CME Group Rolling Futures Indices represent the performance of a continuous rolling investment in an underlying CME Group futures contract.
This index family provides clients with index levels, which can be used to benchmark performance, create an exchange tradable product or utilize as a settlement price for an OTC derivative.
The indices are calculated using a formula-based approach involving highly liquid contracts and the rolling mechanism is designed to ensure a smooth replication.
CME Group Rolling Futures Indices
Index name
Product code
CME Group Corn Rolling Futures Index
ZCCRF
CME Group Chicago Wheat Rolling Futures Index
ZWCRF
CME Group KC Wheat Rolling Futures Index
KECRF
CME Group Soybean Rolling Futures Index
ZSCRF
CME Group Soybean Oil Rolling Futures Index
ZLCRF
CME Group Soybean Meal Rolling Futures Index
ZMCRF
CME Group Lean Hogs Rolling Futures Index
HECRF
CME Group Live Cattle Rolling Futures Index
LECRF
CME Group Feeder Cattle Rolling Futures Index
GFCRF
CME Group Rolling Futures Indices - Agricultural Complex
Realized volatility and drawdown
|
Realized volatility |
Maximum drawdown |
|||||
|---|---|---|---|---|---|---|
|
Underlying futures |
1Y |
3Y |
5Y |
1Y |
3Y |
5Y |
|
U.S. T-Bond |
10.88% |
12.82% |
12.00% |
11.06% |
32.59% |
39.66% |
|
10Y T-Note |
5.81% |
7.32% |
6.39% |
6.32% |
19.83% |
23.86% |
|
2Y T-Note |
1.83% |
2.40% |
1.92% |
2.19% |
8.65% |
9.37% |
|
5Y T-Note |
3.99% |
5.23% |
4.37% |
4.43% |
14.78% |
17.63% |
|
Ultra U.S. T-Bond |
14.29% |
16.76% |
17.02% |
13.92% |
44.01% |
52.81% |
|
Ultra 10Y |
7.35% |
9.30% |
8.51% |
7.87% |
24.96% |
30.16% |
Year-on-year performance
|
Underlying futures |
2024 |
2023 |
2022 |
2021 |
2020 |
2019 |
2018 |
|---|---|---|---|---|---|---|---|
|
Corn |
-13.78% |
-22.22% |
20.21% |
33.38% |
11.28% |
-6.36% |
-6.96% |
|
Soybean |
-20.55% |
-1.19% |
30.66% |
9.09% |
33.06% |
-3.64% |
-12.84% |
|
Soybean Oil |
-16.55% |
-13.70% |
31.52% |
49.07% |
15.95% |
18.30% |
-20.19% |
|
Soybean Meal |
-10.34% |
-2.34% |
39.26% |
-3.82% |
28.02% |
-9.80% |
-5.79% |
|
Chicago Wheat |
-21.09% |
-31.09% |
-5.11% |
11.99% |
9.44% |
6.62% |
0.83% |
|
KC Wheat |
-18.10% |
-27.39% |
9.20% |
25.64% |
13.75% |
-11.38% |
-4.90% |
|
Live Cattle |
12.43% |
7.63% |
3.12% |
1.47% |
-19.33% |
-1.17% |
-0.54% |
|
Lean Hogs |
21.73% |
-30.98% |
4.24% |
24.99% |
-25.45% |
-24.61% |
-13.99% |
|
Feeder Cattle |
12.62% |
5.75% |
-8.93% |
6.26% |
-16.71% |
-7.61% |
-2.28% |
Index name
Product code
CME Group Natural Gas Rolling Futures Index
NGCRF
CME Group Crude Oil Rolling Futures Index
CLCRF
CME Group RBOB Gasoline Rolling Futures Index
RBCRF
CME Group NY Harbor ULSD Rolling Futures Index
HOCRF
CME Group Rolling Futures Indices - Energy Complex
Realized volatility and drawdown
|
|
Realized volatility |
Maximum drawdown (2 Jan 2020 - 31 Dec 2024) |
||||
|---|---|---|---|---|---|---|
|
Underlying futures |
1Y |
3Y |
5Y |
1Y |
3Y |
5Y |
|
WTI |
28.30% |
37.47% |
58.30% |
20.57% |
41.02% |
86.44% |
|
Heating Oil |
26.47% |
39.99% |
41.63% |
29.44% |
33.96% |
67.43% |
|
Gasoline |
26.81% |
35.75% |
46.31% |
25.71% |
36.45% |
74.87% |
|
Natural Gas |
56.89% |
67.01% |
62.31% |
49.63% |
91.08% |
91.08% |
Year-on-year performance
|
Underlying futures |
2024 |
2023 |
2022 |
2021 |
2020 |
2019 |
2018 |
|---|---|---|---|---|---|---|---|
|
WTI |
13.08% |
-6.75% |
17.11% |
66.47% |
-46.12% |
27.71% |
-20.65% |
|
Heating Oil |
-7.01% |
-5.39% |
110.10% |
