What moves wheat

Forty years of Chicago wheat futures, set against the news. The grain pit shrugged off wars, oil shocks and currency crises. It moved hard when the news was about who would buy the grain, and on the one day when everyone sold everything. And the biggest story in the data is not in any headline: over 43 years the price of wheat doubled, and holding wheat futures lost two-thirds of the money before interest on the cash behind them.

Forty-three years of wheat — first 400 of 520 readings.

x	Open	High	Low	Close	Volume
1959-07-01	195.88	197.75	194	196.25	316
1959-08-01	196.12	197.5	194.5	197.25	289
1959-09-01	197.12	198.88	194.12	196.5	316
1959-10-01	196.12	201.88	195.75	200.38	291
1959-11-01	200.5	206.75	199.75	203.25	296
1959-12-01	203.25	204.5	200.38	204.25	311
1960-01-01	204.5	205.12	200.38	200.62	225
1960-02-01	200.75	202.25	197.12	200.12	277
1960-03-01	200.25	208.88	199.75	207.62	395
1960-04-01	207.75	209.5	183.88	185	355
1960-05-01	185.12	186.75	184.5	184.62	388
1960-06-01	184.62	187.25	184	185.88	216
1960-07-01	186	186.75	182.88	184	430
1960-08-01	184.25	193.25	184.12	191.62	354
1960-09-01	191.62	195.25	191.5	194.62	221
1960-10-01	194.75	199.38	194.62	199.25	250
1960-11-01	199.25	206	198.62	205.75	405
1960-12-01	205.75	208.75	204.5	208.62	297
1961-01-01	208.88	215.75	208.12	213.25	368
1961-02-01	213.25	215.25	207.88	211.88	337
1961-03-01	212	212.38	197.38	199.25	333
1961-04-01	199.25	199.62	186.25	188.62	205
1961-05-01	188.75	190	184.62	185.88	216
1961-06-01	186	197.38	185.62	195.88	400
1961-07-01	195.12	198.25	192.25	196.38	731
1961-08-01	196	207.5	196	203.25	884
1961-09-01	203.25	207.75	202.88	204.62	532
1961-10-01	204.75	205.5	201.5	202.5	542
1961-11-01	202.5	210.25	202	209.75	324
1961-12-01	209.5	210.38	206.25	207.25	358
1962-01-01	207.12	207.25	201.25	202.75	518
1962-02-01	202.75	206.38	201.88	204	433
1962-03-01	204.12	207.88	203.88	207.38	471
1962-04-01	207.5	214.88	207.38	214.38	579
1962-05-01	214.25	217.12	212.25	214.5	928
1962-06-01	214.88	217.5	213.88	214	803
1962-07-01	214.25	216.62	212.12	212.38	914
1962-08-01	212.38	216.75	204.5	214.12	1104
1962-09-01	214	215.88	198.5	199.88	1234
1962-10-01	200.25	212.25	200.25	206.75	993
1962-11-01	207.5	211	206.5	209.75	657
1962-12-01	209.75	211.75	208.88	211.12	584
1963-01-01	211	212.88	205.5	211.5	609
1963-02-01	211.5	211.75	204	206.75	481
1963-03-01	206.75	208.62	200.25	207.38	542
1963-04-01	208	212.38	186.38	188.25	643
1963-05-01	188.38	188.75	180	185.25	746
1963-06-01	185.25	192	184.75	186.12	415
1963-07-01	186.25	188.62	176	179.12	813
1963-08-01	179	186.5	178	183.75	424
1963-09-01	183.88	207	183.88	206.5	1041
1963-10-01	209	217	204	214.62	1027
1963-11-01	214.75	218.5	207.25	216.25	696
1963-12-01	215.62	220.25	214.75	219.5	649
1964-01-01	219.62	224	217.25	218	427
1964-02-01	220	223.75	206	207.25	554
1964-03-01	206.62	206.75	189.25	204	970
1964-04-01	204	209.5	150.5	151.62	716
1964-05-01	151.5	154.5	147.75	149.25	493
1964-06-01	149	151.25	142.25	144.12	470
1964-07-01	144.38	146.38	140.5	140.88	755
1964-08-01	141.75	150.5	139.88	148.38	460
1964-09-01	148.38	152.62	147.5	147.75	359
1964-10-01	147.88	152	147.62	151.38	245
1964-11-01	151.5	155.75	151.38	154.5	249
1964-12-01	154.75	154.75	148.5	149.88	282
1965-01-01	149.25	152.38	145.88	151.88	202
1965-02-01	151.5	151.88	148.75	151.38	149
1965-03-01	151.25	152.5	148	148.75	179
1965-04-01	148.62	150.5	139.62	140.25	124
1965-05-01	140.12	141.62	138	140.5	79
1965-06-01	140.25	143.88	138.12	143.62	135
1965-07-01	143.62	148	141.25	147.62	429
1965-08-01	147.5	159.5	146.75	159.25	753
1965-09-01	159.25	162.88	157.25	161	688
1965-10-01	160.88	163.5	157.12	163.25	579
1965-11-01	163.12	168.25	162	163.88	938
1965-12-01	164.38	173	164	168.62	998
1966-01-01	168.62	170.5	166	166.12	489
1966-02-01	166	169.88	162.5	162.75	387
1966-03-01	162.5	164.75	156.5	156.88	463
1966-04-01	157.12	162.38	156.5	158.75	365
1966-05-01	158.5	169.12	156.62	168.75	591
1966-06-01	168.75	197.5	167	186.25	1440
1966-07-01	184.5	194.75	182	187.62	1286
1966-08-01	188.12	200.25	184	194.5	1043
1966-09-01	195.25	200.5	172.5	176.88	1538
1966-10-01	176.75	177.75	166.12	170.62	1067
1966-11-01	169.75	186.62	168	184.5	960
1966-12-01	184.25	186.75	175.25	175.75	1009
1967-01-01	175.75	177.12	160.75	160.75	932
1967-02-01	161	180.5	160.5	177.88	996
1967-03-01	177.5	187	172.25	177.12	2386
1967-04-01	175.25	182.25	162.25	165.25	1845
1967-05-01	166	170.38	163	168.12	1451
1967-06-01	168.25	175.25	154.75	154.88	1317
1967-07-01	154	157.25	149.38	153.5	1456
1967-08-01	153.62	156.62	147.25	151.5	1697
1967-09-01	151.12	157.5	149.88	154.88	1194
1967-10-01	154	156	150.75	152.5	780
1967-11-01	152.38	153.88	144.88	150	1035
1967-12-01	150.5	152.75	147.25	147.88	836
1968-01-01	147.88	149.5	145.88	147.12	751
1968-02-01	147.25	152.62	147.25	149.5	550
1968-03-01	149.62	156	146.75	148.25	924
1968-04-01	147.88	148	137	137.38	808
1968-05-01	137	140.5	136.5	137.75	706
1968-06-01	137.38	137.38	129.62	130.62	754
1968-07-01	132	132.5	124.25	124.62	875
1968-08-01	124.38	127.75	116.25	122.62	851
1968-09-01	122.75	125.38	117.75	120.12	797
1968-10-01	120	129.88	119.75	128.62	771
1968-11-01	129	139.12	127.75	134.25	698
1968-12-01	134.25	135.62	129.5	135.5	558
1969-01-01	135.5	136.75	132	134.38	453
1969-02-01	134.5	136.25	131.25	131.62	448
1969-03-01	131	134.12	125.12	125.88	496
1969-04-01	126	133	125.75	130.12	509
1969-05-01	130.12	134.88	127.75	128.12	488
1969-06-01	128.12	132.38	126.62	127.75	470
1969-07-01	127.88	131.75	119.5	123.75	588
1969-08-01	124.12	134	120.75	133.62	459
1969-09-01	133.62	136.12	132.5	134.88	372
1969-10-01	134.5	138.25	133.88	135.25	271
1969-11-01	135.38	143.88	134.88	143.62	227
1969-12-01	143.5	148	141.25	147.38	277
1970-01-01	146.62	147.38	142.62	143.75	176
1970-02-01	143.38	150.62	142.88	147.25	322
1970-03-01	146.75	148.25	142.88	144.25	223
1970-04-01	144.62	148.12	138	142.25	246
1970-05-01	142.5	142.5	133.75	134.5	278
1970-06-01	134.62	145.5	133.25	142	298
1970-07-01	141.88	149	138.25	147.12	493
1970-08-01	146.88	166.12	143.75	164.25	587
1970-09-01	163.88	173.25	161.12	168.38	534
1970-10-01	167.75	177	167.12	174.5	440
1970-11-01	174.88	179.38	169	172.25	404
1970-12-01	172.5	174	164.62	168.5	346
1971-01-01	169	172.62	164.5	166.5	240
1971-02-01	166.75	172.12	160.25	162	260
1971-03-01	161.88	164.12	157.25	158.12	238
1971-04-01	158.5	166.5	149.38	151.75	386
1971-05-01	151.75	159.75	148.5	157.5	314
1971-06-01	156.75	168.88	154.75	156.5	475
1971-07-01	157	158.5	145.5	147.62	448
1971-08-01	147.88	152.38	139.75	149.75	383
1971-09-01	149.12	154	141.88	146.88	366
1971-10-01	146.62	162.62	146.5	161.38	384
1971-11-01	161.25	165.75	151.25	155.5	388
1971-12-01	156	166.25	155.75	163.12	414
1972-01-01	162.75	168.88	159.75	164.62	300
1972-02-01	164	164.25	150.25	155	280
1972-03-01	156	159.5	153.25	157.75	265
1972-04-01	157.5	163.5	145.62	147.12	264
1972-05-01	147.25	149.12	142.5	145.5	212
1972-06-01	145.38	146.25	141.12	146	222
1972-07-01	148	159.12	147.25	157.38	459
1972-08-01	158	198	157.5	193.25	1144
1972-09-01	193.25	232.5	193	215.75	1431
1972-10-01	213.5	224	206.62	220.5	1287
1972-11-01	220.5	246.5	218.25	245.5	1223
1972-12-01	250	273.25	246.5	264	1408
1973-01-01	264.75	273.37	242.5	247	1328
1973-02-01	245.75	254	215.87	235.75	1316
1973-03-01	241	249	211	222.75	1237
1973-04-01	224.5	245	222	233.37	1210
1973-05-01	235.5	304	226	281.25	1724
1973-06-01	283.5	303.25	252	268	1484
1973-07-01	271.5	364	255	364	1672
1973-08-01	374	521	370	497.5	2200
1973-09-01	493	543	442	491.5	3655
1973-10-01	492	502	402	430.5	3595
1973-11-01	428	490	418	472	3838
1973-12-01	469	557	469	545	4407
1974-01-01	543	600	539	564.5	6090
1974-02-01	570	636	547	572	5494
1974-03-01	578	594	431.5	431.5	5563
1974-04-01	422	441	374	377	3732
1974-05-01	377	379	330	352.5	3076
1974-06-01	347.5	475.5	345.5	414	4220
1974-07-01	422	478	415	472	5702
1974-08-01	460	471.5	417	443.5	4584
1974-09-01	446	498	408	493	4127
1974-10-01	497	536	475	520.75	6010
1974-11-01	516	525	468	508.5	4046
1974-12-01	509	513	444	458.5	3082
1975-01-01	458.5	463.5	364	379.5	3611
1975-02-01	374	415	343.5	349	2790
1975-03-01	345	390	329.5	387.25	2765
1975-04-01	389.75	390	325	328.75	2232
1975-05-01	325	336	304	305.5	2170
1975-06-01	304.5	333.5	293	307.5	2711
1975-07-01	308	395.5	300.5	366.75	5465
1975-08-01	371	467	365.5	425.5	5590
1975-09-01	422	447.5	405.5	429.5	4590
1975-10-01	431	433.5	377.5	386.25	4760
1975-11-01	383	384	341.5	355.5	3483
1975-12-01	354.5	368.5	328	335.75	2501
1976-01-01	337	364.5	330	349.75	3002
1976-02-01	353	404	348.75	401.75	5365
1976-03-01	401	402	342	343.5	5521
1976-04-01	342	365.25	334.5	337.5	4531
1976-05-01	339	363	335.25	356.5	3961
1976-06-01	356	391	354.25	373.25	6612
1976-07-01	371	405	340.5	341	6806
1976-08-01	338	344	318.25	323.5	4105
1976-09-01	324	344	286.5	288.5	3766
1976-10-01	289.5	310	268.75	275	3489
1976-11-01	275.75	279	250.5	265.75	2713
1976-12-01	266.5	282	264.5	277.5	1650
1977-01-01	276.5	284	270	274.25	1628
1977-02-01	273	296	272	275	2340
1977-03-01	278.5	286	270	272.75	2524
1977-04-01	274.5	280	262.5	265.5	1899
1977-05-01	265	265.5	244.5	246.25	1542
1977-06-01	246.25	259.5	233	251.5	2133
1977-07-01	245	249.5	223	225.5	2001
1977-08-01	226.5	233.25	222.25	230	1435
1977-09-01	230.25	255	229	252.25	1934
1977-10-01	252.5	263	241	259	1910
1977-11-01	260	293	257.25	275	2735
1977-12-01	274.5	292	262.75	279.25	2048
1978-01-01	280	280.75	266.25	266.75	1934
1978-02-01	265.75	272.75	259.25	260.75	1911
1978-03-01	261.5	314.5	261.25	313.5	3282
1978-04-01	311.5	335	300	312	3798
1978-05-01	311	341	295.5	332	3406
1978-06-01	331	331.75	308.25	317.25	3626
1978-07-01	315.5	334	303.5	315.75	3624
1978-08-01	316	333.75	304.5	330.5	4179
1978-09-01	329.75	345	325	342.5	3402
1978-10-01	343	368	334	361.5	4357
1978-11-01	355	369.5	343	369	4486
1978-12-01	369	369.5	337.5	343.25	3015
1979-01-01	345.5	361	332	351.5	3003
1979-02-01	351.5	369	339	353.25	2893
1979-03-01	352.5	361	335.5	339.75	2746
1979-04-01	339	350.5	322	347.5	2214
1979-05-01	347	377.5	345.25	366.75	3873
1979-06-01	366.5	496	365.5	433.5	8337
1979-07-01	439	478	410	410.5	8677
1979-08-01	414.4	472	403	456.25	7982
1979-09-01	456	468	425	450.75	8291
1979-10-01	457	479	410.5	421.25	12283
1979-11-01	420.5	465	402	456	8207
1979-12-01	458	467.75	435	454.25	6998
1980-01-01	453.5	469	405.5	467.75	9349
1980-02-01	471	482.5	445	447.25	10331
1980-03-01	447	458.5	383	383.5	8289
1980-04-01	382	429	380.5	399.25	8543
1980-05-01	398.5	439	396.5	402.75	8743
1980-06-01	404	445.5	393.5	433.5	8532
1980-07-01	434	470	428	465	15263
1980-08-01	462	480	445	477	9207
1980-09-01	478	515	478	503.5	12826
1980-10-01	506	544.5	489	528.75	14541
1980-11-01	528.75	555	511	540.75	11739
1980-12-01	540.5	542	436.5	501	10295
1981-01-01	498	517.5	458.5	465.75	9143
1981-02-01	465	481.5	446.5	457.5	7072
1981-03-01	450.5	451	418.5	433.75	7610
1981-04-01	434.5	458	427	443	5983
1981-05-01	443	447	399.5	412.25	6093
1981-06-01	412.5	432.5	384	389.75	9000
1981-07-01	393	427.5	391.5	407.5	10022
1981-08-01	403.5	442	393	417	8718
1981-09-01	416.5	434.5	415	424.75	7905
1981-10-01	426.5	442	421	439.25	8077
1981-11-01	439.5	464	427	439.5	10375
1981-12-01	438.5	445	376	391.5	8719
1982-01-01	392	405	368.75	377	6284
1982-02-01	376	385	360.5	366.75	6107
1982-03-01	368	375.5	345	370.25	6583
1982-04-01	370	394	358.5	374.75	6435
1982-05-01	375	377.5	351	351.5	5592
1982-06-01	349.5	364	341	355.75	6470
1982-07-01	355.75	366	339.5	342.75	7616
1982-08-01	344.25	375	327.75	356.25	7141
1982-09-01	355.5	365.5	316.75	319.75	6045
1982-10-01	318	324.25	299.25	317.5	4266
1982-11-01	318.5	364.5	318.25	346	6333
1982-12-01	346	348	325.5	330.75	3741
1983-01-01	330	348.5	322.5	343.5	4791
1983-02-01	343.5	363.5	318.5	321.5	5477
1983-03-01	324	370.5	322.25	360.25	6448
1983-04-01	361.5	366.25	346.25	361.5	4970
1983-05-01	362.25	368	343	343.25	4071
1983-06-01	343.25	368	341	356.75	5895
1983-07-01	355	377	346	372.75	7765
1983-08-01	373.5	428.5	372.75	410.25	10713
1983-09-01	412	412	365.5	370.75	7193
1983-10-01	368	374	352.5	354.5	4409
1983-11-01	355	362.25	343	355.75	5463
1983-12-01	357	367.5	347	363.5	3778
1984-01-01	360	362.75	324.5	328.75	4721
1984-02-01	329	337.25	319.5	331.25	3947
1984-03-01	330.5	375	330	374	5171
1984-04-01	371.5	380	341.5	341.75	4356
1984-05-01	340	375.75	338	356	5844
1984-06-01	357	365.75	349	359.25	5256
1984-07-01	358	359.5	341	349.25	4672
1984-08-01	350.75	369.75	347.25	352	5783
1984-09-01	349.75	359	344	347	3063
1984-10-01	346	365	343.5	362.5	3335
1984-11-01	363	367.5	351	353.75	3732
1984-12-01	355	355.75	338	347.75	2575
1985-01-01	346.75	355.25	337.75	350.75	3412
1985-02-01	350	359.75	333.75	336.25	3207
1985-03-01	336	361.25	335.5	356.5	2884
1985-04-01	355.25	371.5	324.75	327	2974
1985-05-01	326.75	327.75	312.25	315	1995
1985-06-01	315.25	331	314.25	321.25	2656
1985-07-01	321	323.25	289.5	295.25	3250
1985-08-01	295	311	279.5	287.75	3174
1985-09-01	288	303.25	282.5	297	2728
1985-10-01	297.5	326	290.5	323.75	2969
1985-11-01	322.75	343	321.25	334.75	2589
1985-12-01	335.25	348	332	343.25	2453
1986-01-01	341	342.5	315	327.25	3077
1986-02-01	326	336	274	286.25	2175
1986-03-01	286	312	285.25	304.25	2270
1986-04-01	303.25	313.25	241	293.5	2658
1986-05-01	293.5	298	246	248.5	3326
1986-06-01	249.5	257	242	246	2897
1986-07-01	245.5	266.75	239	257.5	2963
1986-08-01	257	267	250	261.25	1998
1986-09-01	260.5	270.5	254.5	265.25	1833
1986-10-01	265.25	294.75	262.5	287	2243
1986-11-01	285.5	293.5	269	286.25	1811
1986-12-01	286.25	288	271	274.5	1404
1987-01-01	274.75	293.75	267.5	288.25	1818
1987-02-01	287.5	290.25	263	280	2075
1987-03-01	281	292.5	278	284.5	1834
1987-04-01	285.5	290.5	263	274	2276
1987-05-01	277	316.5	273.5	274.25	2540
1987-06-01	273.75	284	261.5	263.25	2623
1987-07-01	264	277.5	254.75	261.25	2278
1987-08-01	261	293.5	257.25	286.75	2132
1987-09-01	287	302.5	285.5	289.25	2042
1987-10-01	292.5	315	290	296.5	2849
1987-11-01	293.5	318.5	280	318.25	2624
1987-12-01	316	322.5	306	310.75	2360
1988-01-01	311.5	336.5	311.25	326	3042
1988-02-01	326.5	339	318	323.5	3651
1988-03-01	324	324.25	295.5	299.25	2992
1988-04-01	301.25	325.5	298	315.5	3509
1988-05-01	316.75	358.5	304	351.5	4723
1988-06-01	347	420.75	344	395.5	8904
1988-07-01	410.5	421	351.5	368.25	6938
1988-08-01	381	416	371	415.75	5669
1988-09-01	420	432.25	409	414.75	6441
1988-10-01	415	438	404.5	415.75	6915
1988-11-01	415.5	432.5	411.5	427.5	6255
1988-12-01	426.5	441.5	412.5	440	4992
1989-01-01	441	449	428.5	440.5	6085
1989-02-01	439.5	439.5	417.5	434.75	5352
1989-03-01	435.5	445	399	403.75	6808
1989-04-01	403.5	413	387	405	4898
1989-05-01	405	421	386.25	387.5	5767
1989-06-01	386	415.25	380.25	404.75	6987
1989-07-01	403	413.75	384	384.5	6643
1989-08-01	384.5	414.5	384.5	399.25	5742
1989-09-01	399.5	408.5	387.5	407.25	4601
1989-10-01	410	415.5	394	394.5	4840
1989-11-01	394.25	414	394.25	407.75	4176
1989-12-01	409	416.5	402	409.25	3814
1990-01-01	408	412	371.5	375.75	4032
1990-02-01	375.5	390.25	359.5	362.25	3636
1990-03-01	362	363	347	351.75	3669
1990-04-01	353.5	374.75	332	345.75	4382
1990-05-01	346.5	355.5	328.5	333.75	5997
1990-06-01	333.5	341.75	326	331	5023
1990-07-01	331.5	336.75	287.5	288.25	4741
1990-08-01	287.5	300.75	273.75	277.5	4351
1990-09-01	277.5	284.75	267.75	277.75	2757
1990-10-01	275.5	280	260	262	2767
1990-11-01	261.5	271.25	255	261.75	3040
1990-12-01	262	269.75	258.5	260.5	1804
1991-01-01	260	264	244.5	263	2588
1991-02-01	263	270	248	269.5	2411
1991-03-01	269.5	289	269.5	286.75	4184
1991-04-01	288.5	299.75	279	283.25	3905
1991-05-01	282.5	299	281.5	287	3469
1991-06-01	288.5	305	267	275	5690
1991-07-01	276	298	258.5	294	4072
1991-08-01	295	323	284	321	4173
1991-09-01	321	335.75	319.25	332.5	3065
1991-10-01	335	369.25	334	363.5	5271
1991-11-01	364	376.5	344.5	366	4825
1991-12-01	364.5	406	359.5	404.75	4956
1992-01-01	405.25	442.75	392.5	440.25	7387
1992-02-01	438.5	463.25	399	400	9516
1992-03-01	397	409	377	379	6090
1992-04-01	381	382	348	353.5	4264
1992-05-01	353	378	338	349.5	5239
1992-06-01	353.5	377	348.75	352.5	5479
1992-07-01	348	350.75	317	317.25	5551
1992-08-01	315	338.25	301.5	333	4571
1992-09-01	335	350.5	329.5	350.25	4251
1992-10-01	353	359.5	337	354.5	3832

Source: CBOT daily data via TurtleTrader; author's calculations. The nearest contract switches to the next on the 15th of the month before delivery, so in a switching month the candle covers both. Dol

Between 1959 and 2002 the Chicago Board of Trade listed more than 200 wheat contracts, five delivery months a year. Their daily prices make a good test of a common assumption: that big news moves markets. For each event below we took the most heavily traded contract on the first session after the news and asked two questions. How large was the move compared with a normal day at the time? And did trading pick up?

The results split cleanly. Wheat reacted violently to news about Soviet demand and supply, and to the 1987 stock market crash. It barely reacted to most of the political and financial landmarks of the period, including several that look as if they ought to matter to a commodity.

