Passive Investors and Managed Money in Commodity Futures. Part 3: Volatility. Prepared for: The CME Group. Prepared by:
|
|
|
- Evelyn Pierce
- 5 years ago
- Views:
Transcription
1 Passive Investors and Managed Money in Commodity Futures Part 3: Prepared for: The CME Group Prepared by: October, 2008
2 Table of Contents Section Slide Number Objective and Approach 3 Graphs 4-13 Correlation Analysis Summary
3 Objective and Approach The primary objective of this section is to determine if an association exists between the presence of each large trader group and price volatility. Correlation analysis is the tool employed Market presence of a particular trader group is defined as the percentage of total open interest held by that group. calculated as a ten-day rolling volatility, expressed as a percentage. 3
4 Graphs Graphs of historical price volatility were produced for each of the eight commodity futures contracts. These are 10-day rolling annualized volatilities 1 calculated using the nearby futures contract. Trendlines fit to these series reveal that, for most commodities, volatility was increasing over the study period. Cotton, Nat Gas and Crude Oil show much less evidence of increasing volatility than the grain contracts day = 10 Pt ln Pt t=
5 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% Historical, Corn 5 1/3/2005 3/3/2005 5/3/2005 7/3/2005 9/3/ /3/2005 1/3/2006 3/3/2006 5/3/2006 7/3/2006 9/3/ /3/2006 1/3/2007 3/3/2007 5/3/2007 7/3/2007 9/3/ /3/2007 1/3/2008 3/3/2008 5/3/2008 7/3/2008 9/3/2008 Date
6 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% Historical, Soybeans 6 1/3/2005 3/3/2005 5/3/2005 7/3/2005 9/3/ /3/2005 1/3/2006 3/3/2006 5/3/2006 7/3/2006 9/3/ /3/2006 1/3/2007 3/3/2007 5/3/2007 7/3/2007 9/3/ /3/2007 1/3/2008 3/3/2008 5/3/2008 7/3/2008 9/3/2008 Date
7 Historical, Chicago Wheat % 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% 7 1/3/2005 3/3/2005 5/3/2005 7/3/2005 9/3/ /3/2005 1/3/2006 3/3/2006 5/3/2006 7/3/2006 9/3/ /3/2006 1/3/2007 3/3/2007 5/3/2007 7/3/2007 9/3/ /3/2007 1/3/2008 3/3/2008 5/3/2008 7/3/2008 9/3/2008 Date
8 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% Historical, Kansas City Wheat 8 1/3/2005 3/3/2005 5/3/2005 7/3/2005 9/3/ /3/2005 1/3/2006 3/3/2006 5/3/2006 7/3/2006 9/3/ /3/2006 1/3/2007 3/3/2007 5/3/2007 7/3/2007 9/3/ /3/2007 1/3/2008 3/3/2008 5/3/2008 7/3/2008 9/3/2008 Date
9 Historical, Minneapolis Wheat % % % % 80.00% 60.00% 40.00% 20.00% 0.00% 9 1/3/2005 3/3/2005 5/3/2005 7/3/2005 9/3/ /3/2005 1/3/2006 3/3/2006 5/3/2006 7/3/2006 9/3/ /3/2006 1/3/2007 3/3/2007 5/3/2007 7/3/2007 9/3/ /3/2007 1/3/2008 3/3/2008 5/3/2008 7/3/2008 9/3/2008 Date
10 Historical, Cotton 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% 10 1/3/2005 3/3/2005 5/3/2005 7/3/2005 9/3/ /3/2005 1/3/2006 3/3/2006 5/3/2006 7/3/2006 9/3/ /3/2006 1/3/2007 3/3/2007 5/3/2007 7/3/2007 9/3/ /3/2007 1/3/2008 3/3/2008 5/3/2008 7/3/2008 9/3/2008 Date
11 Historical, Natural Gas % % % % 80.00% 60.00% 40.00% 20.00% 0.00% 11 1/3/2005 3/3/2005 5/3/2005 7/3/2005 9/3/ /3/2005 1/3/2006 3/3/2006 5/3/2006 7/3/2006 9/3/ /3/2006 1/3/2007 3/3/2007 5/3/2007 7/3/2007 9/3/ /3/2007 1/3/2008 3/3/2008 5/3/2008 7/3/2008 9/3/2008 Date
12 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% Historical, Crude Oil 12 1/3/2005 3/3/2005 5/3/2005 7/3/2005 9/3/ /3/2005 1/3/2006 3/3/2006 5/3/2006 7/3/2006 9/3/ /3/2006 1/3/2007 3/3/2007 5/3/2007 7/3/2007 9/3/ /3/2007 1/3/2008 3/3/2008 5/3/2008 7/3/2008 9/3/2008 Date
13 Comments on Historical Price volatility has been generally increasing over the study period (Jan 2005 to Aug 2008). Very tight stocks in grain markets during 2008 made for volatile markets, particularly spring wheat where quality concerns were paramount. The data indicate increasing participation by Indexers over the period. However, it is impossible to assign causality: Perhaps increased participation by these groups resulted in increased volatility. Alternatively, higher volatility may have attracted money from these groups into these markets. 13
14 Correlation Analysis Explanation Correlations were calculated between market volatility and the presence of each trader type. Market presence is calculated as the percentage of all open interest held by a trader group on a particular day. Historical volatility was calculated using the most recent 10-day period and then annualized. The number of observations was large (daily data for every contract between Jan 2005 and Aug 2008) which means that even very low correlations are statistically significantly different from zero. 14
