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Convergence Failure in CBOT Wheat Futures

20 Pages Posted: 7 Jun 2013

See all articles by Davidson Heath

Davidson Heath

University of Utah - David Eccles School of Business

Date Written: Sept 2, 2009

Abstract

CBOT wheat futures, the third largest agricultural futures market in the world, from 2006 to 2009 failed to converge to cash wheat prices at expiry. The reason is the presence of price controls for storage that are implicit in the contract specifications, which caused the textbook arbitrage mechanism to fail.

Keywords: Wheat, Commodities, Convergence, Futures, CBOT, Basis, Carry

Suggested Citation

Heath, Davidson, Convergence Failure in CBOT Wheat Futures (Sept 2, 2009). Available at SSRN: https://ssrn.com/abstract=2275088 or http://dx.doi.org/10.2139/ssrn.2275088

Davidson Heath (Contact Author)

University of Utah - David Eccles School of Business ( email )

1645 E Campus Center Dr
Salt Lake City, UT 84112-9303
United States

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