Background on Trade Facilitation Factor(TFF) Averages Table

This Table gives the minimum (Min), average (Avg), maximum (Max) values of
the Trade Facilitation Factor (TFF) for the last 90, 5, 10, 15, 20, 40, and 60 
trading days. 

For the last 90 trading days the table ALSO gives the 68% deviation (Dev)
of the values about the average i.e. 68% of all TFF values in the last
90 days are contained in the range: average - 68%deviation to
average + 68%deviation. 

The table is updated daily around 10pm. The leading deliveries are
used for those commodities that are not asterisked. For the asterisked
commodities the nearest delivery is used and for them there is often
insufficient data to calculate the 90 day deviation.

The tables are up-to-date for the latest trading day.

The TFF is a measure of much the market has shut down i.e how much the
price range has shrunk. A market that has shut down is NOT facilitating
trade and has a high TFF value since the TPO's have been scrunched up into
narrower price strip. A market that is liquid with a broader price range
IS facilitating trade and has a lower TFF value since the TPO's are not 
as scrunched up.

The question is where does the crossover from trade facilitation to no trade 
facilitation occur. Extensive research has been done on this crossover value.
The value of the 90 day average+68%deviation seems a reasonable value.

So, a TFF value GREATER than the 90 day average+68% deviation indicates
a market that is NOT facilitating trade (it has shut down and the price
strip has narrowed). In a bracketing market it is an alert to a breakout,
and in a trend it is an alert to a trend pause/end. 

The question of why the TFF is an ideal measure of this crossover point is
discussed elsewhere.

Click here for the TFF table