15 Correlation Matrix, Corn appears positively related to the presence of three of the four large trader groups, but is negatively related to the presence of small traders. Index traders and money managers are unique in that their market presence tends to move together. Commercial Non-Commercial Indexer Money Mgr Small Trader 1.00 Commercial Non-Commercial Indexer Money Mgr Small Trader
16 Correlation Matrix, Soybeans appears positively related to the presence of all of the large trader types except money managers. Index traders and money managers are unique in that their market presence tends to move together. Commercial Non-Commercial Indexer Money Mgr Small Trader 1.00 Commercial Non-Commercial Indexer Money Mgr Small Trader
17 Correlation Matrix, Chicago Wheat appears positively related to the presence of index traders and money managers. A large small trader presence is associated with reduced volatility. Commercial Non-Commercial Indexer Money Mgr Small Trader 1.00 Commercial Non-Commercial Indexer Money Mgr Small Trader
18 Correlation Matrix, KC Wheat appears positively related to the presence of index traders and money managers. Index traders and Money Managers tend to be present together in the market. A large small-trader presence is associated with reduced volatility. Commercial Non-Commercial Indexer Money Mgr Small Trader 1.00 Commercial Non-Commercial Indexer Money Mgr Small Trader
19 Correlation Matrix, Minneapolis Wheat appears positively related to the presence of large commercials, index traders and money managers. However, index traders played only a minor role in this market. The high negative correlation between commercial and small trader presence suggests that commercials are the dominate large trader group when they are absent, small traders fill the gap. Commercial Non-Commercial Indexer Money Mgr Small Trader 1.00 Commercial Non-Commercial Indexer Money Mgr Small Trader
20 Correlation Matrix, Cotton appears positively related to the presence of index traders and money managers, but the relationship is weak. Index traders and money managers tend to expand their presence together. The high negative correlation between commercial and other trader groups suggests that commercials are the dominate large trader group when they are absent, these other traders fill the gap. Commercial Non-Commercial Indexer Money Mgr Small Trader 1.00 Commercial Non-Commercial Indexer Money Mgr Small Trader
21 Correlation Matrix, Natural Gas appears positively related to the presence of money managers, but negatively related to the presence of Index traders. In both cases the relationship is weak. Contrary to the agricultural markets, index trader and money manager presence displayed an inverse relationship. Money managers and Indexers are likely to fill the gap when commercial presence is reduced. Commercial Non-Commercial Indexer Money Mgr Small Trader 1.00 Commercial Non-Commercial Indexer Money Mgr Small Trader
22 Correlation Matrix, Crude Oil appears positively related to the presence of non-commercials and money managers, but the relationship is weak. Contrary to the agricultural markets, index trader and money manager presence displayed an inverse relationship. Commercials are the dominant group and growth in their presence tends to be inversely related to the presence of other groups. Commercial Non-Commercial Indexer Money Mgr Small Trader 1.00 Commercial Non-Commercial Indexer Money Mgr Small Trader
23 Part 3 Summary There are few clear patterns in correlation across commodities. For some commodities, the presence of index traders and money managers tends to be associated with higher volatility (corn, wheat, cotton) but for other commodities this association is not as clear (crude oil, natural gas). In most of the agricultural markets, index traders and money managers appear to be present together. This could be because money managers tended to favor the same go long strategy that indexers used over this period. 23
24 Part 3 Summary There is nothing in this analysis that points to the conclusion that index traders and/or money managers cause higher volatility. Instead, fundamental conditions (tight supplies, strong demand expectations) might have attracted certain trader types such as money managers who require volatility in order to profit. 24
This sample is a page from the December 12, 2006, COT report (short format) showing data for the Chicago Board of Trade's wheat futures contract.
How to Read the Commitments of Traders reports This sample is a page from the December 12, 2006, COT report (short format) showing data for the Chicago Board of Trade's wheat futures contract. Explanatory
Basis: The price difference between the cash price at a specific location and the price of a specific futures contract.