When the Soviets came shopping

On Saturday 8 July 1972 the United States announced a grain deal with the Soviet Union. On Monday, December wheat closed unchanged at 155¼ cents a bushel. On Tuesday it rose 2.9%, more than three times a normal day’s move for that quiet market. Then it settled back.

The real move came later. Soviet buyers had been buying American wheat quietly, and at subsidised prices, and the scale of their purchases emerged over the following weeks. By mid-August the December contract was above 185 cents. By mid-December it touched 272¾, almost 90% above its June low. The episode became known as the Great Grain Robbery, and it began the run that took wheat above 600 cents in 1974.

A quiet Monday, then a five-month climb

x	Open	High	Low	Close	Volume
1972-06-01	151	151.75	150.87	151.38	3.97
1972-06-02	151	151	148.75	148.75	2.8
1972-06-05	148.25	148.75	148	148.38	2.66
1972-06-06	148	148.75	148	148.5	1.37
1972-06-07	148.75	149.38	148.5	148.5	1.49
1972-06-08	149.13	149.38	148.75	149	1.5
1972-06-09	149	149.25	148.5	148.63	1.55
1972-06-12	148.13	148.38	147.5	147.5	4.23
1972-06-13	147.5	148.87	147.5	148.63	3.31
1972-06-14	149	150.75	148.75	150	6.74
1972-06-15	149.87	149.87	148.13	148.5	2.2
1972-06-16	148.75	149.13	148.13	148.87	1.94
1972-06-19	149.13	149.13	148.5	149	1.6
1972-06-20	149.13	149.63	148.87	148.87	2.48
1972-06-21	148.87	149	148.38	148.5	1.91
1972-06-22	148.5	148.5	146.63	146.63	4.52
1972-06-23	146.63	146.87	145.87	145.87	6.16
1972-06-26	146.38	146.87	146	146.5	3.21
1972-06-27	146.63	148.5	146.5	148	6.02
1972-06-28	148.13	148.13	147	147.25	5.61
1972-06-29	147.25	148.87	147	148.38	5.11
1972-06-30	148.5	150.38	148.5	150.38	8.1
1972-07-03	151.75	153.87	151.13	153.64	9.05
1972-07-05	155.25	155.5	153.5	154.38	13.02
1972-07-06	154.5	156	153.13	155.87	6.22
1972-07-07	156	156.13	154.5	155.25	4.58
1972-07-10	158	158	155.25	155.25	12.74
1972-07-11	155.5	160.25	155.38	159.75	21.59
1972-07-12	158	160	157.5	157.87	13.06
1972-07-13	157.5	157.75	156	156.5	11.24
1972-07-14	156.5	158.5	156.13	156.5	7.81
1972-07-17	156.38	157.87	156	157	5.72
1972-07-18	157.75	161.25	157.5	160.75	11.86
1972-07-19	161.25	164.62	160.5	162.5	22.94
1972-07-20	163.38	163.5	160.63	160.63	13.43
1972-07-21	160.25	160.75	159.5	159.87	13.88
1972-07-24	160.25	162.5	159.87	161.38	8.67
1972-07-25	161.5	162.87	161.5	162.13	7.47
1972-07-26	161.75	162.38	161	161	6.14
1972-07-27	161	161.12	158.62	158.62	13.08
1972-07-28	158.5	160.87	158.13	160.75	8.63
1972-07-31	162.25	163.87	162	162.63	12.81
1972-08-01	163.5	165.25	163.13	164.87	16.41
1972-08-02	165	165.5	163.5	165.25	16.67
1972-08-03	169.5	175.38	168.75	172.87	36.31
1972-08-04	173.75	180.25	171.75	177.75	38.19
1972-08-07	180	187	180	185.25	39.1
1972-08-08	182	187	179.74	185	43.61
1972-08-09	181.5	183.5	178	180.5	28.78
1972-08-10	181.25	186	180.5	183.5	29.26
1972-08-11	189	189.75	186.5	187	28.37
1972-08-14	186.5	187.5	185	185.75	14.97
1972-08-15	184.5	185	182	183	22.43
1972-08-16	184.75	185.5	180.5	184.5	29.32
1972-08-17	185.75	186.5	183.25	186.25	22.38
1972-08-18	187.5	188.5	186.75	188	24.35
1972-08-21	187	189.5	186	187	20.34
1972-08-22	186.75	195	185.62	191.25	51.12
1972-08-23	191.5	196.75	191.37	195	43.2
1972-08-24	196	198	192.5	192.62	58.28
1972-08-25	191.25	194.25	189.75	191	32.07
1972-08-28	193	195	189	189.5	32.73
1972-08-29	189	192.87	189	192.5	25.78
1972-08-30	194	194.5	192	193.5	30.6
1972-08-31	193.5	194	191	193.25	35.07
1972-09-01	193.25	199.25	193	198.5	46.52
1972-09-05	200.25	201	197.25	200.5	35.56
1972-09-06	200.5	200.5	198	198.25	26.21
1972-09-07	197.25	199.25	196.12	197.5	21.58
1972-09-08	197	198.25	195	198	26.96
1972-09-11	196.5	201.25	196.25	200.25	31.21
1972-09-12	202.75	207	202.75	206	56.59
1972-09-13	206.5	207.87	203.5	204	38.91
1972-09-14	205	211	202.25	210.5	59.63
1972-09-15	212.2	220.5	211.75	220.25	70.09
1972-09-18	221.75	230.25	221	229	43.37
1972-09-19	231	232.5	219.5	222.25	65.43
1972-09-20	221	222.25	215.75	218.5	65.15
1972-09-21	218.25	218.62	215.5	218.25	46.77
1972-09-22	223	223	218.75	220.75	38.34
1972-09-25	219	220.5	215.5	218	29.95
1972-09-26	218	219.25	212	213.5	51.45
1972-09-27	214.25	215.5	209.5	209.75	41.61
1972-09-28	212	215.75	208.5	215.25	41.42
1972-09-29	217	217.75	213.5	215.75	31.33
1972-10-02	213.5	213.5	210	210.75	22.28
1972-10-03	211.5	212	209	211	21.29
1972-10-04	212	212.5	206.62	207.25	34.57
1972-10-05	207.25	210	206.87	208.75	24.25
1972-10-06	210.5	211	208	210	20.84
1972-10-09	210	212	209.5	211.25	19.36
1972-10-10	213.25	215.75	212.25	214.75	33.74
1972-10-11	217	219.25	216	218.75	31.04
1972-10-12	219.5	220	215.75	217	28.14
1972-10-13	214	219.25	214	219	32.5
1972-10-16	220.25	223.25	219	222.5	35.48
1972-10-17	222.5	224	220	220.75	28.48
1972-10-18	221.25	223	219.25	221	27.12
1972-10-19	222.5	222.75	219	219	28.44
1972-10-20	217	217.5	214	216.75	48.68
1972-10-23	218.25	219	214.25	214.25	19.15
1972-10-24	213.5	217.5	212.5	217	27.54
1972-10-25	218	219	216	216.5	25.16
1972-10-26	216.5	218	214.75	216.5	19.59
1972-10-27	216.75	218.25	214.75	216.25	32.29
1972-10-30	215.5	221.25	214	220.75	42.07
1972-10-31	221	222.75	218.5	220.5	46.87
1972-11-01	220.5	222.5	218.5	218.75	25.78
1972-11-02	218.75	221.5	218.25	220.5	21.71
1972-11-03	221.25	225	220.12	223.5	32.6
1972-11-06	223.5	225.87	223.5	225.5	23.71
1972-11-08	226.5	227.25	224	225.25	27.49
1972-11-09	225.5	226.5	222	222.5	18.56
1972-11-10	221.5	223	220.5	221.5	14
1972-11-13	222.25	225.5	222.25	224	11.28
1972-11-14	225.25	227.75	224.5	225.75	20.46
1972-11-15	225.12	230.5	225	230	20.27
1972-11-16	232.5	233	226	228.5	23.91
1972-11-17	226.5	230	226.25	229.25	14.78
1972-11-20	229.75	230.5	226.75	227	7.45
1972-11-21	227	228	226.25	227	8.23
1972-11-22	227	232.25	227	231.75	19.8
1972-11-24	233.5	240	233.37	239.5	24.31
1972-11-27	241.25	245	241	243.5	22.11
1972-11-28	243.75	246.5	239	241.75	20
1972-11-29	240.75	244	240.75	243	12.64
1972-11-30	243.5	247	243.5	245.75	13.74
1972-12-01	249	255	248	252.75	14.09
1972-12-04	253.5	259.25	252.25	256.5	11.27
1972-12-05	261	262	255	258.5	8.96
1972-12-06	258	260	252.75	254	7.18
1972-12-07	254.25	254.5	250	252.5	9.15
1972-12-08	257.5	258	254.25	256	8.41
1972-12-11	259	263.75	258	261	9.63
1972-12-12	268	269	264.5	268	3.93
1972-12-13	269	272.5	261	265.25	8.62
1972-12-14	267	272.75	266	269.75	7.61
1972-12-15	271.5	272.5	267.25	270	5.94
1972-12-18	265	268	260.5	260.5	4.17
1972-12-19	256	261.25	250.62	250.62	6.5

Source: CBOT daily data via TurtleTrader. Bars are dollar volume in $ millions (contracts × 5,000 bushels × close), so approximate.

The embargo

After the Soviet invasion of Afghanistan, President Carter announced on the evening of Friday 4 January 1980 that grain sales to the Soviet Union would be cut off. The Chicago Board of Trade did not open its grain pits on Monday or Tuesday. There are no prices for 7 and 8 January.

When trading resumed on Wednesday 9 January, March wheat opened, traded and closed at 425½ cents, exactly 20 cents below Friday’s close. That was the most prices were allowed to move in a day. Almost nothing changed hands: about $28m, against a usual $390m or so. Sellers had nobody to sell to at that price. The next day the price fell another 2.4% on $780m of trading, twice the usual. Within a week most of the fall had been recovered, and by early February the contract was higher than before the embargo.

Two days shut, then the limit

x	Open	High	Low	Close	Volume
1979-12-03	458	459	450	451.25	242.39
1979-12-04	450	450	440	445.5	328.38
1979-12-05	442	445	439	440.5	240.91
1979-12-06	438	442.5	435	435.75	287.66
1979-12-07	436	441.5	436	440.5	188.75
1979-12-10	440.5	445.5	438	445	187.5
1979-12-11	448	450	446.5	448.75	238.62
1979-12-12	447	452	445	450.5	217.79
1979-12-13	451	455.5	446	446.5	289.27
1979-12-14	445	451.5	444	450.25	207.34
1979-12-17	451	451	444	444.5	168.93
1979-12-18	443.5	447	442	442.5	140.43
1979-12-19	444	447	442	445.5	143.47
1979-12-20	445	452	443.75	451.75	188.7
1979-12-21	453	455	451	454.25	153.58
1979-12-26	458.5	465	456.75	464.25	271.7
1979-12-27	463	467.75	457	459	305.21
1979-12-28	459	462.25	456	458.5	168.64
1979-12-31	459	461	453	454.25	133.44
1980-01-02	453.5	456	444.5	445.5	256.36
1980-01-03	445.5	448	438	446.25	329.91
1980-01-04	446	449.5	442.5	445.5	202.01
1980-01-09	425.5	425.5	425.5	425.5	14.38
1980-01-10	405.5	417	405.5	415.25	298.98
1980-01-11	416	425.5	415	424.75	205.75
1980-01-14	423	427	419	426.75	189.39
1980-01-15	427	433.75	427	432.75	149.54
1980-01-16	431	440	430	435.25	206.5
1980-01-17	435	455.25	434.5	453.75	301.31
1980-01-18	455	457.5	446.5	451.25	223.55
1980-01-21	451	455.5	444.5	446.5	181.41
1980-01-22	444	451.5	442	450.5	219.17
1980-01-23	450.5	463	450	457	245.07
1980-01-24	456.5	457.5	449.5	450.75	158.73
1980-01-25	451	454	446	448.5	160.36
1980-01-28	448	457.5	446.5	456.5	204.63
1980-01-29	457.5	459.5	451.5	452	159.38
1980-01-30	453	465.5	453	462	266.25
1980-01-31	460	469	456.5	467.75	220.38
1980-02-01	471	474	464	472.75	275.28
1980-02-04	475	482.5	470.5	477.5	252.69
1980-02-05	478.5	478.5	467.5	471	179.33
1980-02-06	472	480.5	453	460.75	320.98
1980-02-07	461	464.5	456	457.75	158.98
1980-02-08	460	460.5	456	456.5	70.26
1980-02-11	457.5	464	455	463.25	85.21
1980-02-12	459	460	455	456.25	75.35
1980-02-13	456	456	449.5	450.25	119.59
1980-02-14	451	454	445	446.25	101.12
1980-02-15	446.5	448	444	446.25	83.34

Source: CBOT daily data via TurtleTrader. Bars are dollar volume in $ millions (contracts × 5,000 bushels × close), so approximate. There are no prices for 7–8 January 1980: grain trading was suspende

Chernobyl

The reactor exploded early on Saturday 26 April 1986. The news reached the West on Monday 28 April, after radiation was detected in Sweden. July wheat rose 2.8% that day, 4.9% on Tuesday and 7.3% on Wednesday. Wednesday’s move was 4.6 times a normal day, and the contract closed at the 20-cent limit. The market was pricing in the loss of Ukraine’s harvest, and with it a large Soviet import bill.

Then it reconsidered. Prices fell 4.8% on Thursday and 4.8% again on Friday. Within a month July wheat was back below where it started.

Three days up, two days down

x	Open	High	Low	Close	Volume
1986-04-01	253	254.25	251.25	253.25	28.83
1986-04-02	252	254	251.5	253.75	24.46
1986-04-03	252.5	253	249.5	250.25	43.38
1986-04-04	249	252	248	251.5	27.87
1986-04-07	250.5	253	250.5	250.75	27.22
1986-04-08	253	255	252.25	253	61.54
1986-04-09	253.5	253.5	249	250.75	51.99
1986-04-10	250	251	246	246.25	52.73
1986-04-11	245.5	247	241	241.5	53.77
1986-04-14	243.5	246	243.25	245	38.38
1986-04-15	245.75	246.25	241.5	243.25	38.07
1986-04-16	245	245	241	243.75	32.7
1986-04-17	242	244.75	241.5	244	38.43
1986-04-18	245	247	242.75	244.5	49.69
1986-04-21	245.5	246.5	241.75	246.25	36.06
1986-04-22	247.25	250	245.5	248.75	58.27
1986-04-23	250	252	247.75	251.75	79.21
1986-04-24	251	255.5	250.75	252.5	59.09
1986-04-25	252.75	255	251	253.75	36.93
1986-04-28	252.5	261	252.5	260.75	120.3
1986-04-29	265	280.75	261	273.5	313.83
1986-04-30	279	293.5	276	293.5	180.14
1986-05-01	293.5	293.5	273.5	279.5	251.79
1986-05-02	274	274	265	266	155.32
1986-05-05	267.5	272.25	267.5	270.25	71.22
1986-05-06	271	279	268.5	277	106.02
1986-05-07	277	278	271	273.25	87.93
1986-05-08	277	293.25	277	291	179.56
1986-05-09	292	298	286	288.75	134.92
1986-05-12	284.5	284.5	275	278.5	104.97
1986-05-13	281	292	281	287.75	114.44
1986-05-14	287	289	281.5	283.25	76.35
1986-05-15	283	285	268.5	270	230.92
1986-05-16	269	269.5	263	264.25	122.39
1986-05-19	262	265	259.5	262.25	81.76
1986-05-20	263.5	265.5	256	258.5	139.82
1986-05-21	258	262	257	261.5	69.17
1986-05-22	260	260	254.25	257.25	78.77
1986-05-23	256	257.5	254.5	255.75	52.77
1986-05-27	256	258.25	254.5	255.5	48.02
1986-05-28	256	256.25	251.5	252.25	65.56
1986-05-29	251	251	246.5	247	110.17
1986-05-30	247	250	246	248.5	64.65

Source: CBOT daily data via TurtleTrader. Bars are dollar volume in $ millions (contracts × 5,000 bushels × close), so approximate.

Three days in August

On Monday 19 August 1991 hardliners in Moscow put Mikhail Gorbachev under house arrest. December wheat opened 6.4% lower and closed down 5.2%, 3.7 times a normal day. The Soviet Union was then one of the largest buyers of American wheat, and a new regime might have stopped buying. On Wednesday 21 August the coup collapsed and wheat rose 6.1%. By the end of the week it was roughly where it had started, and it spent the rest of the summer climbing.

The coup that lasted three days, and so did the fall

x	Open	High	Low	Close	Volume
1991-07-15	286.5	288.5	282	282.25	67.64
1991-07-16	283.5	290.5	283.5	287.75	122.08
1991-07-17	286.5	293	285	287.75	149.59
1991-07-18	285.5	286.5	282.75	285.25	82.89
1991-07-19	285	287.5	283	285.5	52.99
1991-07-22	287.5	293	287.5	292.25	81.92
1991-07-23	298	304.5	297	302.5	184.83
1991-07-24	300.5	302	295.5	297.25	107.84
1991-07-25	298	302	297.25	299.5	95.62
1991-07-26	298	302	298	301.25	44.77
1991-07-29	307	311	304.25	305	141.34
1991-07-30	302.5	307.5	301	306	120.98
1991-07-31	304	309	301.75	308.25	95.79
1991-08-01	309	314	306	308	123.4
1991-08-02	309	313	307.5	310.75	101.97
1991-08-05	305	308.5	302.75	304.25	95.87
1991-08-06	299.75	307	297.5	306.5	103.12
1991-08-07	307.5	310	305	306	90.94
1991-08-08	304	309	302.75	307.5	81.89
1991-08-09	308.5	309.75	307	308.75	40.82
1991-08-12	308	312	308	311.75	53.14
1991-08-13	311.5	315.5	310.25	315	119.1
1991-08-14	318	318	308.25	309.25	150.51
1991-08-15	309	312.75	307	312.5	109.78
1991-08-16	313.5	314	309.75	312	97.25
1991-08-19	292	301.25	292	295.75	214.09
1991-08-20	296.5	296.5	291.5	292	156.13
1991-08-21	312	312	306	309.75	165.07
1991-08-22	308.5	314.5	308	314.25	129.71
1991-08-23	312	314	310.5	313.75	69.03
1991-08-26	316	323	315.75	320.75	226.64
1991-08-27	319.5	319.5	316	316.25	119.87
1991-08-28	316.25	322	315.5	317.5	144.26
1991-08-29	317	318.75	315.5	317.75	148.63
1991-08-30	318.75	321.5	317	321	98.34
1991-09-03	321	326	321	323.75	171.93
1991-09-04	323	326	320.5	325.25	152.02
1991-09-05	324.5	325.25	321.5	323.5	113.82
1991-09-06	323	323.25	321	321.75	84.49
1991-09-09	320.5	323.5	319.25	322.25	94.95
1991-09-10	322	323.25	320.25	322.75	72.89
1991-09-11	322.75	326.5	321.75	326	95.66
1991-09-12	327	330.75	326	329.5	170.47
1991-09-13	329.5	331.5	327.25	330	126.44

Source: CBOT daily data via TurtleTrader. Bars are dollar volume in $ millions (contracts × 5,000 bushels × close), so approximate.

When everything sold

Two of the largest moves had nothing to do with grain. On 19 October 1987 the Dow Jones Industrial Average fell 22.6%. December wheat fell 3.7% the same day, 3.6 times a normal move, on nearly twice the usual volume. Within two days it had recovered most of the fall.

After 11 September 2001 the Chicago exchanges were shut for two days. December wheat reopened on 13 September barely changed. The selling came later: 3.5% on Friday 14 September, and another 4.3% over the following Tuesday and Wednesday, as investors cut risk wherever they held it.

Earlier shocks, smaller marks

The 1960s charts show that the market heard the news but did not hold on to it. On 5 June 1967, the first day of the Six-Day War, July wheat opened 3.7% higher, closed up only 1.3%, and ended the week almost 4% below where it stood before the war. On 22 November 1963, the day President Kennedy was shot, March wheat fell about 2% to its intraday low and then closed down 0.6%. The next session, after the funeral, it rose 1.8%.

What did not move wheat

The longer list is of events that barely registered. Nixon’s decision to end the dollar’s convertibility into gold, in August 1971, moved December wheat by less than 1%. The OPEC oil embargo moved it by 1%. Iraq’s invasion of Kuwait moved it by 0.7%, in the middle of a summer when wheat fell from 347 to 273 cents under the weight of a large harvest. The fall of the Berlin Wall, the dissolution of the Soviet Union, the Russian default and the Nasdaq peak all produced moves within the normal range for their time.

Some of these are striking because they involve grain directly. President Kennedy’s approval of a wheat sale to the Soviet Union in October 1963 moved the price by 0.1%. When President Reagan lifted Carter’s embargo in April 1981, wheat fell 0.5%. It had been widely expected: Reagan had campaigned on lifting it.

Big news, ordinary days

Event	Date	Contract	Move	Size vs a normal day	Volume vs usual
Soviet wheat sale approved	10 Oct 1963	W63Z	+0.12%	0.2×	1.0×
Wheat referendum rejected	22 May 1963	W63N	-0.07%	0.1×	1.0×
Nixon ends gold convertibility	16 Aug 1971	W71Z	-0.85%	0.7×	0.9×
Dollar devalued 10%	13 Feb 1973	W73K	-2.08%	1.0×	1.5×
OPEC oil embargo	17 Oct 1973	W73Z	-0.95%	0.3×	1.0×
Nixon resigns	9 Aug 1974	W74Z	-3.65%	1.2×	0.6×
Volcker's rate shock	8 Oct 1979	W79Z	-0.71%	0.4×	1.0×
Silver Thursday	27 Mar 1980	W80N	-1.00%	0.7×	1.4×
Reagan lifts grain embargo	24 Apr 1981	W81N	-0.50%	0.4×	1.4×
Berlin Wall falls	10 Nov 1989	W90H	+0.68%	0.9×	1.6×
Iraq invades Kuwait	2 Aug 1990	W90Z	+0.67%	0.8×	1.0×
Soviet Union dissolved	26 Dec 1991	W92H	+1.25%	1.1×	0.6×
Russia defaults	17 Aug 1998	W98Z	+1.18%	0.9×	1.3×
LTCM rescued	23 Sep 1998	W98Z	0.00%	0.0×	1.0×
Nasdaq peaks	10 Mar 2000	W00K	-1.23%	1.2×	0.7×

Move is the close-to-close change in the most-traded contract on the first session after the news. Size is that move divided by the typical daily move over the previous 60 sessions; volume is that day

Coincidences

Two moves look significant and probably are not. Wheat rose 2.5% on 28 January 1986, the day the Challenger shuttle broke up, which is more than twice a normal move. It rose 1.7% on 23 October 1962, the day after President Kennedy announced the blockade of Cuba, nearly three times a normal move in that very quiet market. Neither has an obvious link to grain. Across forty years and about 11,000 trading days, some large moves will fall on memorable dates by chance.

What this shows

Wheat was not moved by big news in general. It was moved by news that changed who would buy the grain, or how much there would be: the Soviet purchases of 1972, the embargo of 1980, the Chernobyl scare and the 1991 coup. The one exception was the crash of 1987, when selling spread across every market at once.