58.75% |
-38.23% |
20.70% |
-17.93% |
|
Gasoline |
-0.12% |
0.68% |
47.40% |
72.81% |
-26.58% |
41.72% |
-29.37% |
|
Natural Gas |
-18.28% |
-66.44% |
17.91% |
35.29% |
-44.37% |
-33.89% |
1.33% |
Index name
Product code
CME Group Euro FX Rolling Futures Index
6ECRF
CME Group British Pound Rolling Futures Index
6GCRF
CME Group Swiss Franc Rolling Futures Index
6SCRF
CME Group Japanese Yen Rolling Futures Index
6JCRF
CME Group Canadian Dollar Rolling Futures Index
6CCRF
CME Group Mexican Peso Rolling Futures Index
6MCRF
CME Group Australian Dollar Rolling Futures Index
6ACRF
CME Group Rolling Futures Indices - FX Complex
Realized volatility and drawdown
| Realized volatility | Maximum drawdown | |||||
|---|---|---|---|---|---|---|
| Underlying futures | 1Y | 3Y | 5Y | 1Y | 3Y | 5Y |
| Gold | 15.02% | 14.59% | 16.27% | 8.24% | 21.48% | 23.42% |
| Copper | 22.01% | 23.44% | 23.62% | 22.17% | 35.49% | 35.49% |
| Platinum | 26.23% | 28.63% | 32.38% | 18.98% | 30.16% | 41.81% |
| Silver | 31.11% | 29.59% | 33.88% | 17.80% | 35.18% | 41.66% |
| Aluminum | 21.32% | 22.94% | ||||
Year-on-year performance
|
Underlying futures |
2024 |
2023 |
2022 |
2021 |
2020 |
2019 |
2018 |
|---|---|---|---|---|---|---|---|
|
Gold |
20.33% |
7.24% |
-2.70% |
-4.27% |
20.84% |
15.64% |
-4.60% |
|
Copper |
-7.07% |
-0.03% |
-15.32% |
27.55% |
22.54% |
5.33% |
-23.07% |
|
Platinum |
-23.79% |
-8.89% |
11.94% |
-10.70% |
8.20% |
19.04% |
-16.20% |
|
Silver |
14.57% |
-5.01% |
0.47% |
-12.34% |
42.66% |
11.54% |
-11.84% |
|
Aluminum |
-0.83% |
-6.45% |
Index name
Product code
CME Group Gold Rolling Futures Index
GCCRF
CME Group Silver Rolling Futures Index
SICRF
CME Group Copper Rolling Futures Index
HGCRF
CME Group Platinum Rolling Futures Index
PLCRF
CME Group Aluminium Rolling Futures Index
ALICRF
CME Group Rolling Futures Indices - Metals Complex
Realized volatility and drawdown
|
|
Realized volatility |
Maximum drawdown |
||||
|---|---|---|---|---|---|---|
|
Underlying futures |
1Y |
3Y |
5Y |
1Y |
3Y |
5Y |
|
Corn |
17.98% |
23.97% |
24.90% |
25.86% |
49.88% |
49.88% |
|
Soybean |
17% |
20.89% |
20.63% |
25.36% |
35.02% |
35.02% |
|
Soybean Oil |
27.77% |
31.56% |
30.54% |
20.94% |
41.98% |
41.98% |
|
Soybean Meal |
22.44% |
25.66% |
24.48% |
22.07% |
31.75% |
34.46% |
|
Chicago Wheat |
22.23% |
25.31% |
24.23% |
31.21% |
70.25% |
70.25% |
|
KC Wheat |
25.94% |
33.96% |
31.88% |
31.18% |
62.98% |
62.98% |
|
Live Cattle |
12.05% |
12.40% |
16.18% |
7.86% |
15.47% |
33.55% |
|
Lean Hogs |
23.31% |
28.93% |
32.50% |
23.63% |
47.45% |
54.53% |
|
Feeder Cattle |
14.01% |
15.22% |
17.83% |
15.81% |
21.68% |
28.85% |
Year-on-year performance
|
Underlying futures |
2024 |
2023 |
2022 |
2021 |
2020 |
2019 |
2018 |
|---|---|---|---|---|---|---|---|
|
Corn |
-13.78% |
-22.22% |
20.21% |
33.38% |
11.28% |
-6.36% |
-6.96% |
|
Soybean |
-20.55% |
-1.19% |
30.66% |
9.09% |
33.06% |
-3.64% |
-12.84% |
|
Soybean Oil |
-16.55% |
-13.70% |
31.52% |
49.07% |
15.95% |
18.30% |
-20.19% |
|
Soybean Meal |
-10.34% |
-2.34% |
39.26% |
-3.82% |
28.02% |
-9.80% |
-5.79% |
|
Chicago Wheat |
-21.09% |
-31.09% |
-5.11% |
11.99% |
9.44% |
6.62% |
0.83% |
|
KC Wheat |
-18.10% |
-27.39% |
9.20% |
25.64% |
13.75% |
-11.38% |
-4.90% |
|
Live Cattle |
12.43% |
7.63% |
3.12% |
1.47% |
-19.33% |
-1.17% |
-0.54% |
|
Lean Hogs |
21.73% |
-30.98% |
4.24% |
24.99% |
-25.45% |
-24.61% |
-13.99% |
|
Feeder Cattle |
12.62% |
5.75% |