Section I Chapter 8: Basis Learning objectives The relationship between cash and futures prices Basis patterns Basis in different regions Speculators trade price, hedgers trade basis Key terms Basis: The
Structural Change in Agricultural Futures Markets: What Have We Wrought? Scott H. Irwin
Structural Change in Agricultural Futures Markets: What Have We Wrought? Scott H. Irwin The Chicago Board of Trade c. 1885 http://www.friedmanfineart.net/chicago-photography/chicago-financial-trading-stockexchange/
BUYERS, BUBBLES, AND BUTTERFLIES Senior Analyst Darin Newsom. DTN/The Progressive Farmer 2010 Ag Summit December 10, 2010
BUYERS, BUBBLES, AND BUTTERFLIES Senior Analyst Darin Newsom DTN/The Progressive Farmer 2010 Ag Summit December 10, 2010 Buyers -! "In other words, demand driven markets! "Demand driven markets: Increased
MEASURING GRAIN MARKET PRICE RISK
MEASURING GRAIN MARKET PRICE RISK Justin Bina and Ted C. Schroeder 1 Kansas State University, Department of Agricultural Economics August 2018 Grain Market Risk Grain production involves considerable risk,
Agricultural Options. June 2018
Agricultural Options June 2018 CME GROUP INTERNAL Ag Option Product Suite Highlights Grain & Oilseed markets experienced large ranges in implied volatility and skew throughout June Record percent of volume
Daily Commentary. Corn (888) Monday, July 22, Today s Trade Action. Today s Closing Prices. Recommendations.
Corn The market finished lower but off it earlier lows as soybeans supplied support for the corn market today. The USDA cut the good to excellent rating by 3 points in crop condition report released after
Ferreting out the Naïve One: Positive Feedback Trading and Commodity Equilibrium Prices. Jaap W. B. Bos Paulo Rodrigues Háng Sūn
Ferreting out the Naïve One: Positive Feedback Trading and Commodity Equilibrium Prices Jaap W. B. Bos Paulo Rodrigues Háng Sūn Extra large volatilities of commodity prices. Coincidence with Commodity
Michael V. Dunn Commissioner Commodity Futures Trading Commission. Agricultural Outlook Forum February 24,
Michael V. Dunn Commissioner Commodity Futures Trading Commission Agricultural Outlook Forum February 24, 2011 1 Commodity Futures Trading Commission Mission Statement To Protect Market Users and the Public
FOCUSING ON THE WASDE REPORT IS THE MAIN NEWS SINCE LAST WEEK.
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP FOCUSING ON THE WASDE REPORT IS THE MAIN NEWS SINCE LAST WEEK. Higher closes for corn, soybeans, soybean meal and soybean oil while lower for rough
FASTEN YOUR SEAT BELTS. SHORT & LONG TERM FORECAST - HOT WEATHER. WHERE HAVE I HEARD THAT BEFORE?
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP FASTEN YOUR SEAT BELTS. SHORT & LONG TERM FORECAST - HOT WEATHER. WHERE HAVE I HEARD THAT BEFORE? Higher closes for Minneapolis, Kansas City and
Wheat market may take patience Exports, seasonal weakness weigh on prices for now. By Bryce Knorr, Senior Grain Market Analyst
Wheat market may take patience Exports, seasonal weakness weigh on prices for now By Bryce Knorr, Senior Grain Market Analyst The best days of the wheat rally may still be ahead. But first the market may
RAIN AND A COOLER WEATHER FORCAST KEEPS PRESSURE ON THE GRAIN COMPLEX
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP RAIN AND A COOLER WEATHER FORCAST KEEPS PRESSURE ON THE GRAIN COMPLEX Higher close for rough rice while lower closes for Minneapolis, Kansas City
Soybeans face make or break moment Futures need a two-fer to avoid losses By Bryce Knorr, senior grain market analyst
Soybeans face make or break moment Futures need a two-fer to avoid losses By Bryce Knorr, senior grain market analyst A year ago USDA shocked the market by cutting its forecast of soybean production, helping
2013 Risk and Profit Conference Breakout Session Presenters. 4. Basics of Futures and Options: Part 1
2013 Risk and Profit Conference Breakout Session Presenters Sean Fox 4. Basics of Futures and Options: Part 1 John A. (Sean) Fox is a native of Ireland and has been on the faculty
Fundamental Factors Affecting Agricultural and Other Commodities. Research & Product Development Updated July 11, 2008
Fundamental Factors Affecting Agricultural and Other Commodities Research & Product Development Updated July 11, 2008 Outline Review of key supply and demand factors affecting commodity markets World stocks-to-use
