http://www.agriculture.com/markets/analysis/wheat/trading-usda-repts-insttly_11-ar15677 This is a very interesting sales point. It drives me nuts that CBOT is closed around the USDA trading report. Being able to at least hedge via LIFFE wheat seems very attractive... Has anyone looked into this previously, and what was your experience?
1) As the (major) report release nears, don't you expect resting bids and offers to disappear, one-by-one, off of the screen, even as "far away" as 20, 30, 40 or 50-cents per bushel? 2) Tomorrow ought to be interesting.
I'll have to look at the charts... but even if the near-term bids/offers disappear, I'm just trying to hedge against the 15% moves like we saw last October. Any sense which LIFFE instrument might make the best correlated hedge for American grains? Milling wheat, feed wheat, or corn?
To answer my own question... looks like milling wheat out of Paris is the only instrument with enough volume that it might make sense.
And last Oct 8th, with milling wheat.. you would've had 4-5 minutes (post report) where you could've bought wheat at about 3-4% premium. In contrast, CME wheat opened up 10%, and basically stayed there. That's probably good enough for me... just trying to avoid a massacre in case it starts going against me quick.
1) You have to expect the Prospective Plantings, August USDA and September USDA reports to be the most volatile for grains and cotton. It's tough to maintain a directional-bias through those reports. :eek: 2) Lighten up while you can.
I'd say about 99% sure that Corn, Wheat, Soybeans end limit up or limit down real fast after 10:30am EST open tomorrow...agree?
Jesus, that serious? I hope thats not the case. Implied vola was up in many of the grains today, but not *that* much. If you really thought that was going to happen, you shoulda bought a straddle. Coulda bought a May corn straddle for 60, or a bean straddle for 80 today.
B/A spreads get ridiculous during and after USDA report, though Matif Milling is improving a lot in the last year or so. Matif Corn or Liffe feed wheat are out of the question... I've observed EU markets will move a little bit around the USDA report, but generally in line with the US Swaps and various "opening" calls. Seems the futures traders over there prefer to "wait and see" how the CBOT/KCBOT opens as that's the primary venue for commercials/hedgers/specs globally. But this is definitely changing...
Too bad Chinese commodity exchanges are closed by the time the USDA reports. A lot of liquidity in the grains there, as well.