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For those who like good data.
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Posted 7/28/2014 19:09 (#3990501)
Subject: For those who like good data.



Death comes to us all. Life's but a walking shadow
I have been trying to understand the structure of the agricultural futures markets and to that end have been looking at the Commitment of Traders to help me understand what's going on better. The first is a chart for 2010 corn open interest which show how old crop and new crop (and newer) changes over the course of the year. The second is 2014 old & other (new) to date. Just as you might guess the market rolls out of the old crop contracts as they expire and takes up new contracts. Interestingly the total open interest doesn't change all that much.
The next three charts show how the longs and shorts for the various categories of traders change over the course of the year for 2010, 2012 and 2014. It is important to note that on Sept 1st what was new crop contracts becomes old crop contracts so I had to cut and paste the old and other data together to show the continuity. Finally there are three charts which show how the net positions of the various categories of traders changes with time. I included a plot of the respective new crop Dec futures price for context.
You can make some interesting observations. First, the managed money and swap dealer longs nicely balance the commercial shorts. Sometimes the other reportables get some action as well. The non reportables, aka the speculators seem to be net short most of the time. Second, if the commercial shorts are a proxy for producer priced corn then at this point in the year then the 300,000 commercial short contracts represent about 1.5 billion bushels or just 11% of the crop. That leaves 90% of the crop still unpriced. Even through harvest it is only 800,000 contracts or 4 billion bushel.
I'm sure there are many more observations that can be made looking at this data. But what strikes me is that as of yet most of the corn crop is unpriced and farmers really haven't had much to say about the price. Second, it is apparent that every year sometime during the year the whole crop eventually gets priced and it isn't clear to me who prices it, the farmer or some trader in Chicago.




(2010 corn COT old & new-page-001.jpg)



(2014 corn COT old & new-page-001.jpg)



(2010 corn COT longs & shorts by category-page-001.jpg)



(2012 corn COT longs & shorts by category-page-001.jpg)



(2014 corn COT longs & shorts by category-page-001.jpg)



(2010 corn COT net position by category-page-001.jpg)



(2012 corn COT net position-page-001.jpg)



(2014 corn COT new crop net position-page-001.jpg)



Attachments
----------------
Attachments 2010 corn COT old & new-page-001.jpg (92KB - 100 downloads)
Attachments 2014 corn COT old & new-page-001.jpg (70KB - 94 downloads)
Attachments 2010 corn COT longs & shorts by category-page-001.jpg (114KB - 84 downloads)
Attachments 2012 corn COT longs & shorts by category-page-001.jpg (111KB - 86 downloads)
Attachments 2014 corn COT longs & shorts by category-page-001.jpg (88KB - 96 downloads)
Attachments 2010 corn COT net position by category-page-001.jpg (88KB - 76 downloads)
Attachments 2012 corn COT net position-page-001.jpg (67KB - 114 downloads)
Attachments 2014 corn COT new crop net position-page-001.jpg (61KB - 81 downloads)
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