Futures spreads term curves, inventory drawdowns, and structural pricing anomalies.
In physical commodities markets, fundamental imbalances occur at the convergence of supply-chain logistics and futures contract calendars. AQS maps these structural discrepancies to identify high-probability arbitrage opportunities, using cost of carry structures to verify margins.
When the prompt-month contango spread exceeds the physical storage and financing carry cost boundary, we short the front-month contract and simultaneously go long the back-month futures contract to capture guaranteed convergence.
Position size calculations are dynamically re-calibrated on a daily basis using implied volatility matrix thresholds of front-month contracts.
