Hi James
Thanks for your response. In the case of Soybeans, there is roughly a 6 point difference between the two front-month futures contracts, with the second month contract having a c.6 point higher price than the first month contract (using data from CME). Based on what you’ve said, the DFB should trade in this range (I.e. in this case, not exceeding 6 points above the front month contract, until the front month expiry date where it should be exactly equal to the second month contract price). However, on IG, the DFB contract is trading at around 9 points above the front month contract, contradicting this.
Have I misunderstood something here, and if so, would you be able to provide more information?
thanks
alex