Corn and Coffee continue to have their highest carry yield for the past 52 weeks.
pread Edge Capital specializes in seasonal spread trading across a wide variety of commodity markets. A spread trade is the simultaneous purchase and sale of the same commodity with different delivery dates. SpreadEdge publishes a weekly Newsletter that provides several seasonal spread trade opportunities every week.
Overview
Each week the SpreadEdge Newsletter documents an extensive list of seasonal, technical and fundamental indicators for the various commodity markets. This article will focus on the Grains and Softs and review the % carry yield and a technical analysis of Corn, Soybean Meal, and Arabica Coffee.
% Carry Yield
Futures calendar curves vary in shape over time. Some often invert, with front-month contract prices exceeding those of later contracts, resulting in positive carry. Conversely, some curves exhibit contango, leading to a negative carry. % Carry yield is the one-year calendar curve yield as a percentage of contract notional value. Markets tend to reverse when they get at or near their highest or lowest levels over the past 52 weeks.
- Corn and Arabica Coffee are at their highest % carry yield for the past 52-weeks
- Soybean Mean is at its lowest carry yield for the past 52-weeks. Robusta Coffee is near its lowest,
Technical Analysis
- Despite the high carry yield, front month Corn has yet to break through the declining trendline.
- Coffee, on the other hand, has broken through the upper channel and is aggressively breaking out.
- Soybean Meal continues to drift down the channel.
