Grain Market Daily

James Webster

 

James Webster, Analyst, AHDB Market Intelligence
James.Webster@ahdb.org.uk, 02476 478844

 

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Stop Loss top dog and what might have been for the PF

As we move towards the final few months of the 2017 marketing period we take a look at how the strategies we laid out in November 2016 are performing. The tonnage available for sale has been adjusted to reflect the Defra yield data released in December 2017. This has made an extra three loads available for sale for each strategy, which have been split evenly between September and November 2017 according to the defined sales period of each strategy.

The Stop-Loss Accumulator (SLA) remains top dog, by virtue of cashing in on the market falling after the “spring wheat rally” last July. The SLA hasn’t made any further sales since 20 November 2017 with the market very much tracking sideways since then. The SLA currently represents an average value of £133.31/t (sold and unsold loads) and is now two-thirds sold.

The Protected Forward (PF) strategy is now completely sold. The PF purchased a call option on 1 November 2017 (click here for a refresher on options) to cover around half of the total tonnage available for sale. The PF has had the worst price performance of all of the strategies so far, averaging £127.60/t over the sold and unsold loads and call option purchase.

When we launched the strategies in 2016 it was decided, for the purpose of transparency, that the call option would only be exercised on expiry (12 October 2017) if there was value in doing so. At the time of expiry the call option was worth -£4.51/t so was not used

However, in reality the call option would more than likely have been exercised (in part or full) around the spring peak (11 July 2017) when it was worth an extra £9.09/t. If this occurred, the strategy would now be worth an average of £141.20/t, £7.89/t over the current best performing strategy, the SLA.

Keep an eye on the AHDB C&O Markets page for the 2018 strategies which are coming soon.

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Paris rapeseed sustains rally but still below post-planting average

Nov-18 Paris rapeseed futures have remained above the contract average recently, having dropped considerably last month. At yesterday’s close, Nov-18 rapeseed futures were worth £313.14/t, £2.34/t above of the contract average, but remain £6.38/t below the post-planting average.

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