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Price Relations Between July And September Wheat Futures At Chicago Since 1885


  • Working, Holbrook


The price spread between July and September wheat is determined primarily by current domestic supplies of all wheat in the United States, conveniently measurable in terms of July 1 carryover. Early in the season the spread may show little relation to the statistical supply position, but by June the relation normally becomes very close. Given an accurate appraisal of the domestic supply position, the price spread in June may usually be predicted with great accuracy. Substantial disparity between the actual spread in June and that to be expected from the supply statistics has occurred in eight years since 1896. In each of these years there was a peculiar market situation-usually a corner or "squeeze" in the futures market. Existence of such a disparity gives. prima facie evidence of abnormal speculative market conditions. Changes in the spread tend to occur in response to influences specifically related to the spread, and not in response to general price influences. The spread-related influences necessarily affect the price of at least one of the two futures. Under certain circumstances they affect the price of July wheat and not the price of September; under other circumstances they affect September and not July; under still other circumstances they affect the price of both futures, but July more than September. The July-September price spread is subject to conspicuous and reliably predictable seasonal changes. Most of these are related to even stronger seasonal tendencies in price of the July future, which have hitherto been only imperfectly understood because their character is dependent in part on factors related to the July-September spread in a way not previously recognized.

Suggested Citation

  • Working, Holbrook, 1933. "Price Relations Between July And September Wheat Futures At Chicago Since 1885," Wheat Studies, Stanford University, Food Research Institute, issue 06, March.
  • Handle: RePEc:ags:frisws:142876

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    Cited by:

    1. Brennan, Donna & Wright, Brian D., 1992. "Futures Markets, Storage and Convenience Yield," Discussion Papers 232260, University of Western Australia, School of Agricultural and Resource Economics.
    2. John T. Cuddington & Arturo L. Va'squez Cordano, 2013. "Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses," Working Papers 2013-09, Colorado School of Mines, Division of Economics and Business.
    3. Genevre Covindassamy & Michel A. Robe & Jonathan Wallen, 2016. "Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty," IDB Publications (Working Papers) 8588, Inter-American Development Bank.
    4. Cesar Revoredo, 2000. "On The Solution Of The Dynamic Rational Expectations Commodity Storage Model In The Presence Of Stockholding By Speculators And Processors," Computing in Economics and Finance 2000 42, Society for Computational Economics.
    5. Xie, Yang & Zilberman, David, 2015. "Water-Storage Capacities versus Water-Use Efficiency: Substitutes or Complements?," 2015 Conference, August 9-14, 2015, Milan, Italy 211894, International Association of Agricultural Economists.
    6. Stepanek, Christian & Walter, Matthias & Rathgeber, Andreas, 2013. "Is the convenience yield a good indicator of a commodity's supply risk?," Resources Policy, Elsevier, vol. 38(3), pages 395-405.
    7. Geman, Hélyette & Smith, William O., 2013. "Theory of storage, inventory and volatility in the LME base metals," Resources Policy, Elsevier, vol. 38(1), pages 18-28.
    8. Ren'e Aid & Luciano Campi & Delphine Lautier, 2015. "On the spot-futures no-arbitrage relations in commodity markets," Papers 1501.00273,, revised Feb 2018.
    9. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
    10. Zulauf, Carl R. & Sanghyo, Kim, 2014. "Is Storage Rational When the Price is Expected to Decline? An Initial Study Using Data from U.S. Futures and Options Markets," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170593, Agricultural and Applied Economics Association.

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