The other pattern is that the first reaction rarely lasted. The embargo, Chernobyl, the coup and Black Monday were all largely reversed within a week. The 1972 deal is the exception: the price barely moved on the day, and only rose once the scale of the Soviet buying became clear over the following months.

Beyond the headlines

News days make the best stories, but most of the money in wheat was made and lost in slower ways. Six patterns stand out across the whole record.

The price doubled; the investment lost two-thirds

The nearest wheat contract closed at 196½ cents a bushel in July 1959 and at 396½ in October 2002. Wheat more than doubled in price. But a futures contract expires, so an investor who wanted to stay in wheat had to sell each contract before delivery and buy the next one. Doing that for 43 years turned $100 into about $31.

The reason is that the next contract usually cost more than the one being sold. That was true at 156 of the 214 rolls in the data, and on average the next contract was 0.9% dearer. Five rolls a year made that a cost of about 4% a year. It compounded quietly: the rolled holding peaked at $383 in February 1974, when the price was at a record, and ended at $31 while the price was double where it started.

There is one offset. A real fund posts only a margin and keeps the rest of its cash earning interest. At the federal funds rate, that interest would have turned the $31 into about $526. But the cash on its own, with no wheat at all, would have grown to about $1,667. Even with interest, holding wheat futures earned about 3.9% a year against 6.7% for cash: the cost of rolling took almost three percentage points a year. The second view of the chart shows both.

The price doubled; holding it lost two-thirds — Before interest

x	Price of the nearest contract	Value of holding and rolling
1959-09-30	100	100
1959-12-31	103.9	102.1
1960-03-31	105.7	102.9
1960-06-30	94.6	101.8
1960-09-30	99	103.1
1960-12-30	106.2	108.6
1961-03-30	101.4	103.5
1961-06-30	99.7	102.4
1961-09-29	104.1	103.4
1961-12-29	105.5	101.9
1962-03-30	105.5	100
1962-06-29	108.9	101.4
1962-09-28	101.7	91.9
1962-12-31	107.4	95.4
1963-03-29	105.5	93.8
1963-06-28	94.7	93.5
1963-09-30	105.1	100.5
1963-12-31	111.7	106.4
1964-03-31	103.8	101.5
1964-06-30	73.3	96.7
1964-09-30	75.2	95.7
1964-12-31	76.3	94.8
1965-03-31	75.7	93.2
1965-06-30	73.1	93.1
1965-09-30	81.9	101.5
1965-12-30	85.8	104.6
1966-03-31	79.8	96.9
1966-06-30	94.8	116.3
1966-09-30	90	106.7
1966-12-30	89.4	102
1967-03-31	90.1	100.8
1967-06-30	78.8	86.8
1967-09-29	78.8	82.9
1967-12-29	75.3	76.1
1968-03-29	75.4	74.9
1968-06-28	66.5	62.8
1968-09-30	61.1	54.8
1968-12-31	69	59.4
1969-03-28	64.1	54.1
1969-06-30	65	53.9
1969-09-30	68.6	54.5
1969-12-31	75	58.8
1970-03-31	73.4	59.4
1970-06-30	72.3	61.5
1970-09-30	85.7	70.1
1970-12-31	85.8	69.4
1971-03-31	80.5	66.8
1971-06-30	79.6	68.2
1971-09-30	74.7	62.6
1971-12-30	83	72.3
1972-03-30	80.3	74
1972-06-30	74.3	72.8
1972-09-29	109.8	104.1
1972-12-29	134.4	126.4
1973-03-30	113.4	109.9
1973-06-29	136.4	140.4
1973-09-28	250.1	265.4
1973-12-31	277.4	316.8
1974-03-29	219.6	262.9
1974-06-28	210.7	264
1974-09-30	250.9	306.8
1974-12-31	233.3	274.7
1975-03-31	197.1	235.4
1975-06-30	156.5	189.7
1975-09-30	218.6	254.8
1975-12-31	170.9	192.7
1976-03-31	174.8	194
1976-06-30	189.9	200.6
1976-09-30	146.8	148.6
1976-12-30	141.2	138.3
1977-03-31	138.8	132.1
1977-06-30	128	114.4
1977-09-30	128.4	109.5
1977-12-30	142.1	117.3
1978-03-31	159.5	130.6
1978-06-30	161.5	129.5
1978-09-29	174.3	141.1
1978-12-29	174.7	145.5
1979-03-30	172.9	151.9
1979-06-29	220.6	199.3
1979-09-28	229.4	201.8
1979-12-31	231.2	194.5
1980-03-31	195.2	160.1
1980-06-30	220.6	172.8
1980-09-30	256.2	192.1
1980-12-31	255	182.5
1981-03-31	220.7	155.1
1981-06-30	198.3	131.7
1981-09-30	216.2	133.4
1981-12-31	199.2	116
1982-03-31	188.4	106.2
1982-06-30	181	94.9
1982-09-30	162.7	80
1982-12-30	168.3	79.1
1983-03-31	183.3	83.7
1983-06-30	181.6	77.9
1983-09-30	188.7	77.4
1983-12-30	185	72.8
1984-03-30	190.3	74.1
1984-06-29	182.8	73.8
1984-09-28	176.6	67.8
1984-12-31	177	67
1985-03-29	181.4	70.1
1985-06-28	163.5	67.6
1985-09-30	151.1	59.9
1985-12-31	174.7	69.3
1986-03-31	154.8	71.8
1986-06-30	125.2	68.9
1986-09-30	135	73.8
1986-12-31	139.7	80.1
1987-03-31	144.8	85.9
1987-06-30	134	82.7
1987-09-30	147.2	86
1987-12-31	158.1	88.6
1988-03-31	152.3	84.8
1988-06-30	201.3	106.8
1988-09-30	211.1	108.2
1988-12-30	223.9	113.9
1989-03-31	205.5	104.4
1989-06-30	206	106.4
1989-09-29	207.3	103.2
1989-12-29	208.3	102.7
1990-03-30	179	93.4
1990-06-29	168.4	93.6
1990-09-28	141.3	74.6
1990-12-31	132.6	66
1991-03-28	145.9	69.9
1991-06-28	139.9	63.6
1991-09-30	169.2	73.6
1991-12-31	206	89.3
1992-03-31	192.9	84.2
1992-06-30	179.4	79.6
1992-09-30	178.2	76.5
1992-12-31	180	78
1993-03-31	176.7	81.8
1993-06-30	146.2	74.6
1993-09-30	162.2	80.6
1993-12-30	192.5	95.8
1994-03-31	167.8	86.4
1994-06-30	164	85.7
1994-09-30	205.3	102.8
1994-12-30	204.3	99.4
1995-03-31	174.7	86.9
1995-06-30	227	110.2
1995-09-29	250.5	118.7
1995-12-29	260.7	122.4
1996-03-29	254.1	124.9
1996-06-28	245.5	125.6
1996-09-30	221.9	111.8
1996-12-31	194	99.3
1997-03-31	202.3	104.2
1997-06-30	169.1	84
1997-09-30	180.3	85.8
1997-12-31	165.8	75.5
1998-03-31	163	72
1998-06-30	146.3	59.5
1998-09-30	137	52.6
1998-12-31	140.6	51.1
1999-03-31	142.6	49.8
1999-06-30	134.5	43.2
1999-09-30	140.3	42.3
1999-12-30	131.3	35.7
2000-03-31	133.5	36.2
2000-06-30	138	34.2
2000-09-29	134.9	31
2000-12-29	142.2	30.6
2001-03-30	129.8	26.7
2001-06-29	131.3	24.8
2001-09-28	137.8	24.6
2001-12-31	147.1	25.4
2002-03-28	145	24.5
2002-06-28	159.3	25.7
2002-09-30	201.8	31.5
2002-10-01	201.8	31.5

The price doubled; holding it lost two-thirds — With interest on the cash

x	Holding and rolling, plus interest	Cash at the federal funds rate
1959-09-30	100.9	100.9
1959-12-31	104	101.9
1960-03-31	106	103
1960-06-30	105.8	103.9
1960-09-30	107.9	104.7
1960-12-30	114.4	105.3
1961-03-30	109.5	105.8
1961-06-30	108.9	106.3
1961-09-29	110.4	106.8
1961-12-29	109.4	107.4
1962-03-30	108.1	108.1
1962-06-29	110.4	108.8
1962-09-28	100.7	109.6
1962-12-31	105.4	110.4
1963-03-29	104.4	111.2
1963-06-28	104.7	112.1
1963-09-30	113.6	113
1963-12-31	121.4	114
1964-03-31	116.8	115
1964-06-30	112.2	116.1
1964-09-30	112.1	117.1
1964-12-31	112	118.2
1965-03-31	111.2	119.3
1965-06-30	112.2	120.6
1965-09-30	123.7	121.8
1965-12-30	128.8	123.1
1966-03-31	120.8	124.6
1966-06-30	146.7	126.1
1966-09-30	136.5	127.9
1966-12-30	132.3	129.7
1967-03-31	132.3	131.3
1967-06-30	115.2	132.6
1967-09-29	111	133.9
1967-12-29	103	135.3
1968-03-29	102.7	137
1968-06-28	87.3	139.1
1968-09-30	77.4	141.2
1968-12-31	85.1	143.4
1969-03-28	78.9	145.7
1969-06-30	80.2	148.9
1969-09-30	83.1	152.3
1969-12-31	91.7	155.8
1970-03-31	94.6	159.1
1970-06-30	99.9	162.4
1970-09-30	115.8	165.2
1970-12-31	116.2	167.5
1971-03-31	113	169.2
1971-06-30	116.7	171.1
1971-09-30	108.7	173.5
1971-12-30	126.9	175.6
1972-03-30	131.1	177.2
1972-06-30	130.5	179.2
1972-09-29	188.9	181.3
1972-12-29	232.3	183.7
1973-03-30	205.2	186.7
1973-06-29	267.5	190.5
1973-09-28	518.9	195.6
1973-12-31	635.9	200.8
1974-03-29	539.7	205.4
1974-06-28	557.6	211.3
1974-09-30	668.8	218.1
1974-12-31	613.5	223.4
1975-03-31	533.9	226.9
1975-06-30	436.3	230
1975-09-30	595.2	233.7
1975-12-31	456.6	236.9
1976-03-31	465.2	239.9
1976-06-30	487.4	243
1976-09-30	365.9	246.3
1976-12-30	344.9	249.4
1977-03-31	333.4	252.4
1977-06-30	292.6	255.7
1977-09-30	284.1	259.5
1977-12-30	309.5	263.8
1978-03-31	350.5	268.3
1978-06-30	353.9	273.3
1978-09-29	393.6	278.9
1978-12-29	415.8	285.7
1979-03-30	445.2	293.1
1979-06-29	599.5	300.8
1979-09-28	623.7	309.2
1979-12-31	622.7	320.3
1980-03-31	532.7	332.7
1980-06-30	593.6	343.6
1980-09-30	676.7	352.3
1980-12-31	669.4	366.7
1981-03-31	593.2	382.3
1981-06-30	526.6	399.9
1981-09-30	558.3	418.3
1981-12-31	502.7	433.1
1982-03-31	476.6	448.7
1982-06-30	442.1	465.5
1982-09-30	383.2	478.8
1982-12-30	388	490.2
1983-03-31	419.7	501.1
1983-06-30	399.7	512.4
1983-09-30	406.6	525
1983-12-30	391.6	537.6
1984-03-30	408.8	550.9
1984-06-29	417.8	565.8
1984-09-28	395.1	582.4
1984-12-31	400.3	596.7
1985-03-29	427.6	609.2
1985-06-28	420.3	621.6
1985-09-30	380.6	634.5
1985-12-31	449.3	647.7
1986-03-31	474.8	660.6
1986-06-30	463.4	672.3
1986-09-30	504.8	683.1
1986-12-31	556.3	693.9
1987-03-31	605.7	705
1987-06-30	593.1	716.9
1987-09-30	627.6	729.5
1987-12-31	658.1	742.6
1988-03-31	641.1	755.2
1988-06-30	821.7	769
1988-09-30	849.9	784.8
1988-12-30	913.5	801.8
1989-03-31	857.5	821.1
1989-06-30	895.6	841.5
1989-09-29	889.1	861.1
1989-12-29	904.2	880.1
1990-03-30	840.1	898.6
1990-06-29	859.7	917.5
1990-09-28	699.5	936.7
1990-12-31	631.8	955.9
1991-03-28	679.3	970.9
1991-06-28	627.3	985.5
1991-09-30	736.8	1000.2
1991-12-31	904.8	1012.7
1992-03-31	862	1023
1992-06-30	823.3	1032.9
1992-09-30	797.6	1041.6
1992-12-31	819	1049.7
1993-03-31	865.9	1057.7
1993-06-30	795.4	1065.8
1993-09-30	866.9	1074.1
1993-12-30	1038.1	1082.3
1994-03-31	943.6	1091.1
1994-06-30	944.7	1102
1994-09-30	1147	1114.7
1994-12-30	1123.2	1129.4
1995-03-31	996.5	1146
1995-06-30	1283.3	1163.6
1995-09-29	1402	1180.7
1995-12-29	1466.9	1198.1
1996-03-29	1517.5	1214.4
1996-06-28	1547.2	1230.6
1996-09-30	1396.1	1247.8
1996-12-31	1257.2	1264.7
1997-03-31	1336.5	1281.5
1997-06-30	1091.9	1299.5
1997-09-30	1131.5	1318
1997-12-31	1009.9	1336.7
1998-03-31	976.3	1355.3
1998-06-30	818.9	1374.2
1998-09-30	734.1	1393.8
1998-12-31	721.8	1411.3
1999-03-31	711.3	1428.1
1999-06-30	624.5	1445.4
1999-09-30	619.7	1464.4
1999-12-30	529.7	1484.3
2000-03-31	546.3	1505.9
2000-06-30	523.3	1530
2000-09-29	482.8	1555.4
2000-12-29	484.1	1581.2
2001-03-30	428.7	1603.7
2001-06-29	402.2	1621.5
2001-09-28	402.7	1636.1
2001-12-31	418.1	1645.3
2002-03-28	405	1652.2
2002-06-28	427.4	1659.6
2002-09-30	526.2	1667.2
2002-10-01	526.2	1667.3

Source: CBOT daily data via TurtleTrader; author's calculations. The rolled series holds the nearest contract and switches to the next on the 15th of the month before delivery. Interest is the effecti

Cycles, not a trend

Over 43 years wheat did not trend so much as swing. There were 19 moves of 30% or more, most lasting between one and three years. The largest was the rise from 117 cents in August 1968 to 628 in February 1974, driven by the Soviet purchases described above. The longest decline ran from the 1996 peak to August 2000 and took 63% off the price. The sharpest move of all was a fall: in the ten weeks after February 1974 the price nearly halved. The chart at the top of this article shows every one of these swings.

Every swing of 30% or more

From	To	Start	End	Change	Months
Feb 1964	May 1965	223.62	138.38	-38%	15
May 1965	Sep 1966	138.38	199.25	+44%	16
Sep 1966	Aug 1968	199.25	117.12	-41%	23
Aug 1968	Feb 1974	117.12	628.00	+436%	66
Feb 1974	May 1974	628.00	336.00	-46%	2
May 1974	Oct 1974	336.00	527.50	+57%	6
Oct 1974	Jun 1975	527.50	295.75	-44%	7
Jun 1975	Aug 1975	295.75	463.00	+57%	3
Aug 1975	Aug 1977	463.00	222.25	-52%	24
Aug 1977	Nov 1980	222.25	553.00	+149%	39
Nov 1980	Oct 1982	553.00	301.75	-45%	23
Oct 1982	Aug 1983	301.75	423.25	+40%	10
Aug 1983	Jul 1986	423.25	240.50	-43%	34
Jul 1986	Jan 1989	240.50	448.75	+87%	30
Jan 1989	Jan 1991	448.75	246.25	-45%	24
Jan 1991	Feb 1992	246.25	459.50	+87%	13
Feb 1992	Jun 1993	459.50	282.75	-38%	16
Jun 1993	Apr 1996	282.75	628.50	+122%	35
Apr 1996	Aug 2000	628.50	233.50	-63%	51

Nearest contract, closing prices in cents per bushel. A swing ends when the price reverses by 30% from its extreme. Source: CBOT daily data via TurtleTrader; author's calculations.

What drove the big swings

Behind each of the big swings was a change in how much wheat the world had, or in who was buying it. Government policy mattered almost as much as the weather.

1975–77: the boom unwinds. The nearest contract peaked at 463 cents in August 1975 and fell to 222¼ by August 1977, a drop of 52%. The high prices of 1973–74 did what high prices do: farmers planted more. Between 1974 and 1980 the harvested area of wheat, corn and soybeans grew by more than a fifth, and good harvests rebuilt stocks. By 1976–77 prices had fallen far enough for wheat and cattle farmers to form the American Agriculture Movement and threaten to stop planting. The low came in August 1977, just as the Soviet Union, after a harvest well below Western forecasts, began buying grain quietly through intermediaries.

1977–80: reserves, inflation and Soviet demand. From August 1977 to November 1980 the price rose from 222¼ to 553, up 149%. Soviet crop failures sent Moscow back into world markets, and American wheat exports climbed to a peak of 48.8 million tonnes in 1981. At home, the 1977 farm law created a farmer-owned reserve that kept grain off the market: by 1982/83, 70% of American wheat stocks were held in it and could not be exported. The rise also ran alongside double-digit inflation and a general commodity boom. The Soviet embargo of January 1980 interrupted the rally but did not end it.

1980–86: the long slide. Over the next six years the price fell from 553 to 240½, with one interruption: a 40% rally in 1982–83, when the government paid farmers in surplus grain to leave land idle and drought hit the Midwest. Everything else pushed down. The dollar rose 44% between mid-1979 and late 1984, making American wheat dear abroad. European export subsidies grew. The embargo cost America much of the Soviet market: its share fell from 36.5% in 1979/80 to 20.7% in 1983/84, and total wheat exports fell 22% from their peak. Interest rates above 20% turned low prices into a farm debt crisis. The last leg came from Washington. The 1985 farm law cut the loan rate, the government’s support price, to $3.00 a bushel for the 1986 crop and allowed a further cut of up to a fifth, which takes it to $2.40. The nearest contract bottomed at 240½ in July 1986, almost exactly at that level.

1986–89: subsidies, set-asides and drought. From July 1986 to January 1989 the price rose 87%, to 448¾. The lower support price and new export subsidies made American wheat competitive again, while programmes that paid farmers to idle land held back supply. Then came the 1988 drought. Spring wheat, barley and oat crops were expected to be about half the previous year’s, although total wheat output fell only about 14% because the winter wheat crop largely escaped the drought. Large stocks cushioned the blow, but the market swung wildly: in the last week of June 1988 wheat fell 6.5% in a day and rose 8% two days later.

1989–91: a record world crop. The price fell 45% to 246¼ by January 1991. The American crop of 1990 was 2.74 billion bushels, close to a record, and world production reached a record 589 million tonnes, 5% more than the world consumed. World trade shrank, Soviet imports fell and stocks among the big exporters rose. Farmers responded by cutting their 1991 plantings by 11% as the government raised the share of land they had to idle from 5% to 15%. That smaller crop set up the next rally, 87% in thirteen months to February 1992.

1993–96: three short harvests. From June 1993 to April 1996 the price rose 122%, to 628½. World grain production fell for three years running, while fast growth in Asia and a weaker dollar lifted demand. America’s 1995 wheat crop was small and its stocks at the end of the 1995/96 season were down to 376 million bushels. Then the 1996 crop ran into trouble: drought in the southern Plains in the autumn of 1995 and a cold winter without snow cover were expected to kill much of the winter wheat. The government’s crop forecasts in the spring of 1996 were grim, and the market peaked in late April. Summer rains saved much of the crop, which ended up bigger than the year before.

1996–2000: the bust. From the April 1996 peak the price fell 63% over four years, to 233½ in August 2000. The 1996 Farm Act ended the programmes that paid farmers to idle land, so more was planted. From 1997 the Asian financial crisis cut demand from the region that had driven the boom.

2000–02: drought on three continents. From its August 2000 low the nearest contract climbed until it traded as high as 439¾ cents in September 2002, nearly 90% above that low. World wheat output fell in 2002 for the fifth year running. The American harvest, at about 46 million tonnes, was the smallest since 1972. Canada’s crop was nearly 40% below its five-year average after one of the worst droughts on record in the west. Australia’s fell by 10.5 million tonnes to 13.5 million. The FAO expected world wheat stocks to fall by 22%. On 9 September 2002, as reports of Australia’s losses spread, the December contract traded $855m, its busiest day since 1996.