Influences on the Market. Common Marketing Terms. Types of Contracts. Terms of Contracts
Jackie Reichter DeBruce Grain, Nebraska City Grain Marketing Commodity od Exchanges/Futures Symbols Influences on the Market Common Marketing Terms Types of Contracts Terms of Contracts Commodity Exchanges
Buying Hedge with Futures
Buying Hedge with Futures What is a Hedge? A buying hedge involves taking a position in the futures market that is equal and opposite to the position one expects to take later in the cash market. The hedger
Recent Delivery Performance of CBOT Corn, Soybean, and Wheat Futures Contracts
Recent Delivery Performance of CBOT Corn, Soybean, and Wheat Futures Contracts Statement to the CFTC Agricultural Forum, April 22, 28 Scott H. Irwin, Philip Garcia, Darrel L. Good, and Eugene L. Kunda
PROSPECTIVE PLANTINGS AND STOCK REPORT BEARISH BEANS, MIXED CORN, NEUTRAL WHEAT
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP PROSPECTIVE PLANTINGS AND STOCK REPORT BEARISH BEANS, MIXED CORN, NEUTRAL WHEAT WASDE REPORT ON APRIL 11TH. Lower closes for rough rice, corn,
Agricultural Options. March 2018
Agricultural Options March 2018 CME GROUP INTERNAL Ag Option Product Suite Highlights Implied volatility showing large ranges during the first quarter KC Wheat CSO s have a record volume month Uptick in
ACE 427 Spring Lecture 6. by Professor Scott H. Irwin
ACE 427 Spring 2013 Lecture 6 Forecasting Crop Prices with Futures Prices by Professor Scott H. Irwin Required Reading: Schwager, J.D. Ch. 2: For Beginners Only. Schwager on Futures: Fundamental Analysis,
Futures Investment Series. No. 3. The MLM Index. Mount Lucas Management Corp.
Futures Investment Series S P E C I A L R E P O R T No. 3 The MLM Index Mount Lucas Management Corp. The MLM Index Introduction 1 The Economics of Futures Markets 2 The Role of Futures Investors 3 Investor
Adam Pukalo Commodity Futures Advisor TECHNICALS & TRENDS. January Year in Review
TECHNICALS & TRENDS January 2016 2015 Year in Review What did grain and livestock prices do this year and where do we see them headed? CONTRACT UP OR DOWN? JANUARY 1, 2015 OPEN CURRENTLY front futures
FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES
FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES Minneapolis Options Report December 13 th Commodity Markets Option trading rose relative to two weeks ago to a more average level last week
2015 Market Outlook. DTN/The Progressive Farmer 2014 Ag Summit December 9, Darin Newsom DTN Senior Analyst
2015 Market Outlook DTN/The Progressive Farmer 2014 Ag Summit December 9, 2014 Darin Newsom DTN Senior Analyst Here Comes The Sun 2015 Corn Outlook We ve Seen This Show Before Outlook: December 10, 2013
Description of the. RBC Commodity Excess Return Index and RBC Commodity Total Return Index
Description of the RBC Commodity Excess Return Index and RBC Commodity Total Return Index This document contains information about the RBC Commodity Excess Return Index and RBC Commodity Total Return Index,
"Sharing real experiences from decades of profitable trading. Focusing on the important factors that lead to trading success.
"Sharing real experiences from decades of profitable trading. Focusing on the important factors that lead to trading success. May 20, 2017 Continuation vs. Continuous Futures Charting Background The Apr
STRONG EXPORT INPECTIONS FOR SOYBEANS WHILE SO SO FOR WHEAT AND CORN.
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP STRONG EXPORT INPECTIONS FOR SOYBEANS WHILE SO SO FOR WHEAT AND CORN. Lower closes for the entire grain complex including Minneapolis, Kansas City
CASH SOYBEANS AT 10 YEAR LOWS.
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP CASH SOYBEANS AT 10 YEAR LOWS. Higher close for oats while lower closes for oats, rough rice, corn, soybeans, soybean meal and soybean oil along
Improving Your Crop Marketing Skills: Basis, Cost of Ownership, and Market Carry
Improving Your Crop Marketing Skills: Basis, Cost of Ownership, and Market Carry Nathan Thompson & James Mintert Purdue Center for Commercial Agriculture Many Different Ways to Price Grain Today 1) Spot
Agricultural Options. November CME Group. All rights reserved.
