Intermarket Wheat Spreads Going Nowhere

The intermarket wheat spreads from March through Dec are within a penny or two of their levels a month ago. Markets are awaiting Thursday figures from the USDA-- but much of the short-covering on the CBOT has been done with the latest COT report showing that short positions have migrated from non-commercials over to hedgers as the outright wheat price has rallied about 5%.

As the old AIG and Goldman rolls are going through the futures markets over the first 9 days of February (for March contracts), it is clear that non-commercials have not yet gotten back to the long side in markets outside of the grain complex. With broad commodity indexes losing around 10% over the last 9 months of 2011, along with similar losses at large commodity hedge funds, it's not surprising that investors are taking a wait and see attitude. So there haven't been any easy to capture returns from distortions on the index rolls.