The rallies, up close — 1977–80

x	Open	High	Low	Close	Volume
1977-06-06	242	243.5	236.25	236.5	353
1977-06-13	234.5	250	233	247.75	447
1977-06-20	248	251.25	242.5	247.5	439
1977-06-27	248.75	259.5	244	247.5	832
1977-07-05	246.5	249.5	240.75	242.5	579
1977-07-11	241	241	232.75	233.25	510
1977-07-18	231	236.75	230	232.5	383
1977-07-25	231.5	233	223	225.5	385
1977-08-01	226.5	229.5	223.75	227.5	309
1977-08-08	226	226.5	222.25	222.25	204
1977-08-15	233.25	233.25	227	228	317
1977-08-22	227	232.75	224.75	229	361
1977-08-29	228.75	232	227.5	232	377
1977-09-06	232	243	232	241.75	421
1977-09-12	241	249	240	243.5	481
1977-09-19	243.25	255	242.75	251.25	492
1977-09-26	249.5	254	247.75	252.25	407
1977-10-03	252.5	261.25	251.5	253	573
1977-10-10	254.5	254.5	241	248.25	403
1977-10-17	248.5	250.75	246.5	249.25	319
1977-10-24	251.75	263	249.75	258.5	509
1977-10-31	259.5	269	257.25	266.75	615
1977-11-07	268	271.25	266.5	270.25	481
1977-11-14	270.25	292.5	269	290	651
1977-11-21	293	293	280.5	285.5	514
1977-11-28	288	288	273	276.25	838
1977-12-05	276	277.25	266.25	270.5	589
1977-12-12	269	269	263.25	264.75	381
1977-12-19	265.25	275.5	262.75	274.5	389
1977-12-27	278	292	277	279.25	432
1978-01-03	280	280.75	272.25	277	423
1978-01-09	277.75	280.75	274.5	276.75	414
1978-01-16	276	276	267.5	273.75	500
1978-01-23	273.5	277.25	269	272.5	406
1978-01-30	273	274.25	265	267.5	420
1978-02-06	268.75	270	264	269.25	405
1978-02-13	271	272.75	266.5	268.75	458
1978-02-21	268.25	271.75	262.75	263.75	495
1978-02-27	263.5	275	259.25	271	726
1978-03-06	272	286	271.5	276.5	697
1978-03-13	275.75	304	275.75	301	776
1978-03-20	300	305.5	287	295	563
1978-03-27	297	314.5	286	313.5	846
1978-04-03	311.5	327	307	326.5	986
1978-04-10	329.75	335	310.5	322.25	1059
1978-04-17	326.5	334	316	318.75	872
1978-04-24	316.5	316.5	300	312	881
1978-05-01	311	311	295.5	303.25	628
1978-05-08	305	312.25	298	312.25	670
1978-05-15	314.75	327.5	313	321.75	877
1978-05-22	321.5	336.75	318	332.75	836
1978-05-30	333	341	319	323.5	805
1978-06-05	323	331	316	317.5	863
1978-06-12	316	323	308.25	322.75	762
1978-06-19	326	331.75	319	323.5	873
1978-06-26	324.5	326	312	317.25	718
1978-07-03	315.5	334	314.25	329.25	774
1978-07-10	329	331	315	315.5	841
1978-07-17	314.25	319.5	303.5	318.75	1051
1978-07-24	316	322	306.5	315.75	832
1978-07-31	316.5	316.5	308.5	314.75	738
1978-08-07	314.5	319	304.5	318.75	944
1978-08-14	321	329.25	318.5	326.75	1114
1978-08-21	326	333.75	318.75	330.75	864
1978-08-28	329	335	320.75	333.75	786
1978-09-05	333.5	336.5	327.5	334	640
1978-09-11	333	336	325	325.25	836
1978-09-18	325.75	342	325.25	339	1011
1978-09-25	338	345	337	342.5	775
1978-10-02	343	350	342.5	344.5	701
1978-10-09	344.5	353.75	341.25	352.75	902
1978-10-16	353	354.25	337.5	338	969
1978-10-23	338	365	334	364.75	1395
1978-10-30	367	368	355	366.75	1030
1978-11-06	365.5	369	353	362.75	894
1978-11-13	362	367.5	343	347.25	1169
1978-11-20	346.25	366.25	344.25	364	890
1978-11-27	365.5	369.5	357.5	366.25	1051
1978-12-04	365.75	365.75	354.5	358	866
1978-12-11	357.25	357.25	337.5	343.5	1094
1978-12-18	347	349	337.5	340	632
1978-12-26	340.5	346.5	338	343.25	265
1979-01-02	345.5	346.5	332	334	423
1979-01-08	335	358	334.75	354.5	1026
1979-01-15	356	357	347.75	355.5	650
1979-01-22	361	361	345.5	350.25	571
1979-01-29	349.5	355	346.25	354.5	577
1979-02-05	357	369	355.25	367.5	869
1979-02-12	366.5	366.5	341	341.25	578
1979-02-20	341	355	339	347.75	720
1979-02-26	346.5	361	344	354.25	844
1979-03-05	351	357.75	349.5	354	559
1979-03-12	354.5	354.5	335.5	339.25	811
1979-03-19	339.5	346.75	337	345.25	529
1979-03-26	346.5	351	337.75	339.75	485
1979-04-02	339	340	332.75	336.5	514
1979-04-09	336	343	332	338.25	315
1979-04-16	323	329	322	325.75	386
1979-04-23	324.5	349	324	346.5	827
1979-04-30	346	365.5	344.5	360.5	954
1979-05-07	359	375	352	368.75	1084
1979-05-14	369	377.5	355	357.25	815
1979-05-21	358	367.75	353.5	354.25	737
1979-05-29	354	370	353.5	369.5	636
1979-06-04	371.5	404.5	370	403.75	1369
1979-06-11	411	452	407	450.5	2092
1979-06-18	445	496	437.5	489.5	2175
1979-06-25	480	484	432.5	433.5	2522
1979-07-02	439	478	437	464.5	1631
1979-07-09	462.5	471.5	434	441	2104
1979-07-16	444	459	438	442	2030
1979-07-23	444	451	422	427.25	2024
1979-07-30	423	426	405.5	411.5	1976
1979-08-06	410	419	403	416	1186
1979-08-13	408	459	405	452.25	1948
1979-08-20	452	465	445.5	453.5	1728
1979-08-27	452.5	472	441.5	456.25	2033
1979-09-04	456	457.5	425	433.25	1817
1979-09-10	433	460	430	448.25	2196
1979-09-17	448	468	441	449.25	2288
1979-09-24	452	459	438.5	450.75	1991
1979-10-01	457	479	453	458.5	3363
1979-10-08	455	461	426	439.5	2768
1979-10-15	441	457	427.5	456	2368
1979-10-22	456	456	416.5	417	2575
1979-10-29	413	424.5	402	409.75	2344
1979-11-05	411	424	411	422.75	1604
1979-11-12	425.5	460	424.5	457	2113
1979-11-19	454.5	465	452	457.75	1058
1979-11-26	456	457.5	443	456	2297
1979-12-03	458	459	435	440.5	2138
1979-12-10	440.5	455.5	438	450.25	1778
1979-12-17	451	455	442	454.25	1444
1979-12-26	458.5	467.75	456	458.5	1372
1979-12-31	459	461	438	445.5	1900
1980-01-09	425.5	425.5	405.5	424.75	1305
1980-01-14	423	457.5	419	451.25	2300
1980-01-21	451	463	442	448.5	2121
1980-01-28	448	474	446.5	472.75	2774
1980-02-04	475	482.5	453	456.5	3192
1980-02-11	457.5	464	445	459.25	2240
1980-02-19	459.5	460.5	452	457.25	1537
1980-02-25	458	462.5	447	447.25	2576
1980-03-03	447	458.5	445	449.25	1943
1980-03-10	449	449	431	435.25	2028
1980-03-17	434	434	419	421.75	1620
1980-03-24	418.5	431.5	393	395	2290
1980-03-31	395	408	380.5	405.5	1796
1980-04-07	408	429	401	406.25	2028
1980-04-14	408	408	386	389.75	1998
1980-04-21	387	418.5	384.5	407.5	2025
1980-04-28	403	407	392.5	403.75	1711
1980-05-05	412	439	412	428	2706
1980-05-12	417	426.5	410.5	413.5	1932
1980-05-19	417	427.5	413.5	416.5	1955
1980-05-27	415	422	400	402.75	1545
1980-06-02	404	407	393.5	394	2041
1980-06-09	394	404.25	394	402.25	1363
1980-06-16	414	425	413.25	424.25	1650
1980-06-23	430	445.5	429	434.5	2842
1980-06-30	430	454	429	449	2975
1980-07-07	453	462.5	428	433	3431
1980-07-14	453	453	437	442.5	3339
1980-07-21	437	470	429.5	449.75	3659
1980-07-28	448	470	448	463.75	3033
1980-08-04	455	463	445	454.25	2080
1980-08-11	452	468	447	466.75	2391
1980-08-18	467	474	463.5	465	1675
1980-08-25	463	480	461	477	2524
1980-09-02	478	495	478	490.5	2651
1980-09-08	495	500	480	485.25	2584
1980-09-15	488	507	483	506.25	2507
1980-09-22	509	515	494.5	497.25	3887
1980-09-29	496	506	489	498.25	2776
1980-10-06	501	514.5	500	514	2576
1980-10-13	529	532	516.5	526.5	3320
1980-10-20	529	544.5	521	538	3615
1980-10-27	535	543.5	525	528.75	3449
1980-11-03	528.75	537.5	518.5	524.75	2693
1980-11-10	524	524	511	519.25	3005
1980-11-17	540	555	537	550	2996
1980-11-24	549.5	550.5	529	540.75	3045
1980-12-01	540.5	542	507	515	3756
1980-12-08	513	514.5	436.5	476.5	2879
1980-12-15	490	503.5	482.5	490.5	2235
1980-12-22	491.5	491.5	476.5	481.75	516
1980-12-29	478.5	515	477	508.5	1325

The rallies, up close — 1986–89

x	Open	High	Low	Close	Volume
1986-05-05	267.5	298	267.5	288.75	818
1986-05-12	284.5	292	263	264.25	908
1986-05-19	262	265.5	254.25	255.75	588
1986-05-27	256	258.25	246	248.5	447
1986-06-02	249.5	257	247.5	254.5	492
1986-06-09	251	256.5	245.5	245.75	570
1986-06-16	244.5	249.25	242	246.5	776
1986-06-23	247	256.25	245.5	251.75	910
1986-06-30	251.5	251.5	239	245.25	561
1986-07-07	244.5	259.25	241.75	257.75	803
1986-07-14	259	266.75	253.5	254.75	865
1986-07-21	254.75	263	250.75	256.5	495
1986-07-28	257.5	265.5	252.25	263	659
1986-08-04	262	267	256	258.5	404
1986-08-11	257	261	250	260	476
1986-08-18	259.5	261	253.75	256.75	332
1986-08-25	255.5	261.5	252.75	261.25	514
1986-09-02	260.5	266	257.25	264.75	441
1986-09-08	264.75	264.75	254.5	259.75	434
1986-09-15	257.5	262.5	256	262	308
1986-09-22	262.5	265	257	264	395
1986-09-29	264.5	274.5	264.25	268.25	624
1986-10-06	266.5	274.25	262.5	273	425
1986-10-13	271.5	280	271	276.75	429
1986-10-20	278	290.5	278	288	500
1986-10-27	288.5	294.75	282	287	519
1986-11-03	285.5	293.5	284.75	288.5	353
1986-11-10	288	291	277	282	490
1986-11-17	269.25	274.5	269	271.5	424
1986-11-24	272.25	286.5	271	286.25	543
1986-12-01	286.25	288	280	282	401
1986-12-08	282.5	284.5	275	275.75	357
1986-12-15	275.25	278	271	272.75	386
1986-12-22	272.25	279	272.25	275.75	137
1986-12-29	276.5	277.25	271.5	273	147
1987-01-05	272.5	279	267.5	277.75	533
1987-01-12	278.5	285	276	282.75	435
1987-01-19	283	292	281.25	291	453
1987-01-26	291	293.75	286	288.25	373
1987-02-02	287.5	290.25	284.25	288	405
1987-02-09	288	288	272	272.75	551
1987-02-17	264	282	263	281.5	515
1987-02-23	280.5	281	272.5	280	604
1987-03-02	281	289.75	280.25	286	509
1987-03-09	286	290	282	282.25	364
1987-03-16	281	284.5	278	281.5	354
1987-03-23	281	292.5	280.5	290.25	456
1987-03-30	291.5	292	276	281.25	429
1987-04-06	282	290.5	280.75	285.25	482
1987-04-13	282	286	263.5	274.5	588
1987-04-20	274.5	276	263	270.5	564
1987-04-27	272	278	266.75	277.5	482
1987-05-04	276.5	295	275.75	294.25	642
1987-05-11	296	316.5	296	301	762
1987-05-18	296	296	284	287.75	448
1987-05-26	285.5	294	273.5	274.25	571
1987-06-01	273.75	278	264.25	265.25	551
1987-06-08	264.5	268	261.5	263.5	503
1987-06-15	273	284	269.5	270.25	656
1987-06-22	266	273	264	266.5	582
1987-06-29	264.5	271	261.5	270.75	579
1987-07-06	270.5	277.5	267	267.25	601
1987-07-13	266.25	270.5	257	257.75	488
1987-07-20	261	263.5	254.75	256.75	524
1987-07-27	257	262.5	255	261.25	416
1987-08-03	261	264.75	257.25	258	382
1987-08-10	258	270	257.5	269.5	543
1987-08-17	285.5	290	283.75	289.25	522
1987-08-24	290.5	293.5	287	290.75	537
1987-08-31	289.75	290.75	285.5	287.5	502
1987-09-08	287.5	297.75	286.25	295	439
1987-09-14	294	299	293	298.25	395
1987-09-21	297	302.5	290.5	294.5	593
1987-09-28	293.5	301	288.5	299.75	603
1987-10-05	298	308.5	293.25	303	615
1987-10-12	301.5	315	299.5	306.25	607
1987-10-19	308.5	309.5	290	300.25	863
1987-10-26	298.5	301.5	293	296.5	423
1987-11-02	293.5	294.5	280	285.75	634
1987-11-09	286	293	282	285.5	525
1987-11-16	296.5	307.5	295.5	306	648
1987-11-23	306.5	316	304.75	313.5	657
1987-11-30	316.5	320	312.5	316.75	736
1987-12-07	315.5	317	309.5	313.5	480
1987-12-14	313.25	322	309.5	321	518
1987-12-21	321	322.5	315	315.25	370
1987-12-28	315.5	316	306	310.75	415
1988-01-04	311.5	335	311.25	328.75	931
1988-01-11	327	335.5	322.5	330.25	759
1988-01-18	328.5	332.5	321.5	323.25	604
1988-01-25	325.5	336.5	320.25	326	748
1988-02-01	326.5	339	325	332.75	792
1988-02-08	334.5	336.5	326.25	332.25	785
1988-02-16	335	337	322	327	1084
1988-02-22	329	330.5	318	324.75	894
1988-02-29	325	325.25	310.5	312.75	851
1988-03-07	314	315.75	295.5	299.25	936
1988-03-14	300	308.5	299	306.75	412
1988-03-21	307	309.5	303.5	305	495
1988-03-28	304.5	306.5	298.5	299.25	396
1988-04-04	301.25	316.75	298	316.75	1207
1988-04-11	318	325.25	314	322	699
1988-04-18	321	325.5	317.75	323	690
1988-04-25	322.5	325	314	315.5	914
1988-05-02	316.75	318.5	304	307.5	933
1988-05-09	307.5	315.5	307.25	315	673
1988-05-16	318	350	318	346.5	1602
1988-05-23	338	352.5	332.5	339.5	1282
1988-05-31	358.5	366	344	362.75	1041
1988-06-06	382.75	390	366	373.75	1653
1988-06-13	372.5	420.75	367	392.75	1616
1988-06-20	410	413.5	383	388.75	2548
1988-06-27	402	416	362	411	2807
1988-07-05	421	421	384	396.5	1633
1988-07-11	389	417	376.5	393.5	1900
1988-07-18	373.5	389.5	371	384.5	1465
1988-07-25	382.5	382.5	351.5	368.25	1411
1988-08-01	381	390.5	371	379	1127
1988-08-08	374	396	372	379.75	1006
1988-08-15	397	411	396	404.5	1213
1988-08-22	403.5	410	392	404	1219
1988-08-29	401	423	398	418.5	1669
1988-09-06	420	431	415.25	415.75	1310
1988-09-12	414.5	432.25	413.5	417.5	1816
1988-09-19	416.5	428	410.75	426.75	1389
1988-09-26	423	424.75	409	414.75	1363
1988-10-03	415	435	415	434.5	1759
1988-10-10	434.5	438	425.25	428.75	1524
1988-10-17	427.5	430.75	415.5	419.5	1617
1988-10-24	417.5	420.5	404.5	410	1799
1988-10-31	412	420.75	412	415.75	1057
1988-11-07	415	427.5	413.5	421.75	1443
1988-11-14	420	426.5	412	418	1782
1988-11-21	417	432.5	411.5	429.75	1198
1988-11-28	430	430	415.5	419.75	1524
1988-12-05	419	430	412.5	426.75	1411
1988-12-12	426.5	437	424	436.25	1249
1988-12-19	438	441.5	433	440.5	1193
1988-12-27	440.5	441	434	440	605
1989-01-03	441	449	437.5	448.75	1262
1989-01-09	448	449	439	441	1180
1989-01-16	437	445.5	428.5	445	1862
1989-01-23	446	448.25	432	440.5	1253
1989-01-30	440.5	443	426	430.25	1747
1989-02-06	428	431.5	422	428.75	1086
1989-02-13	426	427	417.5	421.5	1256
1989-02-21	421	436	420	433.25	1313
1989-02-27	432	441	431	435.25	1531
1989-03-06	435	439.5	431.75	436.75	1488
1989-03-13	438	445	436.25	440.5	1330
1989-03-20	439	439	425.25	428.25	1347
1989-03-27	428	430	399	403.75	1590

The rallies, up close — 1993–96

x	Open	High	Low	Close	Volume
1993-05-03	300.5	301	291	293	746
1993-05-10	292.5	298.75	290.5	296.5	591
1993-05-17	297	300.5	293.5	297.75	656
1993-05-24	298.25	298.25	287	288.25	603
1993-06-01	287.75	287.75	282	285.25	518
1993-06-07	285.75	288.75	282.5	283.75	620
1993-06-14	282.75	290.5	282.25	284.25	792
1993-06-21	285	297	284.5	288.25	1168
1993-06-28	288.5	314	283	302.5	1558
1993-07-06	309.5	322	298	298.75	1303
1993-07-12	298	302.5	288	298	1133
1993-07-19	305	318	302	314	1095
1993-07-26	311.5	325	303.5	304	1382
1993-08-02	303.5	313.5	303	309	773
1993-08-09	309.5	317	303.75	307	847
1993-08-16	314.5	324.5	313	316.25	1042
1993-08-23	317.5	319.5	307	310.75	1119
1993-08-30	310	320	309.25	310.25	871
1993-09-07	311.25	313.75	305	306	714
1993-09-13	305.5	314	303.25	312	714
1993-09-20	311.25	317	309.5	316	603
1993-09-27	315.5	321.25	311.75	316.25	789
1993-10-04	314.5	324.75	312.5	322	794
1993-10-11	323.5	330	320	324.75	864
1993-10-18	324.5	340	323.75	335.5	1214
1993-10-25	334	338	324.5	335.5	1175
1993-11-01	335.5	343.5	330.75	336.75	1216
1993-11-08	337.25	351	331.75	343.5	1317
1993-11-15	344	353.75	342	352.5	1250
1993-11-22	352.5	358.25	347.75	357.5	881
1993-11-29	358	361.75	348	361	1342
1993-12-06	361	366.5	359.5	365.75	996
1993-12-13	364	372.25	361.75	370.75	838
1993-12-20	372	374.75	369.75	372.75	568
1993-12-27	372.25	379.75	370.5	378.25	433
1994-01-03	377	393.75	368	391.5	1828
1994-01-10	390	394.5	382.5	388	903
1994-01-17	387	387	365	376	1417
1994-01-24	374	380.5	361	364.25	924
1994-01-31	365.5	376.5	365	372.25	917
1994-02-07	372.25	377.5	366.75	375.5	873
1994-02-14	376.5	378.5	353.5	355	883
1994-02-22	354.5	357	349	349.5	944
1994-02-28	346	348	339	343.75	1020
1994-03-07	344	346.5	333.75	335.5	636
1994-03-14	337	343.75	334	339.25	567
1994-03-21	339	340.25	328.75	330.75	684
1994-03-28	332	336.5	327	329.75	576
1994-04-04	332.5	351	330	340.75	1134
1994-04-11	338.5	338.5	314.75	315.75	1049
1994-04-18	316	322.5	312.25	314	837
1994-04-25	313.5	331	311.25	330.75	969
1994-05-02	331	337	323.75	327	1443
1994-05-09	326	327.75	318.5	320.5	719
1994-05-16	321.5	330	319	326.75	934
1994-05-23	330	338.5	317	318	1575
1994-05-31	327	336	321.5	330.75	910
1994-06-06	329.5	342	325	338.75	1426
1994-06-13	337	350.5	336.25	342	1386
1994-06-20	337.5	339.5	322	322.5	1674
1994-06-27	321.5	331	317.75	321	1386
1994-07-05	318	322.5	312	321.25	1098
1994-07-11	322	324	315	320.75	887
1994-07-18	321	332	320	322.75	1224
1994-07-25	322.5	336	322.5	330.5	1035
1994-08-01	329.5	337.25	327.5	334.5	926
1994-08-08	333.5	342.5	329.25	341.75	1013
1994-08-15	356	370.5	354.75	369.75	1489
1994-08-22	369.25	376.75	358.5	375	1540
1994-08-29	373.5	383.5	370	381.75	1677
1994-09-06	380.75	391	379.75	390.5	1366
1994-09-12	390.5	398.75	381.5	389.5	1478
1994-09-19	388.5	397.75	385	396.75	1446
1994-09-26	398.5	405	385	403.5	1699
1994-10-03	402.5	413.75	402	412.25	1800
1994-10-10	414.5	418.75	398.5	408.5	2073
1994-10-17	409.5	411.25	391	397.25	1956
1994-10-24	395.5	406	389	391.5	1709
1994-10-31	390	393	383.5	389.5	1584
1994-11-07	388.5	392.25	375.25	377	1708
1994-11-14	376.5	394.5	376.5	388.25	1403
1994-11-21	388.5	390.25	376.5	379.25	1155
1994-11-28	380.5	394	374	391.25	2058
1994-12-05	393	396.75	386.75	394	1414
1994-12-12	392.5	395	380	393.25	1532
1994-12-19	394.5	405	393.5	404.75	1518
1994-12-27	406.5	409.75	400	401.5	917
1995-01-03	400.5	402.75	392	394.5	1204
1995-01-09	395	397.5	377	379.75	1999
1995-01-16	379	386	369.5	371.25	1800
1995-01-23	370.5	376.75	363.5	365.5	1124
1995-01-30	364	377.25	363.25	372.25	1353
1995-02-06	372.5	378	365.75	376.5	1178
1995-02-13	375	376.5	357	359.5	1094
1995-02-21	360	360.25	355	356.75	1181
1995-02-27	358	359	343.5	344.5	1885
1995-03-06	346.5	357	341	341.5	1198
1995-03-13	343	350.75	339.25	347.5	1091
1995-03-20	348	360.5	346.75	351.25	1398
1995-03-27	350	350	342	343.25	909
1995-04-03	341	354.5	340.5	345.25	1009
1995-04-10	344.5	359	343.5	353.5	1349
1995-04-17	356.75	356.75	344	344.75	1121
1995-04-24	343.75	356.5	342.75	351	1442
1995-05-01	351.5	361.75	351	352.75	1252
1995-05-08	354.5	369	354.5	368	1277
1995-05-15	365	366	352	359	1613
1995-05-22	361	387.5	361	385.5	1628
1995-05-30	380	390	370	386	1271
1995-06-05	385	390	370	375.25	2004
1995-06-12	373	399	368	388.5	2257
1995-06-19	391.5	432	391.5	428.5	3167
1995-06-26	425	455	418.5	446	4210
1995-07-03	446	447	415	417	2245
1995-07-10	417	448	414.5	443.25	2597
1995-07-17	450	478.5	446.5	477.75	3279
1995-07-24	475.5	480.5	454	459	2767
1995-07-31	452	468	430	434.5	2885
1995-08-07	431.5	443.5	414.5	439	3062
1995-08-14	442	449	431	440.75	2016
1995-08-21	443.5	459	442.5	454.5	1954
1995-08-28	457.5	465.5	444	461.5	2785
1995-09-05	464	485.5	462.5	474.75	2122
1995-09-11	471	487	468.5	475.75	2884
1995-09-18	483	496.75	479	483	2568
1995-09-25	485	493	472.5	492.25	2379
1995-10-02	492.5	494	474	475	2078
1995-10-09	472.5	490	472.5	485.75	2368
1995-10-16	488.5	511.5	488.5	508.75	3539
1995-10-23	510.5	510.5	491	499.75	2755
1995-10-30	497	502.5	480	484	2786
1995-11-06	484	498	483	497	2816
1995-11-13	496.5	496.5	483	492	2612
1995-11-20	493	500.5	485.5	497.5	1485
1995-11-27	500	502.5	490.75	495	2547
1995-12-04	496.5	511	487	508.5	2744
1995-12-11	512.5	515	499.5	500.5	2369
1995-12-18	501	509	493	501	1912
1995-12-26	499	514.5	498	512.25	1325
1996-01-02	512	517	492	493.5	2716
1996-01-08	489	500	483	498.5	2902
1996-01-15	497.5	499	473	487.25	2980
1996-01-22	488	507	479.5	506.75	3161
1996-01-29	511	527.5	507.5	526.5	4637
1996-02-05	524	524	506.5	513.25	3114
1996-02-12	514.5	533	498.5	500.5	2720
1996-02-20	500.5	500.5	482	488	2648
1996-02-26	492	505	488	502.5	3040
1996-03-04	503.5	504	486	493.75	2371
1996-03-11	490	493.75	470	472.25	2587
1996-03-18	467	486	466	481.75	2177
1996-03-25	481.75	506	480	499.25	2995
1996-04-01	499.5	529	498.5	522.5	2923
1996-04-08	523	585	522	582.5	4314
1996-04-15	549	581.5	518	574.5	4814
1996-04-22	589	636	589	617	4983
1996-04-29	599	617	552	562	4206
1996-05-06	571	608	551	580	2991
1996-05-13	590	595.5	571	589	2781
1996-05-20	576	593.5	555.5	561	3234
1996-05-28	563.5	563.5	519	528.75	2899
1996-06-03	520	522	486	502.25	3729
1996-06-10	510	523	488	496	3000
1996-06-17	504	510	489	494	2551
1996-06-24	493	509.5	474	482.5	3504