-8.93% |
6.26% |
-16.71% |
-7.61% |
-2.28% |
Index name
Product code
CME Group 2Y T-Note Rolling Futures Index
ZTCRF
CME Group 5Y T-Note Rolling Futures Index
ZFCRF
CME Group 10Y T-Note Rolling Futures Index
ZNCRF
CME Group U.S. Treasury Bond Rolling Futures Index
ZBCRF
CME Group Ultra 10Y T-Note Rolling Futures Index
TNCRF
CME Group Ultra U.S. Treasury Bond Rolling Futures Index
UBCRF
CME Group Rolling Futures Indices - Treasury Complex
Realized volatility and drawdown
|
Realized volatility |
Maximum drawdown |
|||||
|---|---|---|---|---|---|---|
|
Underlying futures |
1Y |
3Y |
5Y |
1Y |
3Y |
5Y |
|
U.S. T-Bond |
10.88% |
12.82% |
12.00% |
11.06% |
32.59% |
39.66% |
|
10Y T-Note |
5.81% |
7.32% |
6.39% |
6.32% |
19.83% |
23.86% |
|
2Y T-Note |
1.83% |
2.40% |
1.92% |
2.19% |
8.65% |
9.37% |
|
5Y T-Note |
3.99% |
5.23% |
4.37% |
4.43% |
14.78% |
17.63% |
|
Ultra U.S. T-Bond |
14.29% |
16.76% |
17.02% |
13.92% |
44.01% |
52.81% |
|
Ultra 10Y |
7.35% |
9.30% |
8.51% |
7.87% |
24.96% |
30.16% |
Year-on-year performance
|
Underlying futures |
2024 |
2023 |
2022 |
2021 |
2020 |
2019 |
2018 |
|---|---|---|---|---|---|---|---|
|
Corn |
-13.78% |
-22.22% |
20.21% |
33.38% |
11.28% |
-6.36% |
-6.96% |
|
Soybean |
-20.55% |
-1.19% |
30.66% |
9.09% |
33.06% |
-3.64% |
-12.84% |
|
Soybean Oil |
-16.55% |
-13.70% |
31.52% |
49.07% |
15.95% |
18.30% |
-20.19% |
|
Soybean Meal |
-10.34% |
-2.34% |
39.26% |
-3.82% |
28.02% |
-9.80% |
-5.79% |
|
Chicago Wheat |
-21.09% |
-31.09% |
-5.11% |
11.99% |
9.44% |
6.62% |
0.83% |
|
KC Wheat |
-18.10% |
-27.39% |
9.20% |
25.64% |
13.75% |
-11.38% |
-4.90% |
|
Live Cattle |
12.43% |
7.63% |
3.12% |
1.47% |
-19.33% |
-1.17% |
-0.54% |
|
Lean Hogs |
21.73% |
-30.98% |
4.24% |
24.99% |
-25.45% |
-24.61% |
-13.99% |
|
Feeder Cattle |
12.62% |
5.75% |
-8.93% |
6.26% |
-16.71% |
-7.61% |
-2.28% |
Index name
Product code
CME Group Bitcoin Rolling Futures Index
BTCCRF
CME Group Ether Rolling Futures Index
ETHCRF
CME Group Rolling Futures Indices - Crypto Complex
Realized volatility and drawdown
|
|
Realized volatility |
Maximum drawdown |
||
|---|---|---|---|---|
|
Underlying futures |
1Y |
3Y |
1Y |
3Y |
|
BTC |
57.57% |
59.02% |
14.58% |
31.43% |
|
ETH |
67.31% |
70.13% |
19.85% |
48.05% |
Year-on-year performance
|
Underlying futures |
2024 |
2023 |
2022 |
|---|---|---|---|
|
BTC |
97.52% |
132.34% |
-63.15% |
|
ETH |
29.54% |
84.65% |
-66.33% |
Methodology and publication
CME Group Rolling Futures Indices is a family of indices that track the performance of CME Group’s leading futures markets by referencing the underlying settlement prices.
The underlying futures roll mechanics have been designed to follow the liquidity profile of each product. The indices roll over multiple days to ensure smooth replication of the indices by market participants.
The indices will be published shortly after the settlement price publication and made available via the MDP Benchmark Channel (261) and via DataMine.
The DataMine publication consists of three files, including:
- Index level with returns (daily, monthly, quarterly, yearly returns).
- The index composition with the underlying contracts and their respective units.
- The projected index composition to support replication of the index.
Contacts
For licensing and subscription: cmedatasales@cmegroup.com
For questions related to the methodology: benchmark@cmegroup.com
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