Agricultural Options November 2018 Ag Option Product Suite Highlights Livestock spread volume on CME Globex hit an all-time high of 35%, led by verticals, 3-ways and delta-hedged options Weekly options
WASDE THURSDAY - RECORD CORN & BEAN STOCKS - POSSIBLE RECORD BEAN CROP - RAIN IN KANSAS
Page 1 of 7 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP WASDE THURSDAY - RECORD CORN & BEAN STOCKS - POSSIBLE RECORD BEAN CROP - RAIN IN KANSAS Higher closes for rough rice and soybean oil, unchanged
TRADING THE CATTLE AND HOG CRUSH SPREADS
TRADING THE CATTLE AND HOG CRUSH SPREADS Chicago Mercantile Exchange Inc. (CME) and the Chicago Board of Trade (CBOT) have signed a definitive agreement for CME to provide clearing and related services
IT'S 'RAINING' ON SOYBEAN PRICES AT THIS TIME DOWN IN BRAZIL AND ARGENTINA
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP IT'S 'RAINING' ON SOYBEAN PRICES AT THIS TIME DOWN IN BRAZIL AND ARGENTINA Lower closes for oats, rough rice, corn, soybeans,soymeal and soybean
WASDE, TARIFFS, GOOD WEATHER (A LITTLE DRY), BETTER CORN & WORSE BEAN EXPORTS. CROP CONDITIONS OK
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP WASDE, TARIFFS, GOOD WEATHER (A LITTLE DRY), BETTER CORN & WORSE BEAN EXPORTS. CROP CONDITIONS OK Higher close soybean oil while lower for Minneapolis,
IMPROVED WHEAT CONDITIONS IN USA. RAIN IN FORECAST. POSSIBLE DOWN 10% YIELD IN BRAZILIAN CORN CROP.
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP IMPROVED WHEAT CONDITIONS IN USA. RAIN IN FORECAST. POSSIBLE DOWN 10% YIELD IN BRAZILIAN CORN CROP. Higher closes for corn, Minneapolis and Chicago
WASDE REPORT: GLOBAL ENDING STOCKS INCREASED. US STOCKS UNCHANGED
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP WASDE REPORT: GLOBAL ENDING STOCKS INCREASED. US STOCKS UNCHANGED Higher closes for oats and corn while lower closes for rough rice, soybeans,
RUSSIA CURBING IMPORTS FEARS. WET WEATHER NEXT COUPLE OF WEEKS HELP FUEL RALLY.
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP RUSSIA CURBING IMPORTS FEARS. WET WEATHER NEXT COUPLE OF WEEKS HELP FUEL RALLY. Higher closes for Minneapolis, Kansas City and Chicago wheat along
COMMODITY PRODUCTS Moore Research Report. Seasonals Charts Strategies GRAINS
COMMODITY PRODUCTS 28 Moore Research Report Seasonals Charts Strategies GRAINS Welcome to the 28 Moore Historical GRAINS Report This comprehensive report provides historical daily charts, cash and basis
US - CHINA TRADE DEAL LINGERS. BRAZIL MODERATE RAIN FOR 6-10 DAY FORECAST. ARGENTINA LIGHT RAIN COMING
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP US - CHINA TRADE DEAL LINGERS. BRAZIL MODERATE RAIN FOR 6-10 DAY FORECAST. ARGENTINA LIGHT RAIN COMING KEEP TRADING THE RANGES MENTIONED BELOW
Module 12. Alternative Yield and Price Risk Management Tools for Wheat
Topics Module 12 Alternative Yield and Price Risk Management Tools for Wheat George Flaskerud, North Dakota State University Bruce A. Babcock, Iowa State University Art Barnaby, Kansas State University
Market Monitor September 2012
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
Wheat Futures Contracts: Liquidity, Spreading Opportunities, and Fundamental Factors
J.P. Morgan Center for Commodities at the University of Colorado Denver Business School Wheat Futures Contracts: Liquidity, Spreading Opportunities, and Fundamental Factors Hilary Till Contributing Editor,
PRETTY MUCH NO CHANGES. GRAIN STOCKS AND SMALL GRAIN REPORTS ON FRIDAY
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP PRETTY MUCH NO CHANGES. GRAIN STOCKS AND SMALL GRAIN REPORTS ON FRIDAY Higher closes for Minneapolis, Kansas City and Chicago wheat along with
Commitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending May 8, 218 Ole S. Hansen Head of Commodity Strategy 8-May-18 Change Change Change Change Pct 1 yr high 1 yr low
Corn Future Spreads. Econometric Analysis of Seasonality. Georg Lehecka. June 8, 2010
Econometric Analysis of Seasonality June 8, 2010 Table of Content 1 Introduction: Futures and Futures Spreads 2 Description of Data 3 Application of Seasonal Models Deterministic Model Linear Stationary
Adam Pukalo Commodity Futures Advisor TECHNICALS & TRENDS. February 2017 Edition. Highlighted: Canola, Canadian Dollar, Wheat, Corn, Cattle
TECHNICALS & TRENDS February 2017 Edition Highlighted: Canola, Canadian Dollar, Wheat, Corn, Cattle Before I start this months review and look ahead I want to mention some significant market moves we saw
MARGIN M ANAGER The Leading Resource for Margin Management Education
Margin Management Since 1999 MARGIN M ANAGER The Leading Resource for Margin Management Education March 2015 Learn more at MarginManager.Com INSIDE THIS ISSUE Dear Ag Industry Associate, Margin Watch Reports
Commitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending June 19, 218 Ole S. Hansen Head of Commodity Strategy 19-Jun-18 Change Change Change Change Pct 1 yr high 1 yr low
Commitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending June 26, 218 Ole S. Hansen Head of Commodity Strategy 26-Jun-18 Change Change Change Change Pct 1 yr high 1 yr low
Agricultural Options. September CME Group. All rights reserved.
