I'll just note that for some other futures this doesn't seem to work. For instance, I tried "VIX" (Assuming "VIX" is an airport | Use as a roman numeral instead), "VIX index" (Using closest Wolfram|Alpha interpretation: index) , and "Volatility Index" (Using closest Wolfram|Alpha interpretation: volatility). I also tried "^VIX" but it appears to have gone into an infinite loop searching for that one and never return a result.

Mathematica for some reason doesn't recognize "^VIX" for FinancialData either for some reason, which is making it really difficult (or impossible) to perform my analysis.

Hi Miguel,

This is possible for listed futures.

FinancialData will call the same database as Wolfram Alpha does, so the easy "cheat" is to use Wolfram Alpha to discover the exchange and ticker for the commodity you want.

For example, to find WTI Crude this query will help:

https://www.wolframalpha.com/input/?i=wti+oil+futures

You'll note this in the output

This gives you the product code ("CL") and the exchange code ("NYMEX") that will be the ticker to use in FinancialData.

You can then write the Financial Data query as normal:

FinancialData["NYMEX:CL","Close",{2010,1,1}]

That query will return the TimeSeries of the closing prices since 2010

I will say that this can be quite unstable for less "popular" commodities such as ags...but, after two or three tries, the data populates.

In short, if the commodity / fx / rate / equity future is on ICE, CME, NYMEX, CBOT then you can probably pull the timeseries via FinancialData.

Hope that helps!