Hardly Worth Mentioning

The intermarket wheat futures spreads traded in very narrow bands, very close to yesterday's levels. May MGE 11.5 to 12.75 over CBOT and KC at 2.75 to 4 cents over CBOT. Contangos narrowed a smidge; Dec10/Dec 11 CBOT was a penny narrower than yesterday's 80 cents.

Within the first hour the outright market looked like it was setting up for a further rally after a higher opening. A market profile (bell curve) chart showed the market staying up close to the highest levels of the first hour. My forecast for the day was that higher CBOT levels would lead to the hard wheat futures premium narrowing, but that there would not be any significant, lasting intermarket spread changes. So I was trying to sell MGE at 12.75 and buy it on a dip to under 12. The MGE sales I got done were “autolegged” at 12.05 on a 12.75 order. On a separate dip, I bought KC at 3.5 over CBOT which was a couple of cents off where it was Tuesday. Toward the close the MGE softened and I bought them back at 11.70 over, while I held the KC long vs CBOT as a new position. I have been long MGE vs CBOT at the outset of this journal (since December).

To summarize, I thought there wouldn't be much intermarket spread movement and there wasn't. But there were no rewards for this insight as the movement was not even really tradeable.