Agricultural Options September 2018 Ag Option Product Suite Highlights Wheat complex continues to show strong volume with HRW implied volatility trading 1% higher than SRW. HRW/SRW Wheat call skew showing
STRAINED BETWEEN US & CHINA AT ECONOMIC CONFERENCE LAST WEEKEND, G20 SUMMIT AT END OF MONTH
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP STRAINED BETWEEN US & CHINA AT ECONOMIC CONFERENCE LAST WEEKEND, G20 SUMMIT AT END OF MONTH Higher closes for oats, Minneapolis and Chicago wheat
Volatility Monitor. 3 rd Quarter 2012 OCTOBER 11, John W. Labuszewski
Volatility Monitor 3 rd Quarter 2012 OCTOBER 11, 2012 John W. Labuszewski Managing Director Research & Product Development 312-466-7469 jlab@cmegroup.com Volatility is one of several key inputs into mathematical
Commitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending July 3, 218 Ole S. Hansen Head of Commodity Strategy 3-Jul-18 Change Change Change Change Pct 1 yr high 1 yr low
Commitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending July 1, 218 Ole S. Hansen Head of Commodity Strategy 1-Jul-18 Change Change Change Change Pct 1 yr high 1 yr low
CME Group 3Q 2015 Earnings Conference Call
CME Group 3Q 2015 Earnings Conference Call October 29, 2015 Forward Looking Statements Statements in this presentation that are not historical facts are forward-looking statements. These statements are
Weekly Update. Current Positions
Published by: Nick Metzger 9/20/2013 2:39:05 PM Weekly Update No new entries for the week, but we did exit our November Crude Oil condor on Monday for a profit. We bought back our 102/95 put spread and
Considerations When Using Grain Contracts
Considerations When Using Grain Contracts Overview The grain industry has developed several new tools to help farmers manage increasing risks and price volatility. Elevators can use grain options markets
Answer Key for the Order Entry Quiz
Answer Key for the Order Entry Quiz Question Number 1 Question Text Once a stop order is triggered it becomes a market order. Correct: A buy stop order will be entered above the current market price. 2
Creating Your Marketing Plan
Creating Your Marketing Plan Jeff Peterson Heartland Farm Partners 402 366 4694 jeffpeterson@heartlandfarmpartners.com www.heartlandfarmpartners.com Topics Developing a marketing plan Answering the essential
Factor LLC Colorado Springs, CO Web:
Factor Update, July 3, 2016 This Update is being released during market hours on Friday, July 1. Happy July 4 th weekend to U.S. citizens! Due to the July 4 th Holiday this is an abbreviated Update. Market
Hedging in 2014 "" Wisconsin Crop Management Conference & Agri-Industry Showcase 01/16/2014" Fred Seamon Senior Director CME Group"
Hedging in 2014 Wisconsin Crop Management Conference & Agri-Industry Showcase 01/16/2014 Fred Seamon Senior Director CME Group Disclaimer Futures trading is not suitable for all investors, and involves
OVERVIEW OF THE BACHE COMMODITY INDEX SM
OVERVIEW OF THE BACHE COMMODITY INDEX SM March 2010 PFDS Holdings, LLC One New York Plaza, 13th Fl NY, NY 10292-2013 212-778-4000 Disclaimer Copyright 2010 PFDS Holdings, LLC. All rights reserved. The
Spectrum Asset Management LLC
141 W Jackson Blvd. Suite 1692 Chicago, IL 60604 312-341-7018 NEW DEVELOPMENTS IN NATURAL RESOURCES INVESTING Biography Michael E. Songer (President & Founder) Prior to Spectrum, Mr. Songer was a trader
MGEX CBOT Wheat Spread Options. Product Overview
MGEX CBOT Wheat Spread Options Product Overview May 7, 2012 MGEX-CBOT Wheat Spread Options Overview - MGEX: Hard Red Spring Wheat futures listed on the Minneapolis Grain Exchange, Inc. - CBOT: Soft Red
Commitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending March 6, 218 Ole S. Hansen Head of Commodity Strategy 6-Mar-18 Change Change Change Change Pct 1 yr high 1 yr low
Volatility Index (AIMFV)
A.I.. Managed aged Futures Volatility Index (AIMFV) Methodology and Maintenance v.073115 Table of Contents Executive Summary 3 Introduction 4 Description of the A.I. Managed Futures Volatility Index 5
By Tom Leffler and Larry Glenn. 14- Day RSI. 10-Day Moving Avg. Today's Low
www.lefflercom.com By Tom Leffler and Larry Glenn TODAY S THOUGHT Friday, December 30, 2016 HAPPY NEW YEAR 2017 MONDAY, JAN 2 ND GRAINS OPEN AT 7 PM.TUESDAY, JAN 3 RD LIVESTOCK OPENS AT 8:30 AM Tues Jan
Opal Financial Group FX & Commodity Summit for Institutional Investors Chicago. Term Structure Properties of Commodity Investments
Opal Financial Group FX & Commodity Summit for Institutional Investors Chicago Term Structure Properties of Commodity Investments March 20, 2007 Ms. Hilary Till Co-editor, Intelligent Commodity Investing,
FUNDAMENTALISTS FLYING BLIND!
