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Deliveries on Commodity Futures Contracts

Author

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  • ANNE E. PECK
  • JEFFREY C. WILLIAMS

Abstract

Deliveries on futures contracts are widely thought to be relatively insignificant in amount; indeed sizeable deliveries are taken to indicate problems in a futures market. In fact, deliveries on five of the largest, physical delivery, futures markets in the US average approximately 10 per cent of the maximum open interest in each delivery month. Analysis also demonstrated the value of the timing and location options often provided by contract specifications. One implication is that measures of market performance like hedging effectiveness are sensitive to the imbedded options' effects on prices

Suggested Citation

  • Anne E. Peck & Jeffrey C. Williams, 1992. "Deliveries on Commodity Futures Contracts," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 63-74, December.
    • Handle: RePEc:bla:ecorec:v:68:y:1992:i:s1:p:63-74
    DOI: 10.1111/j.1475-4932.1992.tb02296.x
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    References listed on IDEAS

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    1. Gay, Gerald D. & Manaster, Steven, 1984. "The quality option implicit in futures contracts," Journal of Financial Economics, Elsevier, vol. 13(3), pages 353-370, September.
    2. Paul, Allen B. & Kahl, Kandice H. & Tomek, William G., 1981. "Performance of Futures Markets: The Case of Potatoes," Technical Bulletins 157682, United States Department of Agriculture, Economic Research Service.
    3. Garbade, Kenneth D & Silber, William L, 1983. "Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts," The Journal of Business, University of Chicago Press, vol. 56(3), pages 249-272, July.
    4. Gray, Roger W. & Peck, Anne E., 1981. "The Chicago Wheat Futures Market: Recent Problems in Historical Perspective," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 18(01), pages 1-28.
    5. Holbrook Working, 1948. "Theory of the Inverse Carrying Charge in Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 30(1), pages 1-28.
    6. repec:bla:jfinan:v:44:y:1989:i:1:p:101-13 is not listed on IDEAS
    7. Peck, Anne E. & Williams, Jeffrey C., 1991. "Deliveries on Chicago Board of Trade Wheat, Corn, and Soybean Futures Contracts, 1964/65-1988/89," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 22(2), pages 1-8.
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    Cited by:

    1. Adam-Müller, Axel F. A. & Wong, Kit Pong, 2002. "The impact of delivery risk on optimal production and futures hedging," CoFE Discussion Papers 02/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Bharat Ramaswami & Jatinder Bir Singh, 2006. "Underdeveloped spot markets and futures trading: The Soya Oil exchange in India," Discussion Papers 06-03, Indian Statistical Institute, Delhi.
    3. Fernandes, Vitor M. & Kunda, Eugene L. & Robe, Michel A., 2022. "Corn Futures Deliveries: Why? When? So What?," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322061, Agricultural and Applied Economics Association.
    4. Michèle Breton & Ramzi Ben‐Abdallah, 2018. "Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 22-37, January.

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