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last release: June 2018

Futures Markets

May 2018

% Change



















Source: CME - *USD per tonne

Futures Prices
Prices for wheat and maize rose 8.9 and 3.3 percent respectively m/m while soybean and rice prices fell 1.7 and 4.6 percent respectively. Dry weather affecting several major wheat growing regions including North America, Black Sea, Europe and Australia lifted wheat values to multi month highs. Maize values were buoyed by an unusually cold start to US planting season and a surge in crude oil prices to three year highs, which in turn supported larger maize based ethanol exports. Conversely, soybean prices were pressured by a sudden halt in late April to Chinese purchases of US soybeans. A truckers’ strike in Brazil in late May, which reduced the country’s soybean export availabilities, reversed the price slide, producing a small month-end rally in US futures prices. Rice, despite firm global prices, fell sharply at month-end in thin trade and expectation of a US production recovery, even though most of the price decline occurred in the old crop month of July. In exogenous markets, the USD regained some strength against other currencies, notably the euro, but did not depress commodity prices as would normally be the case: the Commodity Research Bureau (CRB) index, the oldest tracking index of commodity prices, reached its highest level in a year. Despite conflicting market signals, wheat, maize, soybeans and rice posted higher prices y/y respectively by 20.2, 8.6, 7 and 17.8 percent.

Volumes and volatility
Trade volumes for wheat, maize and soybeans fell by double digit percentages despite the flux of market variables and general level of trade uncertainty. Volatility levels displayed mixed signals with wheat, maize and soybeans registering higher historical volatility m/m while only wheat exhibited higher implied volatility m/m. On a y/y basis, wheat and soybeans were higher for both historical and implied volatility but maize was lower.

Basis levels and transport
Domestic basis levels for maize and soybeans were mostly unchanged m/m as producers completed the majority of maize and soybean planting. In Illinois, the interior bids to local elevators were quoted minus USD 11 per tonne for maize and minus USD 13 for soybeans, both under the respective July futures prices. In Iowa, the bids were minus USD 16 for maize and minus USD 26 for soybeans (under the respective July futures). Gulf export delivery basis levels for maize fell from last month’s levels and were quoted at USD 21 to USD 22, while soybeans leveled out at around USD 21, following last month’s period of uncertainty with respect to China. Soft red wheat, its harvest commencing in the southern growing regions, continued to see firm cash values delivered to the northern mills (quoted above the July futures price) but saw basis levels decline m/m delivered to gulf at around USD 21 per tonne over the July futures. Barge freight eased m/m from USD 33 to USD 24.5 per tonne as high water levels receded. In the export market, although cumulative shipments continued to lag for all three commodities - standing at 87 percent of last year’s levels- maize and soybean export commitments (unshipped balances) were impressively ahead of last year’s levels by 38 and 58 percent respectively. Conversely, wheat appeared to be in a secular downtrend trailing at 36 percent below last year’s commitments.

Forward curves
Forward curves for wheat and maize continued in the same carrying charge (contango) pattern m/m. Soybean curves, notably the July 2018/November 2018 spread eroded from a flat configuration to a USD 4.5 carry market by end month.

Investment flows
Managed money maintained moderate long positions in maize and soybeans m/m. It reversed its customary bearish stance in wheat by establishing a modest long. Open interest has increased to record levels for maize and soybeans over the past 2 months with commercial participation increasing the most in terms of absolute numbers of contracts. Options levels have also increased particularly in maize, comprising about 25 percent of combined options and futures open interest.