The rallies, up close — 2000–02

x	Open	High	Low	Close	Volume
2000-06-05	269.5	271.75	260	269.75	2054
2000-06-12	266	277.5	260.5	275.25	1822
2000-06-19	275	293	274	284.5	2686
2000-06-26	284	289.5	270.5	271.25	3190
2000-07-03	263	265	254	254.75	1922
2000-07-10	250	258.5	246	248.75	1619
2000-07-17	246.5	248.5	239	247.25	1050
2000-07-24	248.5	251	242.5	248	914
2000-07-31	247	249.75	236.5	237	1272
2000-08-07	238.5	239.25	232.5	236.75	1399
2000-08-14	236.5	264	236	257.25	1190
2000-08-21	256.75	263	250.5	260.5	1639
2000-08-28	264.5	270	259.5	267.5	2366
2000-09-05	271	273	262.25	266.25	1069
2000-09-11	265	267	252	252.25	1186
2000-09-18	251.5	257	246	250.75	1184
2000-09-25	253	266	252.5	265	1253
2000-10-02	269.5	270.5	263	268	1424
2000-10-09	267.5	280.5	264.5	267.25	1703
2000-10-16	267	271.5	259	261.25	1256
2000-10-23	260.5	260.5	253	259	1250
2000-10-30	259.5	265	250.5	264	1346
2000-11-06	266	266.5	254.75	256.75	1373
2000-11-13	256.5	276.5	255.25	274.25	1609
2000-11-20	276.25	279.5	271.5	278.75	1145
2000-11-27	279	280	269	277.75	3687
2000-12-04	276.5	280.5	267	273.5	1695
2000-12-11	271.5	275	264.5	265.25	1001
2000-12-18	267	277.5	265.75	275.75	1061
2000-12-26	275.75	280	270.5	279.5	541
2001-01-02	280	284.5	275	283	1508
2001-01-08	282.5	294.5	278.5	289	2182
2001-01-16	286	287.5	282	285.5	1133
2001-01-22	285	287	276	276.25	1749
2001-01-29	274	274.5	268	272	1780
2001-02-05	271	272	265.25	266.25	1612
2001-02-12	265.75	281.5	260.5	276.5	1861
2001-02-20	278	279.75	269	271	2000
2001-02-26	271.5	282	268	280.25	3028
2001-03-05	281.75	285	276.75	279.5	1417
2001-03-12	279.75	288	270	270.5	2173
2001-03-19	270.5	271.75	259	262.25	1606
2001-03-26	265.5	270	254	255	1256
2001-04-02	257	266.5	256	262	1268
2001-04-09	263	268.5	255.5	266.75	1296
2001-04-16	282	284	274	277.5	1834
2001-04-23	277.5	284	272	276.25	2882
2001-04-30	276	286.75	270.5	273.75	2562
2001-05-07	273.25	275	265	271.25	1551
2001-05-14	273.5	280	269.5	271.75	1476
2001-05-21	269	269.5	258.5	259.75	1480
2001-05-29	261	272	259	270.75	1310
2001-06-04	269.5	269.5	258.5	264	1622
2001-06-11	264.5	269	257.5	267	1704
2001-06-18	267.25	275	262.25	262.5	2194
2001-06-25	262	262.5	254	258	3503
2001-07-02	258	271.75	256.5	268.5	1643
2001-07-09	267.5	290.5	264.5	286.5	3137
2001-07-16	280.5	295	275.5	283.25	2785
2001-07-23	282.5	286.5	276.5	280.25	1677
2001-07-30	277.5	279.5	263.5	264.75	1745
2001-08-06	263.5	275.25	262	270.25	1652
2001-08-13	270.5	284.75	268.5	282.75	1384
2001-08-20	279.5	293.5	278.25	289.25	2046
2001-08-27	287	292	282.5	289	2231
2001-09-04	287.5	288	279	280.25	1095
2001-09-10	279	284.5	271.5	272.25	984
2001-09-17	272.5	275.75	260.5	266	1590
2001-09-24	266.5	276.5	266	270.75	1635
2001-10-01	269	274.25	261.5	273.25	1472
2001-10-08	274	282	270	276.25	2027
2001-10-15	274.75	289.5	271.5	287	2073
2001-10-22	286.5	295.5	280.25	295	2011
2001-10-29	294	297	285	285.5	2010
2001-11-05	283.5	288.5	281	286	1653
2001-11-12	284.5	297.5	277	297	2195
2001-11-19	296.5	299	293.5	296.25	1063
2001-11-26	295	296	281	289.5	3134
2001-12-03	290	290.5	277	284	1382
2001-12-10	283	288.5	279.25	286.75	1406
2001-12-17	285.75	294.5	283.25	288.75	1533
2001-12-26	289	293.5	283	290.25	651
2001-12-31	290.25	309	288	307	1584
2002-01-07	307	311	300.5	308.25	2218
2002-01-14	309	313.25	297.5	298	2091
2002-01-22	296.25	300	293.5	299	1329
2002-01-28	296.5	296.5	283.5	287	2056
2002-02-04	285.5	286.75	278.5	281.75	2055
2002-02-11	282	287.25	279	281.75	1631
2002-02-19	283	287	282.25	286.25	1570
2002-02-25	285	286.75	275	278.5	3197
2002-03-04	279.75	287	276.25	277.75	1589
2002-03-11	275.5	286.75	269.5	282.25	1710
2002-03-18	283.25	285.25	276	281.75	1551
2002-03-25	281.75	297	280	285	1774
2002-04-01	284.5	289	276.5	277.25	1644
2002-04-08	277	277	267	272.5	1911
2002-04-15	280.25	285.75	272.5	274.25	1634
2002-04-22	274.25	276	266	266.5	1666
2002-04-29	266.75	274.5	264.5	268.5	1409
2002-05-06	267.75	276.25	267.75	271.5	1175
2002-05-13	275.5	284	273	273.75	1513
2002-05-20	274	278.25	267.5	269.25	1113
2002-05-28	268.75	283	268.75	282.25	1261
2002-06-03	280.75	290	274	275	2091
2002-06-10	274	298	272.75	294.25	2628
2002-06-17	299.5	301	294.5	295.25	1862
2002-06-24	298	316	296	313	3270
2002-07-01	314.5	327	314.5	322.75	1979
2002-07-08	319	331.75	316	318.25	1954
2002-07-15	320	337	320	330.75	2011
2002-07-22	335	343	330	335	1766
2002-07-29	325	345	321.75	337	1989
2002-08-05	334	350	332	344.5	2234
2002-08-12	363	372	350	361	2584
2002-08-19	356	365	344.5	359	2296
2002-08-26	363	371	361	370	2203
2002-09-03	376	411	372.5	410	2170
2002-09-09	417	439.75	390.5	392.75	3088
2002-09-16	390	419	387.25	400	2699
2002-09-23	399	407.5	383.5	402.5	2246
2002-09-30	410	413	390	396.5	875

Source: CBOT daily data via TurtleTrader; author's calculations. Weekly candles of the nearest contract, which switches to the next on the 15th of the month before delivery; in a switching week the ca

The falls, up close — 1975–77

x	Open	High	Low	Close	Volume
1975-07-07	308	370	308	367.5	1489
1975-07-14	367.5	384	348	351.5	1272
1975-07-21	353	384	353	376	1114
1975-07-28	379	395.5	359	369.5	1213
1975-08-04	373	394.25	365.5	385.5	967
1975-08-11	382.5	440.5	378.5	433.5	1333
1975-08-18	434	467	414	463	1672
1975-08-25	465	465	417.5	425.5	1466
1975-09-02	422	434.5	405.5	432.75	966
1975-09-08	427	434.5	414	433.5	1172
1975-09-15	430	447.5	424.5	437.75	1131
1975-09-22	434	439	422	436.5	1040
1975-09-29	433	434.5	409.5	413.5	995
1975-10-06	417	425	408	418.75	987
1975-10-13	407	416	402	405.75	984
1975-10-20	405	417	388.5	391.5	1154
1975-10-27	388	397.25	377.5	386.25	921
1975-11-03	383	384	369	370.5	853
1975-11-10	369	369	341.5	351.75	938
1975-11-17	364	369	341.5	349.75	804
1975-11-24	352	376	352	355.5	889
1975-12-01	354.5	368.5	350	357.75	810
1975-12-08	355	355	334	334.75	757
1975-12-15	329	343.5	328	343	578
1975-12-22	343.5	343.5	335	337.5	171
1975-12-29	337.5	338.5	329	338	234
1976-01-05	339	361.5	338	351.75	857
1976-01-12	352	364.5	349	355.75	746
1976-01-19	356.5	364	346	350	605
1976-01-26	337	350	330	349.75	746
1976-02-02	353	361	348.75	353.25	849
1976-02-09	356	392.5	351.5	382.5	1404
1976-02-17	395	398.75	380	384.25	1250
1976-02-23	388	404	384	401.75	1862
1976-03-01	401	402	375	386.75	1581
1976-03-08	382	384.5	367	371.5	1237
1976-03-15	371	376.5	364.75	373.25	965
1976-03-22	375	378.75	352.25	353.75	1093
1976-03-29	350	353.25	340.5	347.5	1053
1976-04-05	345	357.5	343	352	1036
1976-04-12	344	365.25	342	364.75	790
1976-04-19	360.5	365	343	344	1116
1976-04-26	341	345	334.5	337.5	1182
1976-05-03	339	343.5	335.25	338.5	831
1976-05-10	338.5	363	338.5	357.5	1115
1976-05-17	358	361.5	341.5	344.75	902
1976-05-24	346.5	363	346.5	356.5	1113
1976-06-01	356	375.5	354.25	361.75	1105
1976-06-07	366	391	366	370.5	1766
1976-06-14	368	377.5	365.5	368.75	1277
1976-06-21	368	387	367	376.75	1578
1976-06-28	380	402	369	390	1966
1976-07-06	401	405	377	378	1729
1976-07-12	376	380	362.5	365.25	1690
1976-07-19	365	366.5	341	354.25	1466
1976-07-26	353	354	340.5	341	841
1976-08-02	338	340	327	330.25	882
1976-08-09	330	331	321	326.25	876
1976-08-16	341	344	329.5	336.25	839
1976-08-23	341	342.5	321.5	325	999
1976-08-30	325	337	318.25	331.75	1195
1976-09-07	336	344	329	330.75	820
1976-09-13	326	328.5	310	310.5	880
1976-09-20	308.5	316	303.5	307.25	728
1976-09-27	307.5	308	282.5	284.25	808
1976-10-04	282.5	300.5	280.75	295.25	797
1976-10-11	293.5	310	286	289.25	918
1976-10-18	289	293.25	280	284.5	697
1976-10-25	285	285.75	268.75	275	921
1976-11-01	275.75	279	270	271.5	495
1976-11-08	270.5	275.5	250.5	257.25	679
1976-11-15	266	274.25	263	269.75	689
1976-11-22	269.5	274.75	267.5	268.25	406
1976-11-29	268	270.5	260.5	269.5	688
1976-12-06	270.5	277	268.5	272.75	435
1976-12-13	271.75	275.5	265.5	266	376
1976-12-20	265.5	273	265	272.25	237
1976-12-27	273.25	282	272.5	277.5	358
1977-01-03	276.5	282	272	278.5	413
1977-01-10	278.5	284	275	276.25	369
1977-01-17	277	280	276	278	297
1977-01-24	278.5	281.5	270	272.25	482
1977-01-31	272.5	280	272	279.75	380
1977-02-07	280	283.5	277.5	277.75	522
1977-02-14	277.5	296	275.75	295.5	498
1977-02-22	293	295	289	289.75	686
1977-02-28	289	292	273	281.25	976
1977-03-07	283	286	278.5	280.5	584
1977-03-14	279	281	275.75	278.5	413
1977-03-21	278.5	281.75	277.25	280.25	338
1977-03-28	277.5	278.75	270	273.25	630
1977-04-04	271.5	271.5	264.5	267.75	325
1977-04-11	267	278.75	265.5	278.5	402
1977-04-18	278.25	280	270	271	387
1977-04-25	269	269	262.5	265.5	689
1977-05-03	265	265.5	254.5	256.5	450
1977-05-09	254.5	260	248.25	253.5	490
1977-05-16	252	254	247	248	291
1977-05-23	247.5	254.75	245.5	245.5	248
1977-05-31	245	249.5	242.5	243	268
1977-06-06	242	243.5	236.25	236.5	353
1977-06-13	234.5	250	233	247.75	447
1977-06-20	248	251.25	242.5	247.5	439
1977-06-27	248.75	259.5	244	247.5	832
1977-07-05	246.5	249.5	240.75	242.5	579
1977-07-11	241	241	232.75	233.25	510
1977-07-18	231	236.75	230	232.5	383
1977-07-25	231.5	233	223	225.5	385
1977-08-01	226.5	229.5	223.75	227.5	309
1977-08-08	226	226.5	222.25	222.25	204
1977-08-15	233.25	233.25	227	228	317
1977-08-22	227	232.75	224.75	229	361
1977-08-29	228.75	232	227.5	232	377
1977-09-06	232	243	232	241.75	421
1977-09-12	241	249	240	243.5	481
1977-09-19	243.25	255	242.75	251.25	492
1977-09-26	249.5	254	247.75	252.25	407
1977-10-03	252.5	261.25	251.5	253	573
1977-10-10	254.5	254.5	241	248.25	403
1977-10-17	248.5	250.75	246.5	249.25	319
1977-10-24	251.75	263	249.75	258.5	509
1977-10-31	259.5	269	257.25	266.75	615

The falls, up close — 1980–86

x	Open	High	Low	Close	Volume
1980-10-06	501	514.5	500	514	2576
1980-10-13	529	532	516.5	526.5	3320
1980-10-20	529	544.5	521	538	3615
1980-10-27	535	543.5	525	528.75	3449
1980-11-03	528.75	537.5	518.5	524.75	2693
1980-11-10	524	524	511	519.25	3005
1980-11-17	540	555	537	550	2996
1980-11-24	549.5	550.5	529	540.75	3045
1980-12-01	540.5	542	507	515	3756
1980-12-08	513	514.5	436.5	476.5	2879
1980-12-15	490	503.5	482.5	490.5	2235
1980-12-22	491.5	491.5	476.5	481.75	516
1980-12-29	478.5	515	477	508.5	1325
1981-01-05	514	517.5	490.5	492.25	2036
1981-01-12	492	511.5	492	502.5	2342
1981-01-19	500.5	504.5	470.5	470.75	2194
1981-01-26	470	480.5	458.5	465.75	2156
1981-02-02	465	480	465	472	1571
1981-02-09	462	464	446.5	455.75	1784
1981-02-17	466	479	465.5	474.75	1603
1981-02-23	470	481.5	457	457.5	2114
1981-03-02	450.5	451	427	434.5	2279
1981-03-09	438	444	422	437	1732
1981-03-16	436	442	418.5	425	1621
1981-03-23	424	445	422	428	1496
1981-03-30	423	437.5	422	430.25	1151
1981-04-06	429.5	449	429	440.75	1424
1981-04-13	430	443.5	427	442.75	737
1981-04-20	446	458	442	446.25	1792
1981-04-27	449	450	435	444.75	1627
1981-05-04	440	440	427	428	1532
1981-05-11	427.5	430	410	417.5	1683
1981-05-18	419.5	421	402	402.5	1314
1981-05-26	402	418	399.5	412.25	1297
1981-06-01	412.5	413.5	397	408.25	1803
1981-06-08	410.5	415	402	407.25	1677
1981-06-15	431	432.5	415	415.25	1935
1981-06-22	416.5	418.5	392.5	393.5	2172
1981-06-29	392	401	384	398.5	2569
1981-07-06	396.5	427.5	394.75	410	3090
1981-07-13	410	411	397	403.75	2001
1981-07-20	399	414	396.5	412	2098
1981-07-27	411	416	406	407.5	1678
1981-08-03	403.5	409.75	402	407	1606
1981-08-10	403.5	409	393	407.75	1959
1981-08-17	442	442	423	426.75	1863
1981-08-24	425	425.5	413	420	2609
1981-08-31	421.5	428.5	414.5	424.5	2583
1981-09-08	423	429	417	424.75	1324
1981-09-14	423	434.5	420	424.75	2013
1981-09-21	423.5	432.5	422.5	424.25	1590
1981-09-28	421	429	417.5	426.25	1687
1981-10-05	428.5	432.5	424	428	1505
1981-10-12	428	442	428	431.5	2247
1981-10-19	428.5	438	425.5	437.75	1998
1981-10-26	436	441	433.25	439.25	1717
1981-11-02	439.5	444.5	435	438.75	1880
1981-11-09	439.25	440.25	427	434	2465
1981-11-16	458.5	464	442.5	443	2876
1981-11-23	441.5	444	433.5	441	2576
1981-11-30	443	445	435.25	437.5	2691
1981-12-07	433	433	402	413.75	2607
1981-12-14	408.75	411.5	378.5	392.5	2087
1981-12-21	390.5	390.5	376	379.5	1024
1981-12-28	380.5	399	380	391.5	889
1982-01-04	392	405	386	402	1472
1982-01-11	403	403.5	383.75	394	1648
1982-01-18	394	395.75	377.5	378.75	1496
1982-01-25	376.5	381.5	368.75	377	1667
1982-02-01	376	385	368.75	370.5	1613
1982-02-08	369	374.75	365.5	366.5	1586
1982-02-16	377	379	371	371.5	1192
1982-02-22	372.5	374	360.5	366.75	1717
1982-03-01	368	375.5	363.25	363.5	1384
1982-03-08	362	362.25	345.75	346.5	1551
1982-03-15	346	362.5	345	362.5	1362
1982-03-22	364	374.25	360.5	361	1516
1982-03-29	359.5	372	357.75	366.25	1289
1982-04-05	368	373	365	365.5	960
1982-04-12	359	390	358.5	387.25	1735
1982-04-19	386.5	394	382.5	388.25	1388
1982-04-26	387	390.25	373	374.75	1831
1982-05-03	375	377.5	358	358.5	1858
1982-05-10	357	364.75	356.5	361.25	1456
1982-05-17	361	367	360	360.25	1018
1982-05-24	360	360	351	351.5	1260
1982-06-01	349.5	351	341.5	342	864
1982-06-07	342	353	341	350.25	1169
1982-06-14	348	363	345	350.25	1481
1982-06-21	352.75	364	347	360.5	1579
1982-06-28	360.5	366	354.25	362	2337
1982-07-06	359	361.75	341.5	343.75	1701
1982-07-12	344	355	342.5	353.75	1761
1982-07-19	354.5	356.5	347.25	351.25	1427
1982-07-26	348	355.5	339.5	342.75	1766
1982-08-02	344.25	350.5	343	343.5	1023
1982-08-09	341	342	327.75	340.5	1574
1982-08-16	367.25	370	354.25	361.25	1799
1982-08-23	361	375	360.5	365.25	1629
1982-08-30	366	366	355.5	357.5	2206
1982-09-07	356.5	356.5	346	346.5	1196
1982-09-13	348.25	353.75	333	333.25	1468
1982-09-20	332.5	341	326	339.75	1241
1982-09-27	339.5	341.75	315.75	316.75	1241
1982-10-04	314.5	324.25	313	317.5	950
1982-10-11	320	323.5	306.5	308	1127
1982-10-18	308	310.5	299.25	304.75	1004
1982-10-25	302.5	318.5	301.5	317.5	995
1982-11-01	318.5	335	318.25	334.75	1427
1982-11-08	332	337.5	328	333.25	1325
1982-11-15	346	354.5	343	349.5	1369
1982-11-22	351.5	364.5	351	354.5	1426
1982-11-29	355	355.5	336	338.75	1657
1982-12-06	339	344.5	333	333.25	1052
1982-12-13	331	338	325.5	331.5	1029
1982-12-20	331	338	330.5	336.5	478
1982-12-27	337	338.5	329.75	330.75	311
1983-01-03	330	333.5	322.5	331.75	939
1983-01-10	332.75	347.25	330	346.5	1414
1983-01-17	348.5	348.5	330	333.25	1217
1983-01-24	329.5	337.25	327.75	335.25	964
1983-01-31	334.5	351	334.5	344.5	1226
1983-02-07	344	346.5	335.75	342.75	919
1983-02-14	342	363.5	342	355.75	1342
1983-02-22	354	354	335.5	336.25	1674
1983-02-28	329	331	318.5	329.25	1590
1983-03-07	328	331.75	323.25	326.75	918
1983-03-14	327.5	350	327.5	349.5	1482
1983-03-21	350.5	370.5	348.5	360.25	2015
1983-03-28	358.5	364.5	353.5	360.25	1017
1983-04-04	361.5	365.5	357.25	363.75	1063
1983-04-11	366	366.25	346.25	359.5	1504
1983-04-18	359.5	363.75	349.5	360.75	1381
1983-04-25	361	366.25	356	361.5	1021
1983-05-02	362.25	368	360.5	362.75	1059
1983-05-09	361.75	364	348.5	353.75	1159
1983-05-16	352.5	356.5	350.5	354.5	779
1983-05-23	354	359	347	347.25	805
1983-05-31	346	348	343	346	691
1983-06-06	345.5	350	341.5	342.75	945
1983-06-13	343	362	341	359.75	1129
1983-06-20	358.5	368	358	358.25	1554
1983-06-27	358	362.5	347	351.5	2398
1983-07-05	347	353	346.75	347	1297
1983-07-11	348.5	354	346	353.5	1684
1983-07-18	355.5	377	353	365.75	2612
1983-07-25	360	373	358	372.75	1619
1983-08-01	373.5	384.5	372.75	378.25	1886
1983-08-08	378	389	375.25	381.5	1815
1983-08-15	402.5	428.5	399	403.25	2689
1983-08-22	418	426	401	408.75	2512
1983-08-29	408.5	414.5	398	407.75	2586
1983-09-06	407.5	409	401	406.75	1124
1983-09-12	406	406	377.75	382.75	2237
1983-09-19	385	397	371	373.75	1588
1983-09-26	371	378.25	365.5	370.75	1469
1983-10-03	368	374	365.5	369.5	956
1983-10-10	369.5	372.5	363	370.75	969
1983-10-17	370	373	360	363.75	1143
1983-10-24	363	367	352.5	358.75	1179
1983-10-31	358	360	351	358.5	1071
1983-11-07	357.5	360.75	348.5	349.25	973
1983-11-14	348.5	362.25	343	352	1285
1983-11-21	351	357	344	356.25	1049
1983-11-28	357.5	360	351	359	1777
1983-12-05	355	358	350.75	353.5	1011
1983-12-12	354	355.75	347	355.5	791
1983-12-19	357	361.75	356	361.25	862
1983-12-27	362.25	367.5	361.75	363.5	583
1984-01-03	360	361	351.5	358.75	773
1984-01-09	356	362.75	356	361.5	701
1984-01-16	356	357.25	338.25	338.5	1558
1984-01-23	337	350	326.75	327	1323
1984-01-30	329	336.5	324.5	333.5	841
1984-02-06	331.5	337.25	325.25	325.75	901
1984-02-13	324	334.75	319.5	331.75	1079
1984-02-21	330.5	333	327.5	330.25	737
1984-02-27	329.75	342.5	325	342.25	1298
1984-03-05	347	355	341.25	354.5	1313
1984-03-12	352	358	346.75	353	966
1984-03-19	352	362.75	344.5	361	1227
1984-03-26	363.5	375	356.75	374	1123
1984-04-02	371.5	380	363	366.5	1292
1984-04-09	369.5	373.5	361.5	372.75	994
1984-04-16	351.5	354.75	345	354.25	685
1984-04-23	355.5	358	343.75	347	1168
1984-04-30	346.25	348.5	338.5	342.75	835
1984-05-07	340.5	347.5	338	341.5	965
1984-05-14	341	359	340.25	358.5	1200
1984-05-21	362	375.75	360	365.75	2222
1984-05-29	363	365.25	354	354.75	1050
1984-06-04	354	359.25	351.75	352.25	1094
1984-06-11	352	358	350.25	356.5	921
1984-06-18	356	365.75	354	358.5	1385
1984-06-25	357.75	361.5	349	359.25	1643
1984-07-02	358	359.5	346.75	350.25	908
1984-07-09	351	354	347.5	348	1079
1984-07-16	348	348	342	345.75	974
1984-07-23	344.75	348.75	341	343	1015
1984-07-30	346	356.5	342.75	355.25	1475
1984-08-06	355.5	355.5	347.75	354.75	1055
1984-08-13	353.5	369.75	347.5	360	1032
1984-08-20	358	364.25	353.5	358.25	1467
1984-08-27	359	361.75	347.25	352	1450
1984-09-04	349.75	359	347.75	356.5	955
1984-09-10	356.75	358.5	346.5	349.25	758
1984-09-17	346.5	352.25	344	351.5	746
1984-09-24	353	353.5	344.25	347	604
1984-10-01	346	352	343.5	348.5	554
1984-10-08	348.5	352.5	346.25	347.75	514
1984-10-15	347	353.25	345.75	352.5	609
1984-10-22	353.25	364.75	352.5	360	1138
1984-10-29	358	365	357.25	360.75	951
1984-11-05	359.5	367.5	358.75	361.25	809
1984-11-12	362	362.75	351	358.5	886
1984-11-19	357.5	361.75	356.5	361	587
1984-11-26	359	359.5	352.25	353.75	1020
1984-12-03	355	355.75	346.5	347	733
1984-12-10	346.5	347.25	338	342.75	841
1984-12-17	342	346.75	340	346.5	682
1984-12-24	346.5	349.25	344.25	346.75	281
1984-12-31	347	348	340.75	341.5	403
1985-01-07	340	352	337.75	349	997
1985-01-14	348	355.25	347.5	350.75	825
1985-01-21	350.75	351.5	343.5	346.75	732
1985-01-28	346.5	355	344.25	354.5	583
1985-02-04	354	358.75	352.5	357.5	882
1985-02-11	356.75	359.75	338.5	339.25	969
1985-02-19	336	340	335	339.5	635
1985-02-25	338	339	333.75	337.25	729
1985-03-04	338	341	335.5	337.75	443
1985-03-11	337.75	345	335.75	344.25	628
1985-03-18	346	358	343	357.25	1049
1985-03-25	354.5	361.25	354	356.5	668
1985-04-01	355.25	364.5	351.5	364.25	512
1985-04-08	364	371.5	362	362	675
1985-04-15	335.5	335.5	329.5	333	736
1985-04-22	332	335	324.75	325.75	842
1985-04-29	326	329	318.75	321	639
1985-05-06	320.5	325.75	320.25	324	393
1985-05-13	324.25	325.5	316.5	318	412
1985-05-20	319.25	319.5	315.25	316.25	416
1985-05-28	314.25	317	312.25	315	346
1985-06-03	315.25	323.5	314.25	319.5	623
1985-06-10	319.5	328.75	318.75	326.75	788
1985-06-17	328	331	326.75	327.5	507
1985-06-24	326.25	327.25	321	321.25	739
1985-07-01	321	323.25	316.25	319	636
1985-07-08	319	319.5	314.25	315.75	798
1985-07-15	314	315.25	305	305.5	755
1985-07-22	306	307	292.5	295.5	678
1985-07-29	296	301.5	285.25	288.75	628
1985-08-05	288	289.75	280.5	285.75	630
1985-08-12	285.75	311	285.25	306.75	691
1985-08-19	305	305.5	293.5	295.75	722
1985-08-26	295	295	279.5	287.75	885
1985-09-03	288	294.5	282.5	292.25	626
1985-09-09	291	294.5	283.25	290.5	586
1985-09-16	290.25	298	285.5	286.5	608
1985-09-23	289	303.25	288.5	300.5	766
1985-09-30	300.5	302.25	292.5	293.75	480
1985-10-07	292.5	306.5	290.5	303.5	702
1985-10-14	302.5	315.25	299.75	313.25	766
1985-10-21	313.25	319.75	311	319.5	587
1985-10-28	319.5	326	315	324.75	669
1985-11-04	324	328.5	321.25	326.75	467
1985-11-11	328	340.5	325.75	339.5	665
1985-11-18	338.5	343	330.5	331.75	730
1985-11-25	331	335	324.5	334.75	634
1985-12-02	335.25	348	332	343.75	800
1985-12-09	345	348	338.75	344.25	590
1985-12-16	343	348	336.5	341.5	610
1985-12-23	341	346.5	335.5	346.25	332
1985-12-30	346.25	347	330	330.25	475
1986-01-06	331	337	328	336.75	545
1986-01-13	336	336.25	318	327.25	836
1986-01-20	326	327	315.75	317.75	706
1986-01-27	315	329	315	327.25	635
1986-02-03	326	328	320	324.75	418
1986-02-10	324.75	336	322.5	330.5	711
1986-02-18	283.5	285.75	274	278	552
1986-02-24	277	289	276.5	286.25	494
1986-03-03	286	304	285.25	301	614
1986-03-10	301.75	303	291	301	505
1986-03-17	302.5	312	297.5	309.75	585
1986-03-24	309	312	302.5	303.5	435
1986-03-31	301	311.25	298.5	310.5	426
1986-04-07	310	313.25	284.25	286.25	679
1986-04-14	285	290.5	241	244.5	367
1986-04-21	245.5	255.5	241.75	253.75	430
1986-04-28	252.5	293.5	252.5	266	1452
1986-05-05	267.5	298	267.5	288.75	818
1986-05-12	284.5	292	263	264.25	908
1986-05-19	262	265.5	254.25	255.75	588
1986-05-27	256	258.25	246	248.5	447
1986-06-02	249.5	257	247.5	254.5	492
1986-06-09	251	256.5	245.5	245.75	570
1986-06-16	244.5	249.25	242	246.5	776
1986-06-23	247	256.25	245.5	251.75	910
1986-06-30	251.5	251.5	239	245.25	561
1986-07-07	244.5	259.25	241.75	257.75	803
1986-07-14	259	266.75	253.5	254.75	865
1986-07-21	254.75	263	250.75	256.5	495
1986-07-28	257.5	265.5	252.25	263	659
1986-08-04	262	267	256	258.5	404
1986-08-11	257	261	250	260	476
1986-08-18	259.5	261	253.75	256.75	332
1986-08-25	255.5	261.5	252.75	261.25	514

