Definition. Futures Term Structure by Exchange is the per-exchange view of the futures term structure: a graphical representation of the pricing for futures contracts expiring at increasingly distant dates into the future, decomposed so each exchange's term curve can be read separately. Past states of the term structure (1 day, 2 days, 1 week, and 2 weeks ago) can be displayed alongside the latest state, showing recent impulses in the market and the evolution of the structure.

Interpretation. An upwards slope, the most common state of the graph, indicates a premium must be paid to purchase exposure, or delivery, of an asset in the future. A downwards slope indicates a discounted rate on delivery of an asset in the future, and trends and dislocations within the graph can paint a picture of supply, demand, and liquidity for futures contracts expiring on different dates. Comparing curves across exchanges exposes venue-level dislocations in basis and tenor pricing that the cross-exchange aggregate metric cannot.