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP FUNDAMENTALISTS FLYING BLIND! Higher closes for rough rice, oats and Chicago wheat while lower for corn, soybeans and soybean meal along with Minneapolis
Grain Market Prospects for 2017
Grain Market Prospects for 2017 A Test Drive of 2017 Grain Sales Strategies Jewell, Kansas January 10, 2017 DANIEL O BRIEN EXTENSION AGRICULTURAL ECONOMIST Probability of Corn Futures Trends Examining
Cross Hedging Agricultural Commodities
Cross Hedging Agricultural Commodities Kansas State University Agricultural Experiment Station and Cooperative Extension Service Manhattan, Kansas 1 Cross Hedging Agricultural Commodities Jennifer Graff
Market Outlook Considerations Week Beginning May 14, 2018
Market Outlook Considerations Week Beginning May 14, 2018 DISCLAIMER-FOR-EDUCATIONAL-PURPOSES-ONLY Bobby Coats, Ph.D. Professor Economics Department of Agricultural Economics and Agribusiness University
What drives crude oil prices?
What drives crude oil prices? An analysis of 7 factors that influence oil markets, with chart data updated monthly and quarterly June 10, 2014 Washington, DC U.S. Energy Information Administration Independent
Recent Convergence Performance of CBOT Corn, Soybean, and Wheat Futures Contracts
The magazine of food, farm, and resource issues A publication of the American Agricultural Economics Association Recent Convergence Performance of CBOT Corn, Soybean, and Wheat Futures Contracts Scott
Chart Pattern Secrets
Chart Pattern Secrets April 09, 2019 Next Alert: 04/11/19 The Trading System: Application of Trading Chart Patterns with Futures and Option Contracts Copyright 1997 All rights reserved. 1 The dollar made
Goldman Sachs Commodity Index
600 450 300 29 Jul 1992 188.3 150 0 Goldman Sachs Commodity Index 31 Oct 2007 598 06 Feb 2002 170.25 Average yearly return = 23.8% Jul-94 Jul-95 Jul-96 Jul-97 Jul-98 Jul-99 Jul-00 Jul-01 Jul-02 Jul-03
BLOOMBERG COMMODITY INDEX 2018 TARGET WEIGHTS
BLOOMBERG COMMODITY INDEX 2018 TARGET WEIGHTS 2018 SUMMARY 26 commodity contracts tested for inclusion No constituent changes (22 commodities constituents / 20 commodities) Energy reaches lowest weight
ALWAYS BEWARE OF DRY WEATHER FORECASTS
Page 1 of 6 RICK ALEXANDER, MARKET STRATEGIST ZANER GROUP ALWAYS BEWARE OF DRY WEATHER FORECASTS Higher to sharply higher closes for oats, rough rice,corn, soybeans, soymeal and soybean oil along with
Econ 337 Spring 2014 Due 10am 100 points possible
Econ 337 Spring 2014 Final Due 5/7/2014 @ 10am 100 points possible Fill in the blanks (2 points each) 1. Price discovery is the process by which and arrive at a specific price for a given lot of produce
Market Outlook Considerations Week Beginning April 2, 2018
Market Outlook Considerations Week Beginning April 2, 2018 DISCLAIMER-FOR-EDUCATIONAL-PURPOSES-ONLY Bobby Coats, Ph.D. Professor Economics Department of Agricultural Economics and Agribusiness University
Market Outlook Considerations Week Beginning April 30, 2018
Market Outlook Considerations Week Beginning April 30, 2018 DISCLAIMER-FOR-EDUCATIONAL-PURPOSES-ONLY Bobby Coats, Ph.D. Professor Economics Department of Agricultural Economics and Agribusiness University
Market Outlook Considerations Week Beginning March 26, 2018
Market Outlook Considerations Week Beginning March 26, 2018 DISCLAIMER-FOR-EDUCATIONAL-PURPOSES-ONLY Bobby Coats, Ph.D. Professor Economics Department of Agricultural Economics and Agribusiness University
Comovement and the. London School of Economics Grantham Research Institute. Commodity Markets and their Financialization IPAM May 6, 2015
London School of Economics Grantham Research Institute Commodity Markets and ir Financialization IPAM May 6, 2015 1 / 35 generated uncorrelated returns Commodity markets were partly segmented from outside
Market Outlook Considerations Week Beginning April 23, 2018
