shift to capture propagation lag, and multiplies by the DY-share 0.094. The 2-day lag (vs 1-day market norm) reflects empirical propagation channels: weather-narrative bridging from wheat regions to corn regions, feed-substitution auction adjustments, global-substitution import-tender flows, WASDE-digestion propagation. The signal is VARIANCE-ONLY (LASSO=0, stab_freq=0) , it predicts magnitude of corn vol, not direction. The engine does NOT consume USDA_WASDE_CORN_BALANCE or CROP_PROGRESS by design: pre-shipment review determined that the variance signal is dense-daily while WASDE overlay would need +15-30d publication lag and is orthogonal to the variance mechanism; not adopted for v1. Across 15 years of history the empirical state-conditional corn fwd 60d pattern is small-N but strongly significant on the EXTREME_NEG tail. EXTREME_NEG state (val below minus 0.5, W residual vol was far below-average 2d ago → C expected to be quiet) delivers mean corn fwd 60d of plus 20.63 percent (HAC Newey-West t plus 4.23, significant at 1 percent, 22 state-days , small-N but sharp). The small-N reflects that the signal only reaches extremes rarely; most of history is in the NEUTRAL + MODERATE_NEG + MODERATE_POS bands. The signal reads minus 0.1062 as of October 23 2026 in NEUTRAL territory for 13 consecutive trading days at the 38.4 percentile.

LIVE CHART

THE TAKEAWAY

THE REGIME MAP

Behavior across the 21-day rolling std of SRW wheat return residualized against USD + HY OAS, 252-day z-scored, DY-weighted at 0.094 influence-share, 2-day forward shifted. Captures 2-day propagation of wheat-complex shocks into corn-complex volatility. Portfolio-level sizing-nudge signal. CBOT corn benchmark.

The historical pattern

THE TRACK RECORD

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.

The engine loads CBOT SRW wheat continuous closes. Computes daily log-returns. Residualizes against USD + HY OAS basis (rolling 252d OLS). Computes 21-day rolling standard deviation of the W residual. Z-scores the 21d-rolling-std on 252-day rolling window. Applies 2-day forward shift (`vol_z_lag = vol_z.shift(LAG_DAYS=2)`). Multiplies by DY INFLUENCE share 0.094 (fixed scale). Tanh-bounds at 1.5 divisor. Positive signal = HIGH-VOL regime (reduce C sizing). Five-state machine on the final the primary composite.

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 01:46 PM ET