Convergence Failure in CBOT Wheat Futures
20 Pages Posted: 7 Jun 2013
Date Written: Sept 2, 2009
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: Suggested Citation