KC hard red winter wheat and Chicago soft red winter wheat are related but distinct benchmarks. Their relative price can change when quality demand, regional supply or transport conditions diverge.
Define the quoted spread
For an illustrative KC-long/Chicago-short position, write KC HRW futures − Chicago SRW futures in cents per bushel. Both full-sized contracts are 5,000 bushels according to CME material, so a 1:1 pair has matching nominal bushel exposure. A one-cent-per-bushel increase in that difference is $50 per 1:1 pair before costs. Reverse the legs and the P&L sign reverses.
Match the delivery dates
Choose the exact listed month and year on both sides. Comparing the same delivery month focuses more tightly on the wheat-class relationship; mixing different months also introduces two separate calendar-curve effects. A chart labeled only “KC versus Chicago” leaves out information necessary to reproduce its history.
Read the drivers rather than the average alone
Protein premiums, crop conditions across growing regions, milling demand, export flows and delivery economics may change the relationship. Examine individual historical years around each proposed window. If one drought year creates most of the average move, the result is a fragile seasonal thesis.
Research checklist
Check overlapping dates, price units, bid-ask depth in each dated contract, the sign convention, and whether both legs remain liquid through the proposed exit. Confirm broker margin and any exchange spread instrument before estimating capital at risk. Historical wins are not a bound on a future loss.
Test the exact dated structure
Inspect the leg months, historical years and selected window before drawing a conclusion from an average curve.
Open Futures Spread Analyzer →Frequently asked questions
What does a positive KC–Chicago quote mean?
KC wheat is priced above Chicago wheat for the selected dated contracts, using that stated subtraction order.
Can I use continuous futures for a backtest?
A continuous series can answer a different research question. For a reproducible dated-contract spread, map both legs and roll assumptions explicitly.
Exchange references
Use the exchange material for product definitions and confirm current specifications, listed combinations and margins with your broker.
Continue the Intercommodity Spreads series
Also read Futures Spread Trading and Calendar Spread Trading.
Bring the formula to the chart
Compare a defined structure across historical years and review every leg before making a decision.
Explore the Analyzer →Educational material only, not investment advice. Examples are illustrative. Historical results do not guarantee future performance. Trading costs and slippage are excluded unless explicitly stated.