In a van, down by the river. | The other day I noticed that the soybean calendar spread structure since at least the NOV'15 contract is eerily similar to the spread structure we saw in the '04/'05 crop years. By this I mean that the "stair step" (up or down) pattern between futures contracts is in a very similar pattern. I noticed this because I was investigating those years as potential "Analogs" for this crop year (yes...I am a "one trick" pony...but that trick has worked very well for me...). So I decided to superimpose the H/K'16 spread price curve with the H/K'05 curve, and the resemblance is downright spooky. I anticipated those might be analog years because the '04/'05 crop year was similar to today in that we went from around a 4% stocks-use ratio to a 9%, which for soybeans is like from famine to feast.
Wanting to take this further to understand why the dynamics of that year might be useful for managing through the rest of this year, I superimposed the nearby soybean futures prices over a range from January '04 ('15) through DEC '05 ('16). It turns out there is pretty darned good correlation (~75%), as you can see from this image. So I want to know, WTF happened from FEB 1st thru MCH 15th in 2005??? Why might price follow a similar path? Why not? Based on the timing of the "pop", was it something to do with the SAM harvest that year?
EDIT: Please note that I "re-scaled" the '04/'05 data by simply adjusting the over-lapping portion to have the same mean and standard deviation.
Edited by Rob.Cogdill 1/28/2016 22:42
 (SoybeanCorrel2016.jpg)
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 SoybeanCorrel2016.jpg (55KB - 103 downloads)
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Another interesting correlation...
