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last release: July 2017

Futures Markets

June 2017

% Change



















Source: CME - *USD per tonne

Futures prices: Prices for wheat, maize, soybeans and rice followed separate paths during the past month. Wheat values, reacting to hot dry weather in France and deteriorating spring and winter wheat crop conditions in the US, rose 4.4 percent m/m. Maize prices rose sharply during the first week of June and then declined steadily as weather concerns abated, finishing 2.2 percent higher m/m.  Soybean prices, responding to a favourable supply scenario, continued in their downward direction since the start of 2017 declining 2.9 percent m/m. Rice prices hit an 11 month high, buoyed by global demand and deteriorating US crop conditions. Wheat, maize and soybean prices were respectively 6, 9 and 19 percent lower y/y while rice prices were about unchanged.         

Volumes and volatility: Wheat, maize and soybean volumes rose sharply m/m, as is usual for June. Implied Volatility increased for all three commodities m/m but remained below levels of a year ago. Historical volatility increased somewhat for maize and soybeans but declined slightly for wheat m/m while it was lower for all three commodities y/y, exhibiting levels of 23.6, 21.1, and 15.2 for wheat, maize and soybeans respectively. In all, volatility remained at the low end of the spectrum from a historical perspective.

Basis levels and transport: Basis levels for maize and soybeans were slightly firmer in the interior, while producers finished planting.  In Illinois, the interior bids to local elevators were minus USD 9 and minus USD 10 per tonne under the July futures prices for maize and soybeans respectively. In Iowa the bids for maize were about unchanged at minus USD 18 and bids for soybeans firmed modestly to minus USD 23 (both under the respective July futures). In general, basis levels were very low relative to other years at this point in the season when domestic buyers normally pay premiums to futures prices in a dwindling supply situation. Domestic soft red wheat values remained cheap relative to July futures prices as harvest neared completion. Gulf export quotations were about unchanged for maize, soybeans and soft red wheat at around USD 12, USD 13 and USD 16 respectively on a per tonne basis over the respective July futures. Export clearances for wheat, maize and soybeans remained on record pace at 130 percent higher than last year, but unshipped balances dipped below last year’s tonnage indicating a possible slowdown in demand. Barge freight firmed somewhat m/m to USD 15 per tonne (Illinois River to Gulf quotation).

Forward curves: Forward curves for wheat and maize remained in the same pattern of upward slopes (contango) m/m despite price rises, particularly in wheat. The soybean curve, notably between the July 2017 and November 2017 contracts, eased again m/m to USD 2.50 carry (upward slope). The decline in July/November soybean spread, which had reached a USD 17 per tonne inverse in February 2017, was indicative of an ample carryover into 2017/18 season. Deliveries were unseasonably heavy against the maize and soybean July contracts at 1 942 and 1 066 contracts respectively, with commercials being the largest delivery makers, while deliveries in July wheat at 62 contracts were modest.

Investment flows: Managed money made sharp corrections to its record bear strategy for wheat and maize while staying the course in its short bet on soybeans. Managed money trimmed its net short wheat position by 108 000 contracts to end with a modest net short of 13 000 contracts at month-end. Similarly, it reduced its net short in maize with net purchases of 148 000 contracts to retain a net short of 50 000 contracts at month-end. Managed money’s soybean net short of 97 000 contracts was virtually unchanged m/m, leaving the net short positions in the three commodities at about 160 000 contracts versus the record net short it held May 30 of 413 000 contracts (equivalent to about 54 million tonnes). In opposite strategy to managed money, commercials were the predominant sellers of wheat and maize, increasing their short positions in the two commodities. Swaps dealers – which manage passive investments for large clients such a pension funds – remained the dominant long position holder in maize and wheat, while commercials shared with swaps dealers the long position in soybeans.