Ag trade ideas

TraDaToR said:
I have something interesting on sugar but it is my first sugar curve play, so take it with a grain of salt. IMO because of the big gap between 2014 and 2015 expiries, the shape of the curve in 2015 is unusual. March and May are too low compared to a typical year like 2016. Mar/May and May/Jul are at historical lows and probably near full carry( didn't dig it further on ICE website ). Mar/may is still trending lower but May/Jul is now forming a bottom. I bought it today @ -0.24. I am looking for a target near 0 but I won't let it run after the end of the year.

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Scratched it @ -0.24. spreads near full carry tend to widen towards expiration and it was kind of a dumb trade in the first place...
 
GiantHogweed said:
KCN/H looks like a possible trade here. A pullback into -4 to -8 would make a good entry for risk/reward. The play is to move toward full carry. Not an expert on calculating carry, but I think according to contract specs would be around +18 cents. Can someone confirm?

https://www.tradingview.com/x/RxXaO3Xu/
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According to contract specifications, we've got a 0.00197$/bushel/day storage charge from 01-12 to 30-06 and 0.00296 from 01-07 to 30-11, so for this spread with one month with higher charges, it would be an average of 0.0022175$/bushel/day.

Using the formula on cme website (# Days ∗ [(Interest 360 ∗ Futures Price )+ Daily Storage ] with libor + 200 basis points = 0.0223, I get a 31 cents full carry...???? I don't know if I made an error somewhere...

However, when we look at historical datas, the maximum ( outside delivery period ) was 28 cents in 2009 and it really rarely go over 20 cents...

What is the basis for this trade, july being the new crop? Poor quality winter wheat sowings right now?
 
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Here is something I entered last week @2.4. I didn't publish it at first because it is quite illiquid but I guess someone can enter a few lots. Aug/Sep15 Feeders in unusual territory( blue line on the left ). The trade is to get it back in line. I can't see a fundamental reason for what we got now.

 
TraDaToR said:
However, when we look at historical datas, the maximum ( outside delivery period ) was 28 cents in 2009 and it really rarely go over 20 cents...
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Thanks, I see the same 20 cent resistance on the long term charts

TraDaToR said:
What is the basis for this trade, july being the new crop? Poor quality winter wheat sowings right now?
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Definitely a technical setup for me. MRCI suggests that the trade will start to focus on the uncertainty of the new crop July now that it is planted, while March is old crop.
 
TraDaToR said:
Here is something I entered last week @2.4. I didn't publish it at first because it is quite illiquid but I guess someone can enter a few lots. Aug/Sep15 Feeders in unusual territory( blue line on the left ). The trade is to get it back in line. I can't see a fundamental reason for what we got now.
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Interesting, it looks like the reversion may have started today....
 
GiantHogweed said:
Thanks, I see the same 20 cent resistance on the long term charts

Definitely a technical setup for me. MRCI suggests that the trade will start to focus on the uncertainty of the new crop July now that it is planted, while March is old crop.
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By the way I use this formula but it rarely matches historically tested levels. Most of the time full financial carry is never reached, but for soyoil for example historical carries are always > this calculated carry, so it should just give you an idea. However, I think for KC wheat, the few times the spread went past 20 cents was in recent history, so it is possible the 2 tier storage charges were recently adopted and spread can go over that level more often in the future.

Good thing to have the fundamentals on your side, and the russian/ukrainian winter wheat has issues too...
 
Short Mar/May 16 Coffee @0.6. Little double top + Contango structure in the front of the curve + outrights back to lower values.
 
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