The falls, up close — 1989–91

x	Open	High	Low	Close	Volume
1988-12-05	419	430	412.5	426.75	1411
1988-12-12	426.5	437	424	436.25	1249
1988-12-19	438	441.5	433	440.5	1193
1988-12-27	440.5	441	434	440	605
1989-01-03	441	449	437.5	448.75	1262
1989-01-09	448	449	439	441	1180
1989-01-16	437	445.5	428.5	445	1862
1989-01-23	446	448.25	432	440.5	1253
1989-01-30	440.5	443	426	430.25	1747
1989-02-06	428	431.5	422	428.75	1086
1989-02-13	426	427	417.5	421.5	1256
1989-02-21	421	436	420	433.25	1313
1989-02-27	432	441	431	435.25	1531
1989-03-06	435	439.5	431.75	436.75	1488
1989-03-13	438	445	436.25	440.5	1330
1989-03-20	439	439	425.25	428.25	1347
1989-03-27	428	430	399	403.75	1590
1989-04-03	403.5	409	390.5	391.5	1496
1989-04-10	390.5	413	387	412.75	1009
1989-04-17	400	406	394.25	402	1086
1989-04-24	400.5	406	397.5	405	1307
1989-05-01	405	420	404	419.25	1719
1989-05-08	417.5	421	410.5	412.25	1030
1989-05-15	412	412.5	397	400.5	1248
1989-05-22	396	402	391.5	393.5	1322
1989-05-30	390	392.5	385.5	391.25	837
1989-06-05	386	396	380.25	386.5	1472
1989-06-12	389.5	405.5	388	401.5	1237
1989-06-19	403.5	407.25	399.25	401	1526
1989-06-26	401.5	415.25	401	404.75	2364
1989-07-03	403	413.75	400.5	407.75	1364
1989-07-10	406	406.75	389.25	395.5	1887
1989-07-17	392.5	398.75	385.5	395.75	1731
1989-07-24	394	394.75	384	387.75	1372
1989-07-31	386	391.5	384	387.5	1088
1989-08-07	386.5	401.5	386.5	397.75	1198
1989-08-14	396	414.5	392.5	407.25	1225
1989-08-21	406	407	402.5	403.25	1088
1989-08-28	401.5	402.75	397	402.25	1672
1989-09-05	403.5	408.5	401.75	404.75	1005
1989-09-11	405.5	405.75	394	396.25	1200
1989-09-18	395	395.25	387.5	389.25	909
1989-09-25	390	408	388	407.25	1247
1989-10-02	410	415.5	404.5	411.5	1396
1989-10-09	410	411	403	406.75	954
1989-10-16	406	411	403.75	407	927
1989-10-23	406.5	409	396	398.5	1231
1989-10-30	399.5	405.5	394	405.25	950
1989-11-06	406.5	407.5	402.25	404.5	943
1989-11-13	404.5	413.5	398	412.25	1019
1989-11-20	413.25	414	408.25	410	728
1989-11-27	409	412.5	406	408.25	1094
1989-12-04	407.75	410.5	402	409.75	1346
1989-12-11	411	416.5	411	411.75	1163
1989-12-18	411	416	409.75	411.75	545
1989-12-26	411.25	411.5	405.5	409.25	534
1990-01-02	408	411	407	409.75	451
1990-01-08	411.5	412	400.5	401.5	1105
1990-01-15	401	402	391.75	392	1102
1990-01-22	391.5	394.25	381	381.25	812
1990-01-29	380.75	382.5	371.5	379	837
1990-02-05	380	388	380	386.75	859
1990-02-12	387.5	390.25	362.5	363	896
1990-02-20	361	368	359.5	366.75	952
1990-02-26	366.5	367.25	354.5	355.25	1185
1990-03-05	355	355.5	349.75	353.75	882
1990-03-12	352.25	354.5	347.25	354.25	853
1990-03-19	354.5	363	354.25	356.75	821
1990-03-26	356.5	359.75	347	351.75	582
1990-04-02	353.5	374.75	353.25	365.25	1418
1990-04-09	365.5	370.5	357.5	367	735
1990-04-16	339	345	338.25	341.25	714
1990-04-23	341	343	332	341	1177
1990-04-30	340	354	340	349.75	1607
1990-05-07	351	355.5	341.75	344	1475
1990-05-14	344.25	347.5	339	339.5	1149
1990-05-21	339	340	328.5	330	1337
1990-05-29	331	335.5	328.5	329.25	957
1990-06-04	328	337.5	326	330.75	1137
1990-06-11	329.5	338	329	333.5	1037
1990-06-18	332.5	341.75	331.5	336.75	1285
1990-06-25	335.75	340	330.5	331	1374
1990-07-02	331.5	336.75	316	316.25	1358
1990-07-09	316.25	319.5	311	315	1202
1990-07-16	315.5	315.5	299.5	300	992
1990-07-23	299	306	296.5	298.5	746
1990-07-30	297	297.75	279	280.5	1043
1990-08-06	280.25	292.5	278.75	280.5	933
1990-08-13	281	300.75	273.75	297	860
1990-08-20	297	300	291.25	299.5	724
1990-08-27	297.5	299	277	277.5	1235
1990-09-04	277.5	283	272.25	279.75	709
1990-09-10	278	284.75	271	273.25	770
1990-09-17	272.5	277.5	267.75	270.25	680
1990-09-24	270.5	278.75	269.5	277.75	598
1990-10-01	275.5	277	267.5	273.75	614
1990-10-08	274	280	264.5	266.5	988
1990-10-15	265	267.75	260.5	263.75	550
1990-10-22	263.5	265.75	260.5	262.25	386
1990-10-29	261	266	260	265.25	409
1990-11-05	264.5	270.25	261.75	265.75	488
1990-11-12	265.75	271.25	255	266.25	846
1990-11-19	267.5	268.75	259	264.75	503
1990-11-26	264.5	265.25	256	261.75	1021
1990-12-03	262	266.5	259	266.25	567
1990-12-10	266.5	269.75	262	265.75	583
1990-12-17	265.75	267	259.25	261.5	327
1990-12-24	261	266.5	258.5	261.75	270
1990-12-31	262	264	256.25	257.5	388
1991-01-07	257	257.75	250	252.5	532
1991-01-14	249.5	257.75	244.5	253.5	758
1991-01-21	253.5	255.5	250	255.25	368
1991-01-28	254.25	263.5	253.75	262.25	705
1991-02-04	261.5	262.5	248	252.75	521
1991-02-11	253.5	267.75	250	266.5	560
1991-02-19	266.5	266.5	262	262.25	336
1991-02-25	262	279	261.75	278.75	1324
1991-03-04	279.5	288	279	283.5	1384
1991-03-11	282	289	275	275.25	1108
1991-03-18	273	283	272.5	283	716
1991-03-25	283.5	287	278.5	286.75	541

The falls, up close — 1996–2000

x	Open	High	Low	Close	Volume
1996-03-04	503.5	504	486	493.75	2371
1996-03-11	490	493.75	470	472.25	2587
1996-03-18	467	486	466	481.75	2177
1996-03-25	481.75	506	480	499.25	2995
1996-04-01	499.5	529	498.5	522.5	2923
1996-04-08	523	585	522	582.5	4314
1996-04-15	549	581.5	518	574.5	4814
1996-04-22	589	636	589	617	4983
1996-04-29	599	617	552	562	4206
1996-05-06	571	608	551	580	2991
1996-05-13	590	595.5	571	589	2781
1996-05-20	576	593.5	555.5	561	3234
1996-05-28	563.5	563.5	519	528.75	2899
1996-06-03	520	522	486	502.25	3729
1996-06-10	510	523	488	496	3000
1996-06-17	504	510	489	494	2551
1996-06-24	493	509.5	474	482.5	3504
1996-07-01	483	499	472	473.5	1719
1996-07-08	477	519	475	501	2623
1996-07-15	496	502	458	459.5	3227
1996-07-22	459.5	464	428	434.5	2198
1996-07-29	435	452	434	449	1534
1996-08-05	444	469	438	462.75	1760
1996-08-12	470	482.75	455.25	457	2271
1996-08-19	452.5	466	447.5	458.5	1469
1996-08-26	459	467.5	451	453.25	1784
1996-09-03	454	459	439.5	442.5	1340
1996-09-09	440	453.5	423.5	424	1895
1996-09-16	420	426.5	412	421	1639
1996-09-23	419.5	433.5	417.5	431.5	1246
1996-09-30	427	439	413.5	421	1878
1996-10-07	421.5	432.5	418.5	424.5	1268
1996-10-14	424.5	433	402.5	404.75	1747
1996-10-21	405.5	406	381	389.75	1714
1996-10-28	389	390	370	374.75	1307
1996-11-04	373.5	382	368	378.75	1511
1996-11-11	380	404.5	378	388.25	1933
1996-11-18	384	402.5	381	390	1899
1996-11-25	393	401	376	377.5	1278
1996-12-02	374.5	382	366.5	379.75	1265
1996-12-09	378.5	391.25	373.75	389	1221
1996-12-16	391.5	410.5	389	393.25	1673
1996-12-23	392	398.5	387	389.5	423
1996-12-30	386	391	380.25	384	671
1997-01-06	386.5	399.75	385.5	387	1495
1997-01-13	387	392	379.25	380.5	1398
1997-01-20	375	385.5	374	375	1323
1997-01-27	375	375.5	357	359.75	1187
1997-02-03	357.5	365.25	354.5	356	1274
1997-02-10	357	363	351	359.5	1543
1997-02-18	358	375	356	373.75	1414
1997-02-24	373	382	368	375.25	2470
1997-03-03	380	384	366	375.5	1781
1997-03-10	376.5	393	372	387	1864
1997-03-17	390	403	379	390	1757
1997-03-24	389	402.5	385	401.75	1137
1997-03-31	401.5	408	368	371.75	2296
1997-04-07	378	409.5	375.5	403	2681
1997-04-14	423	447	414	444.5	2938
1997-04-21	449	459	425	432.25	2738
1997-04-28	425	435	416	416.5	2201
1997-05-05	417.5	419	401.5	413.75	1951
1997-05-12	409	411	385	388.75	2011
1997-05-19	387	395.5	372	375	1665
1997-05-27	373	375	357	360.5	1716
1997-06-02	363.5	365	351	359.5	1483
1997-06-09	358.5	372	348	352.5	2043
1997-06-16	357	357	339.5	342	1746
1997-06-23	339	344.5	335	336	2379
1997-06-30	332.5	336.5	327	327.5	1442
1997-07-07	324	339	321.5	329.5	1756
1997-07-14	339	343	330	336	1587
1997-07-21	330	361	329	358.5	2363
1997-07-28	361	364	352	361.5	1862
1997-08-04	366	368	348.5	367.25	2222
1997-08-11	363	374	355	369.5	2209
1997-08-18	369.5	387.5	369	383.5	1651
1997-08-25	381	398	375.5	394	2805
1997-09-02	392	394.5	383	387	1824
1997-09-08	384.5	384.5	371	374.75	1836
1997-09-15	373	377.5	365	367.5	1767
1997-09-22	365	368.25	357	357.25	1437
1997-09-29	354.5	360	348.5	357.75	1611
1997-10-06	357.5	373.5	353	365.25	2040
1997-10-13	365.75	373.5	362.5	363.25	1248
1997-10-20	363	379.5	363	369	1737
1997-10-27	371.5	372	355	360.5	1437
1997-11-03	359	364.5	352	358	1405
1997-11-10	354.5	355	339.5	340	2264
1997-11-17	356	363	352.5	356.75	1750
1997-11-24	357.5	359	349.5	357.75	2215
1997-12-01	360	364	354.5	360.5	1961
1997-12-08	361	365	344	344.25	1584
1997-12-15	344.25	346.75	331	333.75	1437
1997-12-22	333.5	340.25	332	337.75	413
1997-12-29	339.5	340.5	325	330.75	727
1998-01-05	332.5	334	319.5	321	1274
1998-01-12	321	341.75	319.25	334.25	1972
1998-01-20	335	337.5	328	334.25	887
1998-01-26	334.5	348	333.5	337.25	1769
1998-02-02	337.25	347	333	334	1580
1998-02-09	334	339.25	329	329.5	1560
1998-02-17	337.5	337.5	327	333	1732
1998-02-23	336	341	328	338.25	3044
1998-03-02	340.5	345.5	333.5	334.5	1752
1998-03-09	338.5	350.5	337	342	2007
1998-03-16	342	344	327	327.75	1556
1998-03-23	326.5	333	318	322.25	1603
1998-03-30	323.5	326	311	311.25	1733
1998-04-06	309.5	310.5	298	298.5	1697
1998-04-13	299.5	318	297	314	1752
1998-04-20	312	314.5	302.75	305.5	2039
1998-04-27	302.5	311.5	299.5	301	2002
1998-05-04	306	321	300.5	312.25	2136
1998-05-11	304.5	308.75	302	302.5	1211
1998-05-18	303.5	306.5	296.5	298.5	1143
1998-05-26	291	294.5	282.75	284.25	1640
1998-06-01	282.25	290	279.5	280.25	1417
1998-06-08	279.5	281	274.5	279.25	1418
1998-06-15	288.5	306.5	285	298.75	2177
1998-06-22	295	306.5	292	293	2377
1998-06-29	282	289	278	278.5	2062
1998-07-06	276	292	273	274.25	1484
1998-07-13	275	276	268.5	273.75	929
1998-07-20	276	277.5	263	265.25	1292
1998-07-27	262	262.5	251.25	252.5	1174
1998-08-03	250.5	255	246	251.5	1129
1998-08-10	252.5	261	251.75	260	1538
1998-08-17	280	281	269	269.75	1272
1998-08-24	268.5	269.75	257.5	258.5	2054
1998-08-31	258	266.5	251	261.75	1882
1998-09-08	265	266	256.5	258.25	1003
1998-09-14	257.75	272	257.25	266	1482
1998-09-21	264	280.5	263.5	276.25	1779
1998-09-28	274.5	278.75	267	276	1280
1998-10-05	279	304	279	296.75	2565
1998-10-12	292.5	298	288.25	295.75	1415
1998-10-19	294.5	298	282	295.25	1674
1998-10-26	294	301	289.5	294.25	1755
1998-11-02	292.25	293	283	290	1624
1998-11-09	291	295.5	287	287.5	1534
1998-11-16	303	310	300.5	301.5	1788
1998-11-23	298	299	290.5	294.25	2465
1998-11-30	297.5	298.5	284.5	286.25	1891
1998-12-07	287.5	288	271.5	272.75	1663
1998-12-14	272.5	281.5	271.25	277	1269
1998-12-21	279	283	273.5	282.75	621
1998-12-28	283.5	283.75	275	276.25	535
1999-01-04	275.5	294	275	291.25	1544
1999-01-11	290.5	291	271	277	1527
1999-01-19	272	272	263	271.25	1493
1999-01-25	268	276.5	267	275.5	1409
1999-02-01	273	274.5	265	269.5	1382
1999-02-08	270	271.25	257	257.5	1672
1999-02-16	268.5	269.75	258	264.75	1906
1999-02-22	263.5	265	248	248.5	2845
1999-03-01	250.5	268	250	267.75	2489
1999-03-08	269	278	265.5	272.5	2028
1999-03-15	269	282	268	275.75	1536
1999-03-22	275.5	289.5	267.5	289	2312
1999-03-29	288	297	275.75	276.75	1868
1999-04-05	275	281.5	265	265.75	1657
1999-04-12	267.5	274	255	267	1997
1999-04-19	265	271.5	261	265.75	1317
1999-04-26	264.5	269	258.5	268	2081
1999-05-03	269	269.5	258.5	264.5	1637
1999-05-10	265	274.75	258	260.5	1535
1999-05-17	261.5	264.75	252	252.25	1456
1999-05-24	251.5	254	246.75	252.25	1108
1999-06-01	249	261.5	246.5	256.75	1480
1999-06-07	260	263.5	251.75	257	1703
1999-06-14	256	276.5	254	266.25	1666
1999-06-21	266	269.5	260.25	264	1864
1999-06-28	264.5	269.5	251.5	251.75	2680
1999-07-06	247.5	250.5	242.75	243.75	1212
1999-07-12	242.75	249	240.75	242.75	1055
1999-07-19	246	263.25	244.5	262.5	1626
1999-07-26	258	264	250.25	263.75	1562
1999-08-02	273	285	269	279.25	2772
1999-08-09	276.5	283	260	268.25	2042
1999-08-16	288	292	282	286.5	1291
1999-08-23	284	288.5	278.5	279.5	1543
1999-08-30	280	290	276	289	2093
1999-09-07	294	296	283	288.5	1204
1999-09-13	288.5	291.5	271.5	275.5	1679
1999-09-20	275	278.5	267	277.75	1228
1999-09-27	279	290	266	267	1803
1999-10-04	264	269.5	253.5	254.75	1413
1999-10-11	253	259.5	250.5	256.5	885
1999-10-18	255	264.75	254.5	258	1010
1999-10-25	258	266	252	255.75	1061
1999-11-01	254.5	261.5	251	256	1057
1999-11-08	258	260.5	243.25	244.25	1004
1999-11-15	273	279.75	264.5	269	1093
1999-11-22	268.75	271.5	262.5	262.5	777
1999-11-29	262.5	264	252	252.5	1016
1999-12-06	253	258.5	249.5	251.75	354
1999-12-13	249.5	257.25	246.75	256.25	167
1999-12-20	258.75	260.5	255.25	260	91
1999-12-27	262.5	263.5	255.5	258	71
2000-01-03	261.5	263	253	262.75	313
2000-01-10	260.5	278.25	259.75	276	485
2000-01-18	273	277.5	272	275.5	276
2000-01-24	278	280	267.5	270.75	527
2000-01-31	268	271	261	268.5	440
2000-02-07	271	284.75	268	282	1047
2000-02-14	282.5	284	272.75	276.25	809
2000-02-22	277.5	277.5	259	259.25	1572
2000-02-28	257	262.25	255	258.25	1781
2000-03-06	257.5	266.5	256.5	260	1178
2000-03-13	262	273	261.25	272.25	1456
2000-03-20	266	268.25	252	252.75	1704
2000-03-27	254.5	263.5	248.5	262.25	1277
2000-04-03	266.5	267	251.25	258.5	1289
2000-04-10	255	260.5	251.5	255.75	1473
2000-04-17	268.5	270.75	259.5	263	1283
2000-04-24	263	268.5	253	254.75	2328
2000-05-01	258	277.5	257	272.75	2543
2000-05-08	269	286	266.5	284.25	2019
2000-05-15	280.5	285.5	271	276.25	1899
2000-05-22	275	284.5	274.25	280.75	1610
2000-05-30	275.5	278	267.25	271.25	1451
2000-06-05	269.5	271.75	260	269.75	2054
2000-06-12	266	277.5	260.5	275.25	1822
2000-06-19	275	293	274	284.5	2686
2000-06-26	284	289.5	270.5	271.25	3190
2000-07-03	263	265	254	254.75	1922
2000-07-10	250	258.5	246	248.75	1619
2000-07-17	246.5	248.5	239	247.25	1050
2000-07-24	248.5	251	242.5	248	914
2000-07-31	247	249.75	236.5	237	1272
2000-08-07	238.5	239.25	232.5	236.75	1399
2000-08-14	236.5	264	236	257.25	1190
2000-08-21	256.75	263	250.5	260.5	1639
2000-08-28	264.5	270	259.5	267.5	2366
2000-09-05	271	273	262.25	266.25	1069
2000-09-11	265	267	252	252.25	1186
2000-09-18	251.5	257	246	250.75	1184
2000-09-25	253	266	252.5	265	1253

