Info about Ag Spread Curve

Discussion in 'Commodity Futures' started by tommo, Mar 3, 2009.

  1. tommo


    Hi all,

    Was wondering if anyone could assist in letting me know which months attract the most interest in the ags (soy wheat corn etc) im sure the seasons play a major role so around harvest time (jul aug) most active.

    Are there any sort of seasonal plays i.e summer 09 vs summer 10. Or a winter vs summer spread, Oct March March Aug etc.

    Would appreciate any sort of info about the agricultural curve,

    Many thanks
  2. 1) The "harvest" month attracts the most volume and open interest.
    2) The "swing" month attracts the least.
    3) With spreads, you can do spreads among the same crop,(intra) or among different crop years, (inter).
    4) Be more careful with inter-crop spreads because they can behave more like outright positions when the market gets "crazy". :cool:
  3. tommo



    Do you mind explaining what you mean by swing month? To be honest im more interested in how the calendar curve acts (in terms of volume/interest) rather than the crush.

  4. 1) The swing-month "connects" the crop years.
    2) For soybeans, it's August and September.
    3) For corn, it's September.
    4) For (CBOT/CME) wheat, it's May.
    5) For (KCBOT) wheat, it's September.
    6) For cotton, it's October.
    7) Volume and open interest tend to accumulate most in the front-month and then drop off into the deferred contracts but "skip over" the swing-month. :cool:
  5. tommo


    thanks for the help
  6. Very well said Nazz.