Market Monitor September 2012

Transcription

1 Market Monitor September 212 Excessive drought and extreme heat in the USA dominated agricultural commodity markets activity throughout the 212 summer growing season, pushing maize and soybeans prices to record levels and raising wheat and rice prices by 1-35 % over their spring time lows. Unlike recent previous price increases, notably during 28 and 21, volatility levels and trading volumes remained relatively tame. A retrenchment from commodity trading by several large investment banks, a decline in confidence in futures markets by retail investors following the bankruptcy of two US futures commission merchants, and additional cost burdens associated with compliance to the implementation of the 21 Dodd-Frank legislation may help explain this development. In addition, the policy of ethanol mandates has undergone renewed debate. Finally, the relative strength of the dollar versus most currencies, especially the euro, and the lack of another round of quantitative easing by the US Federal Reserve may have prevented agricultural commodity prices from excessive spiking. However, the usual patterns of net buying by money managers and net selling by hedgers held true during the summer rally. Futures prices exhibit buoyancy in all markets Wheat Quotations USD pertonne Maize Quotations EU (France - NYSE Euronext) Milling Wheat USA (KCBT) Hard Red Wheat SAF (Safex) Wheat USA (CME) Maize China (DCE) Maize EU (NYSE Liffe) Maize SAF (Safex) Yellow Maize Soybeans Quotations Rice Quotations China (Dalian) Brazil (BMF) USA (CME) Argentina (ROFEX) USA (CME) Rough Rice China (ZCE) Milled Rice

2 Dollar Indexes (Real Terms) Ethanol prices continue to lag gasoline prices USD per gall Price-adjusted Major Currencies Dollar Index Monthly Index Price-adjusted Broad Dollar Index Monthly Index Chicago Ethanol Futures Gasoline RBOB Futures Price USD Ocean freights remain low Monthly Fertilizer and Crude Oil Prices USD per barrel 15 5 Baltic Dry Index Baltic Panamax Index Baltic Handysize Index DAP: US GULF FOB Potash: Canada (Vancouver) FOB Urea: Ukraine FOB Crude Oil: Europe Brent Spot Price FOB

3 Both implied and historical volatility diminished despite high prices Implied Volatility Jan-12 Apr-12 Aug-12 Jan-7 Jun-7 Nov-7 Apr-8 Aug-8 Jan-9 Jun-9 Nov-9 Apr-1 Aug-1 Jan-11 Jun-11 Nov-11 Mar-12 Aug Wheat Maize Soybeans Rough Rice Historical Volatility (3 days basis) Jan-12 Apr-12 Aug-12 Jan-7 Jun-7 Nov-7 Apr-8 Aug-8 Jan-9 Jun-9 Nov-9 Apr-1 Aug-1 Jan-11 Jun-11 Nov-11 Mar-12 Aug Wheat Maize Soybeans Rough Rice

4 Swaps dealers, including index funds, reduced long positions, managed money increased longs and commercials increased shorts Wheat: Maize: 5% 4% 3% 2% 1% % -1% -2% -3% -4% -5% Percentage 4% 3% 2% 1% % -1% -2% -3% -4% -5% -6% Soybeans: Rough Rice: 4% 3% 2% 1% % -1% -2% -3% -4% -5% -6% 4% 2% % -2% -4% -6% -8%

5 Futures prices and aggregate volumes 35 Maize Active Contract 4 Wheat Active Contract Aggregate SMAVG (15) 1,, 8,, Aggregate SMAVG (15) 4,, 3,, 6,, 4,, 2,, 2,, 1,, Soybeans Active Contract Rough Rice Active Contract USD/tonne Aggregate SMAVG (15) 6,, 4,, Aggregate SMAVG (15), 8, 6, 2,, 4, 2, Sources: Bloomberg, Commodity Futures Trading Commission, Chicago Mercantile Exchange, FAO, Inter-Continental Exchange, International Grains Council, USDA, USA Federal Reserve.