Still maintaining positions and following the markets, but won't be back to regular postings for a week or so...
Reading up on some research reports (hat tip to BMH), I was struck by the lack of understanding of the CBOT's new VSR (variable storage rate) regime. Even top research professionals seem confused by some of the details. For example, while the storage rate increases are triggered by spreads averaging over 80% of full carry (within a certain time period), storage rates do not drop if the spreads are under 80%--the spreads have to be below 50% of full carry (during the appropriate time period) to trigger a drop in the storage rate.
With CME shares down almost 30% so far this year, I guess they have other things to worry about besides publicizing an obscure delivery rules change, but still...
Subscribe to:
Post Comments (Atom)
Posts
Finally started to see z/h widen out in good fashion today. Although sep deliveries will be very important (still should be high) I think z/h widens out to full vsr carry by dec roll. Lots of wheat out there, guys are definitely gonna want to make room for the upcoming corn crop as well.
ReplyDeleteThinking bearspreading anything inside of -20 is good in z/h.....been staying away from the h/n, n/z etc.
I don't understand some of the economics of delivery: who takes delivery when the cash markets are 90 cents/bushel cheaper than the exchange warehouses?
ReplyDeleteI can see that financial players would take delivery of shipping certificates and hold them for re-tender in December if the carry is attractive, but who would load out wheat from a warehouse at such a premium to other cash market alternatives?