Market Outlook Considerations Week Beginning April 23, 2018 DISCLAIMER-FOR-EDUCATIONAL-PURPOSES-ONLY Bobby Coats, Ph.D. Professor Economics Department of Agricultural Economics and Agribusiness University
Wheat Outlook August 19, 2013 Volume 22, Number 45
Market Situation Today s Newsletter Market Situation Crop Progress 1 Weather 1 Crop Progress. The winter wheat harvest is 96% complete as of August 18th, just ahead of the normal pace of 94%. The spring
ROLE OF CLEARING HOUSES AND FINANCIAL SERVICE PROVIDERS
ROLE OF CLEARING HOUSES AND FINANCIAL SERVICE PROVIDERS DISCLAIMER INTL FCStone Ltd Registered in England and Wales Company No. 5616586 Authorised and regulated by the UK Financial Conduct Authority [FRN:
Food prices, food price volatility and the financialization of agricultural futures markets
Food prices, food price volatility and the financialization of agricultural futures markets Christopher L. Gilbert SAIS Bologna Center, Johns Hopkins University christopher.gilbert@jhu.edu FERDI Workshop,
WISDOMTREE RULES-BASED METHODOLOGY
WISDOMTREE RULES-BASED METHODOLOGY WisdomTree Managed Futures Index Last Updated June 206 Page of 8 WISDOMTREE RULES-BASED METHODOLOGY The WisdomTree Managed Futures Index tracks a diversified portfolio
Appendix A Glossary of Terms
Appendix A Glossary of Terms At-the-Money: A term used to describe a put or call option with a strike price that is equal to the current market price of the underlying futures contract. An at-the-money
Counter-Cyclical Agricultural Program Payments: Is It Time to Look at Revenue?
Counter-Cyclical Agricultural Program Payments: Is It Time to Look at Revenue? Chad E. Hart and Bruce A. Babcock Briefing Paper 99-BP 28 December 2000 Revised Center for Agricultural and Rural Development
THE IMPACT OF TRADING ACTIVITY ON AGRICULTURAL FUTURES MARKETS
Ancona, 11-12 June 2015 Innovation, productivity and growth: towards sustainable agri-food production THE IMPACT OF TRADING ACTIVITY ON AGRICULTURAL FUTURES MARKETS Zuppiroli M., Donati M., Verga G., Riani
FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES
FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES Minneapolis Options Report February 22 nd We apologize for missing the February 8 th report. ue to the timing of stress testing work, we were
Chart Pattern Secrets
Chart Pattern Secrets April 02, 2019 Next Alert: 04/04/19 The Trading System: Application of Trading Chart Patterns with Futures and Option Contracts Copyright 1997 All rights reserved. 1 The dollar made
A PRIMER ON UNDERSTANDING FUTURES AND OPTIONS MARKETS IN GRAIN MARKETING
A PRIMER ON UNDERSTANDING FUTURES AND OPTIONS MARKETS IN GRAIN MARKETING An Introduction to Financial and Marketing Tools for WA Wheat Growers Coulee City, Washington February 2, 1999 Larry D. Makus College
CAX Commodity Arbitrage Index. Objectives and Guidelines. Copyright 2009 Alternative-Index Ltd 1
CAX Commodity Arbitrage Index Objectives and Guidelines Copyright 2009 Alternative-Index Ltd www.alternative-index.com 1 Index Objectives Provide an investable benchmark with daily liquidity that covers
WHAT EVERY CORPORATE COUNSEL NEEDS TO KNOW ABOUT HEDGING TRANSACTIONS
WHAT EVERY CORPORATE COUNSEL NEEDS TO KNOW ABOUT HEDGING TRANSACTIONS ACC HOUSTON BACK TO SCHOOL SYMPOSIUM August 30, 2018 C. Randy King, Partner Porter Hedges LLP 1000 Main, 36 th Floor Houston, TX 77002
THE ALTERNATIVE BENCHMARK COMMODITY INDEX: A FACTOR-BASED APPROACH TO COMMODITY INVESTMENT
THE ALTERNATIVE BENCHMARK COMMODITY INDEX: A FACTOR-BASED APPROACH TO COMMODITY INVESTMENT AIA RESEARCH REPORT Revised Oct 2015 Contact: Richard Spurgin ALTERNATIVE INVESTMENT ANALYTICS LLC 400 AMITY STREET,
Global economy on track for solid recovery
Global economy on track for solid recovery World real GDP grew by 5 percent in 20 Real GDP growth, percent 8 6 4 2 0-2 -4 Emerging and developing economies Advanced economies World -6 1980 1985 1990 1995