Source: CBOT daily data via TurtleTrader; author's calculations. Weekly candles of the nearest contract, which switches to the next on the 15th of the month before delivery; in a switching week the ca

The best trades, with hindsight

Each contract covers 5,000 bushels, so a one-cent move is worth $50. The best single trade in the data was buying the March 1974 contract at its low of 211 cents in April 1973 and selling at its high of 645 in February 1974: $21,700 a contract, at a time when the deposit required to hold one was a few hundred dollars. Four of the six best long trades were in contracts expiring in 1973 or 1974.

The best shorts came straight after the peaks. Selling May 1974 wheat at 636 on 26 February 1974 and buying it back at 331 three months later made $15,250 a contract. Selling the later 1996 and 1997 contracts at the April 1996 top and holding into the following winter made about $13,000. Nobody times a market this well; the table shows what was available, not what anyone earned.

The twelve best trades, with hindsight

Side	Contract	In	At	Out	At	Gain per contract	Move
Long	W74H	6 Apr 1973	211.00	26 Feb 1974	645.00	$21,700	206%
Long	W74K	26 Jun 1973	249.25	26 Feb 1974	636.00	$19,338	155%
Long	W73Z	27 Mar 1973	197.50	12 Dec 1973	578.00	$19,025	193%
Long	W73U	5 Oct 1972	181.50	17 Sep 1973	548.00	$18,325	202%
Long	W96K	24 May 1995	379.00	29 Apr 1996	717.00	$16,900	89%
Long	W96N	3 Mar 1995	321.25	26 Apr 1996	636.00	$15,738	98%
Short	W74K	26 Feb 1974	636.00	21 May 1974	331.00	$15,250	48%
Short	W97H	25 Apr 1996	618.50	11 Feb 1997	351.00	$13,375	43%
Short	W96Z	25 Apr 1996	632.75	5 Nov 1996	368.00	$13,238	42%
Short	W74N	26 Feb 1974	585.00	7 May 1974	330.00	$12,750	44%
Short	W75K	25 Oct 1974	557.00	6 May 1975	308.00	$12,450	45%
Short	W74U	26 Feb 1974	582.00	7 May 1974	337.00	$12,250	42%

Lowest low to later highest high (longs), or highest high to later lowest low (shorts), within one contract. One cent a bushel is $50 on a 5,000-bushel contract. Before costs. Source: CBOT daily data

The spread between contracts

On a typical day between four and eight wheat contracts are trading, one for each delivery month out to a year or more ahead. Normally each later contract costs a little more than the one before it, because someone has to store the grain and pay for the money tied up in it until then. Traders call this carry. When grain for immediate delivery is scarce the order flips, and the nearest contract trades above the later ones. That is an inverted market. The gap between the nearest contract and the next is a running reading of how tight the market is, and it explains several things in the rest of this article.

Carry is normal; an inversion is a warning

On 72% of trading days between 1959 and 2002 the next contract cost more than the nearest. The typical gap was 1.7% of the price, about 4 cents a bushel. The market was inverted on the other 28% of days, and those days bunched together: 94% of trading days in 1973 were inverted, 77% in 1996 and 68% in 1986. In 1976, 1977, 1980, 1982 and from 1998 to 2000 there was no inversion at all.

Inversions came with high prices. When the nearest contract was more than 50% above its median over the previous three years, the market was inverted on 61% of days. When it was more than 20% below that median, only 6%.

There are two exceptions worth noticing. The market was not inverted on a single day of 1980, even at the November peak, when the curve sloped upwards apart from a dip at the first contract after the next harvest. That fits the story of that rally, which was driven by inflation and by grain being held off the market in the farmer-owned reserve, not by a shortage of grain for delivery. And 1986 was inverted for most of the year even though prices were at a nine-year low. The spread data alone cannot say why.

Usually a discount, sometimes a premium — % of price — first 400 of 518 readings.

x	Nearest minus next
1959-07-15	-1.41
1959-08-15	-1.77
1959-09-15	-2.04
1959-10-15	-2.04
1959-11-15	0.01
1959-12-15	0.96
1960-01-15	0.46
1960-02-15	4.07
1960-03-15	10.84
1960-04-15	5.71
1960-05-15	-1.25
1960-06-15	-2.32
1960-07-15	-3.21
1960-08-15	-2.87
1960-09-15	-2.39
1960-10-15	-2.22
1960-11-15	-0.08
1960-12-15	1.63
1961-01-15	0.88
1961-02-15	4.19
1961-03-15	8.45
1961-04-15	1.19
1961-05-15	-1.84
1961-06-15	-2.58
1961-07-15	-3.27
1961-08-15	-2.86
1961-09-15	-2.29
1961-10-15	-2.53
1961-11-15	-1.86
1961-12-15	-1.15
1962-01-15	-1.52
1962-02-15	-1.74
1962-03-15	-1.22
1962-04-15	-0.92
1962-05-15	-1
1962-06-15	-1.81
1962-07-15	-2.64
1962-08-15	-2.5
1962-09-15	-2.21
1962-10-15	-1.99
1962-11-15	-0.45
1962-12-15	0.92
1963-01-15	0.52
1963-02-15	3.55
1963-03-15	8.34
1963-04-15	4.19
1963-05-15	-0.72
1963-06-15	-1.83
1963-07-15	-3.24
1963-08-15	-2.29
1963-09-15	-1.14
1963-10-15	-0.31
1963-11-15	0.69
1963-12-15	2.31
1964-01-15	1.86
1964-02-15	15.27
1964-03-15	24.81
1964-04-15	14.29
1964-05-15	-0.76
1964-06-15	-2.8
1964-07-15	-3.55
1964-08-15	-2.74
1964-09-15	-2.16
1964-10-15	-2.13
1964-11-15	-1.23
1964-12-15	-0.25
1965-01-15	-0.41
1965-02-15	1.46
1965-03-15	4.69
1965-04-15	1.27
1965-05-15	-1.58
1965-06-15	-2.37
1965-07-15	-3.21
1965-08-15	-1.99
1965-09-15	-1.65
1965-10-15	-1.95
1965-11-15	-0.33
1965-12-15	0.18
1966-01-15	-0.66
1966-02-15	2.34
1966-03-15	3.59
1966-04-15	0.15
1966-05-15	-1.34
1966-06-15	-2.17
1966-07-15	-3.15
1966-08-15	-2.86
1966-09-15	-3.27
1966-10-15	-3.52
1966-11-15	-2.07
1966-12-15	-1.24
1967-01-15	-1.63
1967-02-15	-0.18
1967-03-15	0.57
1967-04-15	-0.62
1967-05-15	-2.1
1967-06-15	-3.16
1967-07-15	-4.16
1967-08-15	-3.81
1967-09-15	-3.61
1967-10-15	-3.63
1967-11-15	-3.06
1967-12-15	-2.36
1968-01-15	-2.39
1968-02-15	-0.76
1968-03-15	-1.33
1968-04-15	-2.14
1968-05-15	-2.57
1968-06-15	-3.71
1968-07-15	-4.63
1968-08-15	-4.73
1968-09-15	-4.62
1968-10-15	-4.52
1968-11-15	-2.99
1968-12-15	-1.85
1969-01-15	-1.8
1969-02-15	-0.34
1969-03-15	0.57
1969-04-15	-1.1
1969-05-15	-1.83
1969-06-15	-3.3
1969-07-15	-4.22
1969-08-15	-3.32
1969-09-15	-2.28
1969-10-15	-2.55
1969-11-15	-1.08
1969-12-15	0.68
1970-01-15	1.69
1970-02-15	4.08
1970-03-15	5.8
1970-04-15	2.2
1970-05-15	-1.33
1970-06-15	-2.64
1970-07-15	-3.3
1970-08-15	-2.56
1970-09-15	-1.54
1970-10-15	-0.92
1970-11-15	-0.06
1970-12-15	0.8
1971-01-15	1.15
1971-02-15	3.57
1971-03-15	4.78
1971-04-15	1.42
1971-05-15	-0.77
1971-06-15	-1.53
1971-07-15	-2.32
1971-08-15	-1.92
1971-09-15	-0.95
1971-10-15	1.08
1971-11-15	3.19
1971-12-15	4.04
1972-01-15	5.56
1972-02-15	6.26
1972-03-15	5.89
1972-04-15	2.89
1972-05-15	-1.02
1972-06-15	-2.06
1972-07-15	-3.13
1972-08-15	-2.7
1972-09-15	-1.43
1972-10-15	-1.26
1972-11-15	0.83
1972-12-15	2
1973-01-15	3.17
1973-02-15	4.72
1973-03-15	6.03
1973-04-15	2.86
1973-05-15	0.28
1973-06-15	0.29
1973-07-15	1.8
1973-08-15	2.9
1973-09-15	1.39
1973-10-15	1.76
1973-11-15	6.7
1973-12-15	4.23
1974-01-15	4.32
1974-02-15	7.54
1974-03-15	8.49
1974-04-15	2.09
1974-05-15	-1.37
1974-06-15	-1.37
1974-07-15	-1.47
1974-08-15	-2.57
1974-09-15	-2.75
1974-10-15	-2.93
1974-11-15	-1.82
1974-12-15	0.11
1975-01-15	0.99
1975-02-15	1.75
1975-03-15	2.66
1975-04-15	0.56
1975-05-15	-1.56
1975-06-15	-2.53
1975-07-15	-3.45
1975-08-15	-3.3
1975-09-15	-2.83
1975-10-15	-3.39
1975-11-15	-2.6
1975-12-15	-1.52
1976-01-15	-1.84
1976-02-15	-1.32
1976-03-15	-1.53
1976-04-15	-2.13
1976-05-15	-2.3
1976-06-15	-2.92
1976-07-15	-3.79
1976-08-15	-3.89
1976-09-15	-3.56
1976-10-15	-3.85
1976-11-15	-2.43
1976-12-15	-1.75
1977-01-15	-2.18
1977-02-15	-2.67
1977-03-15	-2.57
1977-04-15	-2.8
1977-05-15	-2.74
1977-06-15	-3.51
1977-07-15	-4.41
1977-08-15	-4.07
1977-09-15	-3.82
1977-10-15	-3.79
1977-11-15	-2.43
1977-12-15	-1.51
1978-01-15	-2.21
1978-02-15	-1.36
1978-03-15	-0.48
1978-04-15	-0.87
1978-05-15	-1.06
1978-06-15	-1.3
1978-07-15	-1.37
1978-08-15	0.95
1978-09-15	0.88
1978-10-15	1.34
1978-11-15	3.05
1978-12-15	2.78
1979-01-15	4.83
1979-02-15	6.37
1979-03-15	6.43
1979-04-15	1.55
1979-05-15	-0.71
1979-06-15	-2.2
1979-07-15	-2.37
1979-08-15	-2.21
1979-09-15	-2.58
1979-10-15	-3.61
1979-11-15	-2.82
1979-12-15	-1.35
1980-01-15	-1.9
1980-02-15	-1.86
1980-03-15	-1.79
1980-04-15	-2.69
1980-05-15	-3.11
1980-06-15	-3.56
1980-07-15	-3.87
1980-08-15	-3.98
1980-09-15	-3.71
1980-10-15	-3.79
1980-11-15	-3.12
1980-12-15	-1.54
1981-01-15	-1.77
1981-02-15	-0.96
1981-03-15	-0.84
1981-04-15	-2.35
1981-05-15	-3.89
1981-06-15	-5.11
1981-07-15	-6.77
1981-08-15	-6.18
1981-09-15	-5.32
1981-10-15	-5.71
1981-11-15	-3.93
1981-12-15	-1.83
1982-01-15	-2.66
1982-02-15	-3.33
1982-03-15	-2.41
1982-04-15	-3.05
1982-05-15	-3.96
1982-06-15	-4.92
1982-07-15	-5.99
1982-08-15	-5.42
1982-09-15	-5.5
1982-10-15	-5.66
1982-11-15	-2.7
1982-12-15	-2.14
1983-01-15	-2.4
1983-02-15	-2.52
1983-03-15	-2.82
1983-04-15	-2.84
1983-05-15	-2.61
1983-06-15	-3.45
1983-07-15	-4.57
1983-08-15	-3.68
1983-09-15	-3.87
1983-10-15	-3.67
1983-11-15	-1.94
1983-12-15	0.57
1984-01-15	0.3
1984-02-15	0.3
1984-03-15	3.27
1984-04-15	2.42
1984-05-15	-0.35
1984-06-15	-2.84
1984-07-15	-4.32
1984-08-15	-3.53
1984-09-15	-1.77
1984-10-15	-1.79
1984-11-15	0.59
1984-12-15	1.63
1985-01-15	1.91
1985-02-15	2.48
1985-03-15	4.37
1985-04-15	3.17
1985-05-15	-0.38
1985-06-15	-1.17
1985-07-15	-2.36
1985-08-15	-2.8
1985-09-15	-2.27
1985-10-15	-2.01
1985-11-15	2.88
1985-12-15	6.51
1986-01-15	10.17
1986-02-15	12.06
1986-03-15	18.3
1986-04-15	8.62
1986-05-15	-0.5
1986-06-15	-1.46
1986-07-15	-1.31
1986-08-15	-0.01
1986-09-15	1.74
1986-10-15	3.88
1986-11-15	5.77
1986-12-15	5.47
1987-01-15	6.18
1987-02-15	5.83
1987-03-15	8.61
1987-04-15	2.37
1987-05-15	-1.01
1987-06-15	-2.68
1987-07-15	-3.94
1987-08-15	-3.69
1987-09-15	-2.03
1987-10-15	-3.39
1987-11-15	-1.62
1987-12-15	1.2
1988-01-15	0.24
1988-02-15	-0.65
1988-03-15	-1.91
1988-04-15	-2.51
1988-05-15	-2.5
1988-06-15	-2.29
1988-07-15	-2.86
1988-08-15	-1.65
1988-09-15	-1.06
1988-10-15	-1.16
1988-11-15	1.34
1988-12-15	3.43
1989-01-15	2.14
1989-02-15	3.07
1989-03-15	5.71
1989-04-15	0.38
1989-05-15	-1.67
1989-06-15	-2.47
1989-07-15	-2.89
1989-08-15	-2.1
1989-09-15	0.05
1989-10-15	0.4
1989-11-15	2.17
1989-12-15	5.69
1990-01-15	4.99
1990-02-15	5.02
1990-03-15	4.27
1990-04-15	2.12
1990-05-15	-1.5
1990-06-15	-2.9
1990-07-15	-4.98
1990-08-15	-4.19
1990-09-15	-4.66
1990-10-15	-5
1990-11-15	-4.17
1990-12-15	-2.64
1991-01-15	-3.33
1991-02-15	-3.67
1991-03-15	-3.24
1991-04-15	-3.13
1991-05-15	-2.89
1991-06-15	-2.95
1991-07-15	-4.52
1991-08-15	-2.87
1991-09-15	-0.93
1991-10-15	-0.33
1991-11-15	2.46
1991-12-15	6.15
1992-01-15	4.69
1992-02-15	3.73
1992-03-15	4.23
1992-04-15	0.76
1992-05-15	-1.16
1992-06-15	-1.79
1992-07-15	-2.8
1992-08-15	-2.61
1992-09-15	-1.2
1992-10-15	0.4

Usually a discount, sometimes a premium — Cents per bushel — first 400 of 518 readings.

