In a van, down by the river. | I selected the NOV soybean contracts for each year with ending stocks of 8% or greater, or years with at least 6% ending stocks but large stocks the next year (because the large stocks next year would be due to the crop made the prior Oct/Nov). I did try a few variations, but in the final version I just normalized each year's price series by the level of the first trading days in January, which pretty much squeezes everything from $5 beans up to $13 beans into the same range. After normalizing each price series I took the simple average for each trading date across the selected years to come up with a single seasonal curve. I guess you could say this curve shows the percentage change relative to the first week in January. I also tried subtracting the 1-year average from each curve then divide by standard deviation (i.e. standard normal), but the plot looked basically the same.
No matter how you slice it, approximately June 15th usually turns out to be a critical time for bean prices (planted acreage report??). My other favorite dates for trading beans would probably be Labor day and the first week of November. Comparison of this year's action to date with the seasonal curve pretty much confirms we've already taken a very unusual shellacking, except in comparison to January 2010. While I believe lower prices are probable in the medium/longer-term, we ought to be due for a meaningful bounce by mid-Feb.
By the way, 1234, I always appreciate your quantitative approach; I've definitely learned some things from your posts.
Edited by Rob.Cogdill 1/30/2015 19:22
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Can anyone make a case for a Nov15 bean north of 1050?
