This project explores how to trade relative value commodity pairs from a quantamental point of view.

When a relative value opportunity has been identified along the curve of two fundamentally related commodites, where on the curve should we express the trade?

- In the part of the curve that is furtherst from the mean
- Furthest from the mean with respect to current fundamentals
- Near the front of the curve, hoping to earn a roll return
- Spread accross the curve
- equally weighted
- open interest weighted

In what ratio should be trade the long and short legs of a relative value commodity opportunity?

- ton for ton
- equal notional exposure
- vol adjusted notional exposure
- implied vol adjusted notional exposure
- cointegration hedging ratio
what about options?

- put-put or call-call structure
- what ratio of long and short legs

Should these values be defined at trade onset or can it be adjusted?

Is it possible to model the ratio as a function of underlying fundamentals?