Strategies · Core
Skewness Effect in Commodities
Prefer commodity futures with more attractive skewness (or fade lottery-like positive skew) — a moment factor in the curve complex.
Definition
Estimate realized or option-implied skewness per commodity. Long low (or negative) skew / short lottery contracts, or the reverse depending on the paper. Related to crash-risk pricing in commodity options.
Why it matters
Skew is how you talk about squeeze vs glut without only using the slope. It is noisy and sample-hungry.
Case
A grains contract with crash-up skew into weather season. The ‘cheap skew’ was the harvest option. Sizing is the strategy.
How to read it
Realized vs implied, window, and whether you are just rediscovering energy. Moments need a long sample.
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