Events Study

Calendar Closing Stock Model Event Study

Introduction WASDE reports get published around the 10th of every month and is a date that every commodity trader looks forward to. This is the time of the month when the USDA gives the market a glipse of their take on the current balance sheets of the main agricultural commodities of the major producing and consuming nations. A classic number that many commodity traders look at is the stock-to-usage ratio.

Net Managed Money Event Study

Introduction The aim of this write-up is to explore the price evolution after different thresholds of net managed money have been crossed. The COT data containing the net managed money numbers have been collected using Bloomberg. Note that the dates assocated with the bloomberg data is not correct. Generally, the data is for the positions on a Tuesday, but only reported on a Friday. The first time the market has access to this data, most of the time, is on a Friday.

Corn Planting Progress vs December Prices

1 Introduction 2 Planting Pace 3 Events Study 4 Remarks 1 Introduction Recently it has been in the news that US corn planting has been slow compared to previous years. This will impact the corn acreage planted as well as the yields that the United States hopes to achieve. In this post we have a closer look at past cases of slow planting and the subsequent returns after the data has been made avaible on NASS.

Bridgeton Orders Event Study

1 Introduction 2 Event Studies 2.1 Aggregated Example 2.2 Brent Crude Oil 2.3 Canola 2.4 Cocoa 2.5 Coffee 2.6 Corn 2.7 Cotton 2.8 Gas Oil 2.9 Heating Oil 2.10 Kansas City Wheat 2.11 Lean Hogs 2.12 Live Cattle 2.13 London Cocoa 2.14 Milling Wheat 2.15 Natural Gas 2.16 Rapeseed 2.17 Reformulated Blendstock 2.18 Robusta Coffee 2.19 Soybean Meal 2.20 Soybean Oil 2.21 Soybeans 2.22 Sugar 2.23 WTI Crude Oil 2.