Posted by: usset001 | May 3, 2010

New crop corn and soybeans futures prices show strong seasonal tendencies

For over 10 years, I’ve been tracking and discussing seasonal trends in new crop futures prices in corn and soybeans. I track it in a rote manner by taking a snapshot of new crop futures in the spring and five months later at harvest. I define “spring” as May 1, though it may be April 30 or May 2, depending on where the weekend falls. I define harvest as October 1 and, again, it could be September 30 or October 2, depending on the weekend dates. Friday (April 30) was my time to take a snapshot of 2010 new crop values.

The tables below show the last two decades of price changes from May 1 to October 1 in corn and soybeans. In corn, new crop December futures prices declined in 16 of the last 20 years (80%), including each of the last 7 years. The average is decline is more than 30 cents per bushel. You’re thinking, “What are the odds of December corn trading lower 8 years in a row? It has happened before in corn, between the years 1955-1962. I have the data going back to 1950, and the only contrary decade in the record is the 1970’s, when harvest prices were higher than spring prices in 7 of 10 years.

Is there a stronger seasonal trend in futures prices, in any commodity, than the tendency for December corn futures to decline from spring to fall? I’ve made it my mission to try and answer this question and, so far, nothing appears to come close (except for soybeans – see below).

CBOT December Corn Futures, 1990-2009

  • 16 years (80%) the market declined
  • 4 years (20%) the market improved
  • 9 years the market declined more than 40 cents!
Year 1-May 1-Oct Change
1990 2.70 2.29 (0.42)
1991 2.53 2.54 0.01
1992 2.53 2.12 (0.41)
1993 2.43 2.43 0.00
1994 2.58 2.14 (0.44)
1995 2.63 3.11 0.48
1996 3.33 2.90 (0.44)
1997 2.76 2.56 (0.20)
1998 2.62 2.05 (0.58)
1999 2.31 2.05 (0.26)
2000 2.62 1.99 (0.63)
2001 2.27 2.11 (0.16)
2002 2.20 2.56 0.36
2003 2.33 2.20 (0.13)
2004 3.17 2.06 (1.11)
2005 2.27 2.06 (0.21)
2006 2.72 2.68 (0.04)
2007 3.79 3.69 (0.10)
2008 6.32 4.84 (1.48)
2009 4.33 3.41 (0.93)
2010 3.92    
Average 2.92 2.59 (0.33)

 

Soybeans are not quite as reliable as corn – new crop November futures declined in 14 of the last 20 years. The average decline is nearly 30 cents per bushel.

CBOT November Soybean Futures, 1990-2009

  • 14 years (70%) the market declined
  • 6 years (30%) the market improved
  • 10 years the market declined more than 50 cents!
Contract 1-May 1-Oct Change
1990 6.55 6.05 (0.51)
1991 6.09 5.89 (0.20)
1992 6.05 5.33 (0.72)
1993 5.96 6.18 0.22
1994 6.28 5.38 (0.90)
1995 6.06 6.37 0.32
1996 7.58 7.49 (0.08)
1997 6.96 6.21 (0.76)
1998 6.17 5.15 (1.02)
1999 5.14 4.81 (0.33)
2000 5.80 4.90 (0.90)
2001 4.34 4.52 0.18
2002 4.56 5.42 0.86
2003 5.53 6.87 1.34
2004 7.45 5.35 (2.10)
2005 6.22 5.73 (0.49)
2006 6.26 5.45 (0.81)
2007 7.84 9.92 2.08
2008 11.93 10.53 (1.40)
2009 9.71 9.18 (0.53)
2010 9.76    
Average 6.62 6.34 (0.29)

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