x	Nearest minus next
1959-07-15	-2.8
1959-08-15	-3.5
1959-09-15	-4.1
1959-10-15	-4.1
1959-11-15	0
1959-12-15	1.9
1960-01-15	0.9
1960-02-15	7.5
1960-03-15	19.9
1960-04-15	10.5
1960-05-15	-2.3
1960-06-15	-4.4
1960-07-15	-6.1
1960-08-15	-5.6
1960-09-15	-4.7
1960-10-15	-4.5
1960-11-15	-0.2
1960-12-15	3.3
1961-01-15	1.9
1961-02-15	8.1
1961-03-15	16.1
1961-04-15	2.2
1961-05-15	-3.5
1961-06-15	-5.1
1961-07-15	-6.6
1961-08-15	-5.9
1961-09-15	-4.8
1961-10-15	-5.3
1961-11-15	-3.9
1961-12-15	-2.4
1962-01-15	-3.1
1962-02-15	-3.6
1962-03-15	-2.6
1962-04-15	-2
1962-05-15	-2.2
1962-06-15	-4
1962-07-15	-5.8
1962-08-15	-5.4
1962-09-15	-4.7
1962-10-15	-4.2
1962-11-15	-1
1962-12-15	1.9
1963-01-15	1.1
1963-02-15	6.8
1963-03-15	15.8
1963-04-15	7.9
1963-05-15	-1.3
1963-06-15	-3.5
1963-07-15	-6.1
1963-08-15	-4.3
1963-09-15	-2.3
1963-10-15	-0.7
1963-11-15	1.4
1963-12-15	4.9
1964-01-15	4
1964-02-15	25.7
1964-03-15	39.3
1964-04-15	22.1
1964-05-15	-1.2
1964-06-15	-4.2
1964-07-15	-5.3
1964-08-15	-4.1
1964-09-15	-3.3
1964-10-15	-3.3
1964-11-15	-1.9
1964-12-15	-0.4
1965-01-15	-0.6
1965-02-15	2.1
1965-03-15	6.7
1965-04-15	1.8
1965-05-15	-2.2
1965-06-15	-3.4
1965-07-15	-4.8
1965-08-15	-3.1
1965-09-15	-2.7
1965-10-15	-3.2
1965-11-15	-0.6
1965-12-15	0.3
1966-01-15	-1.1
1966-02-15	3.7
1966-03-15	5.6
1966-04-15	0.2
1966-05-15	-2.2
1966-06-15	-4
1966-07-15	-6.1
1966-08-15	-5.6
1966-09-15	-6.4
1966-10-15	-6.3
1966-11-15	-3.7
1966-12-15	-2.3
1967-01-15	-2.8
1967-02-15	-0.3
1967-03-15	1
1967-04-15	-1
1967-05-15	-3.6
1967-06-15	-5.2
1967-07-15	-6.7
1967-08-15	-6.1
1967-09-15	-5.8
1967-10-15	-5.8
1967-11-15	-4.7
1967-12-15	-3.6
1968-01-15	-3.6
1968-02-15	-1.2
1968-03-15	-2
1968-04-15	-3.1
1968-05-15	-3.7
1968-06-15	-5.1
1968-07-15	-6.2
1968-08-15	-6.1
1968-09-15	-5.9
1968-10-15	-5.9
1968-11-15	-4.1
1968-12-15	-2.5
1969-01-15	-2.5
1969-02-15	-0.5
1969-03-15	0.8
1969-04-15	-1.5
1969-05-15	-2.5
1969-06-15	-4.4
1969-07-15	-5.6
1969-08-15	-4.4
1969-09-15	-3.1
1969-10-15	-3.5
1969-11-15	-1.5
1969-12-15	1
1970-01-15	2.4
1970-02-15	5.7
1970-03-15	8
1970-04-15	3
1970-05-15	-1.8
1970-06-15	-3.8
1970-07-15	-4.9
1970-08-15	-4
1970-09-15	-2.6
1970-10-15	-1.6
1970-11-15	-0.1
1970-12-15	1.3
1971-01-15	1.9
1971-02-15	5.7
1971-03-15	7.3
1971-04-15	2.2
1971-05-15	-1.2
1971-06-15	-2.5
1971-07-15	-3.6
1971-08-15	-2.9
1971-09-15	-1.4
1971-10-15	1.7
1971-11-15	4.9
1971-12-15	6.3
1972-01-15	8.7
1972-02-15	9.2
1972-03-15	8.7
1972-04-15	4.3
1972-05-15	-1.5
1972-06-15	-3
1972-07-15	-5
1972-08-15	-5
1972-09-15	-3
1972-10-15	-2.8
1972-11-15	2
1972-12-15	5.1
1973-01-15	7.9
1973-02-15	10.6
1973-03-15	12.9
1973-04-15	6.2
1973-05-15	0.8
1973-06-15	0.8
1973-07-15	5.6
1973-08-15	12.7
1973-09-15	6.9
1973-10-15	7.7
1973-11-15	28.5
1973-12-15	21
1974-01-15	23.5
1974-02-15	41.2
1974-03-15	39.6
1974-04-15	8.3
1974-05-15	-4.9
1974-06-15	-5.7
1974-07-15	-6.7
1974-08-15	-11.7
1974-09-15	-12.8
1974-10-15	-15.6
1974-11-15	-9.5
1974-12-15	0.4
1975-01-15	4
1975-02-15	6.5
1975-03-15	9.5
1975-04-15	2.2
1975-05-15	-5
1975-06-15	-8.2
1975-07-15	-12.5
1975-08-15	-14
1975-09-15	-12.5
1975-10-15	-14.2
1975-11-15	-9.7
1975-12-15	-5.3
1976-01-15	-6.6
1976-02-15	-5
1976-03-15	-5.7
1976-04-15	-7.6
1976-05-15	-8.2
1976-06-15	-11.2
1976-07-15	-14.4
1976-08-15	-13.4
1976-09-15	-11.7
1976-10-15	-11.5
1976-11-15	-6.7
1976-12-15	-4.9
1977-01-15	-6.2
1977-02-15	-7.8
1977-03-15	-7.3
1977-04-15	-7.8
1977-05-15	-7.1
1977-06-15	-9
1977-07-15	-10.8
1977-08-15	-9.7
1977-09-15	-9.8
1977-10-15	-9.9
1977-11-15	-6.8
1977-12-15	-4.2
1978-01-15	-6.2
1978-02-15	-3.7
1978-03-15	-1.4
1978-04-15	-2.8
1978-05-15	-3.4
1978-06-15	-4.2
1978-07-15	-4.4
1978-08-15	3
1978-09-15	2.9
1978-10-15	4.6
1978-11-15	10.6
1978-12-15	9.4
1979-01-15	16
1979-02-15	21.2
1979-03-15	20.9
1979-04-15	5
1979-05-15	-2.6
1979-06-15	-10.1
1979-07-15	-10.9
1979-08-15	-9.9
1979-09-15	-11.8
1979-10-15	-16.6
1979-11-15	-12.6
1979-12-15	-6.2
1980-01-15	-8.6
1980-02-15	-8.7
1980-03-15	-7.8
1980-04-15	-11.1
1980-05-15	-13.4
1980-06-15	-15.4
1980-07-15	-17.9
1980-08-15	-19.2
1980-09-15	-19.1
1980-10-15	-20.5
1980-11-15	-17.1
1980-12-15	-7.8
1981-01-15	-8.9
1981-02-15	-4.5
1981-03-15	-3.7
1981-04-15	-10.7
1981-05-15	-16.9
1981-06-15	-21.9
1981-07-15	-29.5
1981-08-15	-27.3
1981-09-15	-24
1981-10-15	-26.2
1981-11-15	-18.1
1981-12-15	-7.5
1982-01-15	-10.6
1982-02-15	-12.8
1982-03-15	-9
1982-04-15	-11.9
1982-05-15	-14.9
1982-06-15	-18.2
1982-07-15	-22.3
1982-08-15	-20.2
1982-09-15	-19.8
1982-10-15	-18.8
1982-11-15	-9.4
1982-12-15	-7.3
1983-01-15	-8.3
1983-02-15	-8.9
1983-03-15	-9.9
1983-04-15	-10.5
1983-05-15	-9.5
1983-06-15	-12.6
1983-07-15	-17.1
1983-08-15	-15
1983-09-15	-15.6
1983-10-15	-13.9
1983-11-15	-7.1
1983-12-15	2
1984-01-15	1.1
1984-02-15	0.9
1984-03-15	11.3
1984-04-15	8.5
1984-05-15	-1.2
1984-06-15	-10.5
1984-07-15	-15.7
1984-08-15	-13
1984-09-15	-6.3
1984-10-15	-6.4
1984-11-15	2
1984-12-15	5.5
1985-01-15	6.5
1985-02-15	8.4
1985-03-15	14.5
1985-04-15	10.7
1985-05-15	-1.2
1985-06-15	-3.9
1985-07-15	-7.4
1985-08-15	-8.4
1985-09-15	-6.8
1985-10-15	-6.3
1985-11-15	8.9
1985-12-15	20.9
1986-01-15	30
1986-02-15	33.1
1986-03-15	46.5
1986-04-15	21.5
1986-05-15	-1.3
1986-06-15	-3.7
1986-07-15	-3.4
1986-08-15	0
1986-09-15	4.5
1986-10-15	10.5
1986-11-15	15.3
1986-12-15	14.4
1987-01-15	16.5
1987-02-15	15.3
1987-03-15	22.5
1987-04-15	6.3
1987-05-15	-3
1987-06-15	-7.4
1987-07-15	-10.8
1987-08-15	-10.5
1987-09-15	-6.1
1987-10-15	-10.6
1987-11-15	-4.8
1987-12-15	3.7
1988-01-15	0.8
1988-02-15	-2.1
1988-03-15	-6
1988-04-15	-8.2
1988-05-15	-8.4
1988-06-15	-8.9
1988-07-15	-11.3
1988-08-15	-6.5
1988-09-15	-4.5
1988-10-15	-5
1988-11-15	5.3
1988-12-15	14.2
1989-01-15	9.3
1989-02-15	12.4
1989-03-15	23.4
1989-04-15	1.4
1989-05-15	-6.9
1989-06-15	-10.1
1989-07-15	-11.7
1989-08-15	-8.6
1989-09-15	0.2
1989-10-15	1.6
1989-11-15	8.4
1989-12-15	22.1
1990-01-15	18.9
1990-02-15	17.8
1990-03-15	14.5
1990-04-15	7.2
1990-05-15	-5.2
1990-06-15	-10.1
1990-07-15	-16.2
1990-08-15	-12.6
1990-09-15	-13.5
1990-10-15	-14.1
1990-11-15	-11.5
1990-12-15	-7.1
1991-01-15	-8.8
1991-02-15	-9.9
1991-03-15	-9.4
1991-04-15	-9.3
1991-05-15	-8.6
1991-06-15	-8.8
1991-07-15	-13.1
1991-08-15	-8.9
1991-09-15	-3.1
1991-10-15	-1.1
1991-11-15	8.6
1991-12-15	22.5
1992-01-15	18.7
1992-02-15	15.1
1992-03-15	15.8
1992-04-15	2.6
1992-05-15	-4.2
1992-06-15	-6.5
1992-07-15	-9.7
1992-08-15	-8.5
1992-09-15	-4.1
1992-10-15	1.4

Source: CBOT daily data via TurtleTrader; author's calculations. The nearest contract switches to the next on the 15th of the month before delivery.

Carry and the cost of holding grain

For a financial asset that costs nothing to store, the gap between today’s price and a price for later delivery is just the interest to that date. Grain is different in two ways. Storing it costs money, which widens the gap. And holding grain when it is scarce has a value of its own, which economists call the convenience yield, and which narrows the gap or reverses it. So the gap between two contracts is roughly interest plus storage minus that convenience yield.

Interest plus storage is called full carry, and it sets a ceiling. If the later contract were dearer than that, anyone could buy the nearest contract, take delivery, store the grain and deliver it against the later one for a riskless profit. There is no floor, because grain cannot be borrowed from the future. That is why the curve can invert by a dollar but never carries much more than the cost of holding the grain.

Storage charges rose over the period. USDA put the cost of storing grain in commercial elevators at 9 to 15 cents a bushel a year in 1970–71, about a cent a month. The GAO found average commercial storage charges of 26.4 and 26.8 cents a year in 1978–80, about 2.2 cents a month. From 2000 the Chicago Board of Trade’s charge for storing delivered wheat was 0.15 cents a bushel a day, about 4.5 cents a month. The wheat curve agrees with these figures. When the market was paying the most carry, the gap between neighbouring contracts, less interest, came to about 1½ to 2 cents a bushel a month in the 1960s and about 4½ cents from 1998 to 2002, almost exactly the exchange’s rate.

Set against that estimate of full carry, the market was at or above full carry on 18% of trading days, between 80% and full carry on another 18%, below 80% on 36%, and inverted on the remaining 28%. It sat closest to full carry in the 1960s and from 2000 to 2002, when the median was 91% of full carry: a market with more grain than it wanted, paying storers the whole cost of holding it. In the 1970s, 1980s and 1990s the median was below half of full carry.

The interest rate explains the 1980 puzzle. With the funds rate averaging 13% that year, interest accounted for about 11½ of the typical 13¾ cents between neighbouring contracts, and the market ran at a median 88% of full carry. High rates make an inversion harder, because grain has to be scarce enough to be worth more than the interest and storage it costs to hold. A curve near full carry with prices above 500 cents says the rally was not about a shortage of grain for delivery.

Carry against the cost of holding grain — Carry against full carry

x	Next minus nearest	Full carry: interest plus storage	Interest only
1959-08-15	1.8	2.4	0.9
1959-11-15	0.4	2.1	0.8
1960-02-15	-4.9	1.6	0.7
1960-05-15	-0.3	1.8	0.7
1960-08-15	2.9	2.3	0.7
1960-11-15	0.3	1.7	0.5
1961-02-15	-4.2	1.3	0.3
1961-05-15	1.2	1.5	0.3
1961-08-15	2.9	1.9	0.4
1961-11-15	1.9	1.7	0.5
1962-02-15	1.5	1.4	0.4
1962-05-15	1.3	1.5	0.5
1962-08-15	2.5	2.1	0.7
1962-11-15	0.6	1.8	0.6
1963-02-15	-3.8	1.5	0.5
1963-05-15	-0.4	1.7	0.5
1963-08-15	2.3	2.4	0.8
1963-11-15	-0.8	1.9	0.7
1964-02-15	-11.1	1.5	0.6
1964-05-15	-2.5	2	0.6
1964-08-15	2.9	2.9	0.9
1964-11-15	1.2	2.4	0.7
1965-02-15	-2	2	0.7
1965-05-15	1	2.3	0.7
1965-08-15	2.3	3	1
1965-11-15	0.7	2.4	0.9
1966-02-15	-1.7	2	0.8
1966-05-15	1.2	2.2	0.9
1966-08-15	3.2	2.9	1.3
1966-11-15	2.4	2.6	1.1
1967-02-15	0.4	2	0.8
1967-05-15	2.1	2	0.7
1967-08-15	4	2.9	1
1967-11-15	3.1	2.5	0.9
1968-02-15	1.6	2.1	0.8
1968-05-15	2.9	2.7	1.1
1968-08-15	4.9	3.9	1.5
1968-11-15	3.3	3.2	1.2
1969-02-15	0.6	2.6	1.1
1969-05-15	2.1	3.2	1.5
1969-08-15	3.4	4.5	2.2
1969-11-15	1.1	3.7	1.9
1970-02-15	-3.7	2.8	1.4
1970-05-15	0.7	3	1.4
1970-08-15	2.5	3.6	1.7
1970-11-15	0.1	2.7	1.2
1971-02-15	-3.1	2	0.6
1971-05-15	0.4	2.4	0.8
1971-08-15	1.8	3.7	1.4
1971-11-15	-2.7	2.9	1
1972-02-15	-5.6	2.1	0.6
1972-05-15	0.3	2.7	0.8
1972-08-15	2.5	3.3	1.2
1972-11-15	-0.4	2.5	1.1
1973-02-15	-4.4	2.2	1.1
1973-05-15	-1.1	2.6	1.4
1973-08-15	-2	3.7	2.6
1973-11-15	-4	2.9	2.1
1974-02-15	-6.2	2.1	1.6
1974-05-15	0.3	2.9	2
1974-08-15	2.3	4.1	3
1974-11-15	1.6	2.8	2
1975-02-15	-1.7	1.9	1.1
1975-05-15	1.2	2.1	1
1975-08-15	3.3	2.8	1.5
1975-11-15	2.6	2.3	1.1
1976-02-15	1.6	1.8	0.8
1976-05-15	2.5	2	1
1976-08-15	3.9	2.9	1.3
1976-11-15	2.8	2.7	1
1977-02-15	2.5	2.1	0.8
1977-05-15	3.1	2.6	0.9
1977-08-15	4.3	3.9	1.5
1977-11-15	2.7	3.2	1.4
1978-02-15	1.4	2.6	1.1
1978-05-15	1.1	2.7	1.3
1978-08-15	-0.2	4	2
1978-11-15	-2.3	3.5	2
1979-02-15	-5.5	2.9	1.7
1979-05-15	0.5	3.1	1.8
1979-08-15	2.4	4.2	2.7
1979-11-15	2.8	4.1	2.9
1980-02-15	1.9	3.5	2.5
1980-05-15	3.2	3.4	2.2
1980-08-15	4	3.9	2.4
1980-11-15	2.9	4.3	3.2
1981-02-15	1.2	3.8	2.7
1981-05-15	4	4.5	3.3
1981-08-15	6.5	6.2	4.4
1981-11-15	4	4.3	2.9
1982-02-15	2.9	3.7	2.4
1982-05-15	4.2	4.2	2.7
1982-08-15	6	4.9	2.7
1982-11-15	3.7	3.9	1.9
1983-02-15	2.7	3	1.4
1983-05-15	3.1	3.2	1.6
1983-08-15	4.2	4.5	2.4
1983-11-15	1.7	3.8	2
1984-02-15	-1.3	3.2	1.6
1984-05-15	0.4	3.6	1.9
1984-08-15	3.4	5.2	2.9
1984-11-15	0	4	2
1985-02-15	-2.8	3	1.4
1985-05-15	-0.5	3.3	1.4
1985-08-15	2.5	4.9	2
1985-11-15	-2.1	4	1.7
1986-02-15	-11.7	3.2	1.3
1986-05-15	-1.8	3.7	1.3
1986-08-15	-0.1	5	1.6
1986-11-15	-4.7	4	1.3
1987-02-15	-6.5	3.2	1
1987-05-15	0.6	3.7	1.2
1987-08-15	3.4	5.1	1.7
1987-11-15	1.3	4	1.4
1988-02-15	0.8	3.1	1.1
1988-05-15	2.5	3.4	1.3
1988-08-15	1.9	4.4	2
1988-11-15	-1.1	3.7	1.8
1989-02-15	-3.5	3.1	1.6
1989-05-15	1.4	3.6	1.8
1989-08-15	1.7	4.8	2.3
1989-11-15	-2.5	3.9	1.8
1990-02-15	-4.5	3.2	1.4
1990-05-15	0.9	3.7	1.5
1990-08-15	4.8	5.6	2
1990-11-15	4.2	4.9	1.6
1991-02-15	3.5	3.7	1.1
1991-05-15	3.1	3.7	1.1
1991-08-15	2.9	5	1.4
1991-11-15	-2.5	3.5	1
1992-02-15	-4.1	2.4	0.7
1992-05-15	0.8	2.9	0.7
1992-08-15	2.3	4.1	0.8
1992-11-15	-2.5	3.2	0.6
1993-02-15	-7.2	2.6	0.5
1993-05-15	0	3.3	0.6
1993-08-15	2.1	4.4	0.8
1993-11-15	-2.5	3.4	0.6
1994-02-15	-4	2.7	0.5
1994-05-15	1.2	3.3	0.7
1994-08-15	3	4.4	1.1
1994-11-15	-1.2	3.5	1.1
1995-02-15	-3.9	3.1	1
1995-05-15	1.5	3.4	1.1
1995-08-15	1.1	4.1	1.5
1995-11-15	-2.8	3.2	1.2
1996-02-15	-6.2	2.5	0.9
1996-05-15	-0.7	2.6	1
1996-08-15	0.1	4.1	1.3
1996-11-15	-4.1	3.8	1.1
1997-02-15	-3	3.1	0.9
1997-05-15	1.8	3.4	1
1997-08-15	3.8	4.9	1.4
1997-11-15	3.1	4.2	1.2
1998-02-15	2.7	3.5	0.9
1998-05-15	3.7	4.2	1
1998-08-15	5.9	6.3	1.4
1998-11-15	4.4	4.8	1
1999-02-15	3.8	4	0.8
1999-05-15	4.3	4.6	0.9
1999-08-15	7.6	8.3	1.7
1999-11-15	6.9	7.6	1.5
2000-02-15	4.1	4.3	1
2000-05-15	4.7	4.8	1.2
2000-08-15	6.9	7	1.6
2000-11-15	5.3	5.6	1.4
2001-02-15	4.1	4.2	0.9
2001-05-15	4.3	4.4	0.8
2001-08-15	4.8	5.7	0.9
2001-11-15	1.7	4.5	0.5
2002-02-15	1	3.4	0.3
2002-05-15	2.4	3.8	0.3
2002-08-15	3	4.5	0.4

Carry against the cost of holding grain — The federal funds rate — first 400 of 520 readings.

x	Federal funds rate
1959-07-15	3.47
1959-08-15	3.5
1959-09-15	3.76
1959-10-15	3.98
1959-11-15	4
1959-12-15	3.99
1960-01-15	3.99
1960-02-15	3.97
1960-03-15	3.84
1960-04-15	3.92
1960-05-15	3.85
1960-06-15	3.32
1960-07-15	3.23
1960-08-15	2.98
1960-09-15	2.6
1960-10-15	2.47
1960-11-15	2.44
1960-12-15	1.98
1961-01-15	1.45
1961-02-15	2.54
1961-03-15	2.02
1961-04-15	1.49
1961-05-15	1.98
1961-06-15	1.73
1961-07-15	1.17
1961-08-15	2
1961-09-15	1.88
1961-10-15	2.26
1961-11-15	2.61
1961-12-15	2.33
1962-01-15	2.15
1962-02-15	2.37
1962-03-15	2.85
1962-04-15	2.78
1962-05-15	2.36
1962-06-15	2.68
1962-07-15	2.71
1962-08-15	2.93
1962-09-15	2.9
1962-10-15	2.9
1962-11-15	2.94
1962-12-15	2.93
1963-01-15	2.92
1963-02-15	3
1963-03-15	2.98
1963-04-15	2.9
1963-05-15	3
1963-06-15	2.99
1963-07-15	3.02
1963-08-15	3.49
1963-09-15	3.48
1963-10-15	3.5
1963-11-15	3.48
1963-12-15	3.38
1964-01-15	3.48
1964-02-15	3.48
1964-03-15	3.43
1964-04-15	3.47
1964-05-15	3.5
1964-06-15	3.5
1964-07-15	3.42
1964-08-15	3.5
1964-09-15	3.45
1964-10-15	3.36
1964-11-15	3.52
1964-12-15	3.85
1965-01-15	3.9
1965-02-15	3.98
1965-03-15	4.05
1965-04-15	4.09
1965-05-15	4.1
1965-06-15	4.05
1965-07-15	4.09
1965-08-15	4.12
1965-09-15	4.02
1965-10-15	4.08
1965-11-15	4.1
1965-12-15	4.32
1966-01-15	4.42
1966-02-15	4.6
1966-03-15	4.66
1966-04-15	4.67
1966-05-15	4.9
1966-06-15	5.17
1966-07-15	5.3
1966-08-15	5.53
1966-09-15	5.4
1966-10-15	5.53
1966-11-15	5.76
1966-12-15	5.4
1967-01-15	4.94
1967-02-15	5
1967-03-15	4.53
1967-04-15	4.05
1967-05-15	3.94
1967-06-15	3.98
1967-07-15	3.79
1967-08-15	3.9
1967-09-15	3.99
1967-10-15	3.88
1967-11-15	4.13
1967-12-15	4.51
1968-01-15	4.61
1968-02-15	4.71
1968-03-15	5.05
1968-04-15	5.76
1968-05-15	6.12
1968-06-15	6.07
1968-07-15	6.03
1968-08-15	6.03
1968-09-15	5.78
1968-10-15	5.91
1968-11-15	5.82
1968-12-15	6.02
1969-01-15	6.3
1969-02-15	6.61
1969-03-15	6.79
1969-04-15	7.41
1969-05-15	8.67
1969-06-15	8.9
1969-07-15	8.61
1969-08-15	9.19
1969-09-15	9.15
1969-10-15	9
1969-11-15	8.85
1969-12-15	8.97
1970-01-15	8.98
1970-02-15	8.98
1970-03-15	7.76
1970-04-15	8.1
1970-05-15	7.95
1970-06-15	7.61
1970-07-15	7.21
1970-08-15	6.62
1970-09-15	6.29
1970-10-15	6.2
1970-11-15	5.6
1970-12-15	4.9
1971-01-15	4.14
1971-02-15	3.72
1971-03-15	3.71
1971-04-15	4.16
1971-05-15	4.63
1971-06-15	4.91
1971-07-15	5.31
1971-08-15	5.57
1971-09-15	5.55
1971-10-15	5.2
1971-11-15	4.91
1971-12-15	4.14
1972-01-15	3.51
1972-02-15	3.3
1972-03-15	3.83
1972-04-15	4.17
1972-05-15	4.27
1972-06-15	4.46
1972-07-15	4.55
1972-08-15	4.81
1972-09-15	4.87
1972-10-15	5.05
1972-11-15	5.06
1972-12-15	5.33
1973-01-15	5.94
1973-02-15	6.58
1973-03-15	7.09
1973-04-15	7.12
1973-05-15	7.84
1973-06-15	8.49
1973-07-15	10.4
1973-08-15	10.5
1973-09-15	10.78
1973-10-15	10.01
1973-11-15	10.03
1973-12-15	9.95
1974-01-15	9.65
1974-02-15	8.97
1974-03-15	9.35
1974-04-15	10.51
1974-05-15	11.31
1974-06-15	11.93
1974-07-15	12.92
1974-08-15	12.01
1974-09-15	11.34
1974-10-15	10.06
1974-11-15	9.45
1974-12-15	8.53
1975-01-15	7.13
1975-02-15	6.24
1975-03-15	5.54
1975-04-15	5.49
1975-05-15	5.22
1975-06-15	5.55
1975-07-15	6.1
1975-08-15	6.14
1975-09-15	6.24
1975-10-15	5.82
1975-11-15	5.22
1975-12-15	5.2
1976-01-15	4.87
1976-02-15	4.77
1976-03-15	4.84
1976-04-15	4.82
1976-05-15	5.29
1976-06-15	5.48
1976-07-15	5.31
1976-08-15	5.29
1976-09-15	5.25
1976-10-15	5.02
1976-11-15	4.95
1976-12-15	4.65
1977-01-15	4.61
1977-02-15	4.68
1977-03-15	4.69
1977-04-15	4.73
1977-05-15	5.35
1977-06-15	5.39
1977-07-15	5.42
1977-08-15	5.9
1977-09-15	6.14
1977-10-15	6.47
1977-11-15	6.51
1977-12-15	6.56
1978-01-15	6.7
1978-02-15	6.78
1978-03-15	6.79
1978-04-15	6.89
1978-05-15	7.36
1978-06-15	7.6
1978-07-15	7.81
1978-08-15	8.04
1978-09-15	8.45
1978-10-15	8.96
1978-11-15	9.76
1978-12-15	10.03
1979-01-15	10.07
1979-02-15	10.06
1979-03-15	10.09
1979-04-15	10.01
1979-05-15	10.24
1979-06-15	10.29
1979-07-15	10.47
1979-08-15	10.94
1979-09-15	11.43
1979-10-15	13.77
1979-11-15	13.18
1979-12-15	13.78
1980-01-15	13.82
1980-02-15	14.13
1980-03-15	17.19
1980-04-15	17.61
1980-05-15	10.98
1980-06-15	9.47
1980-07-15	9.03
1980-08-15	9.61
1980-09-15	10.87
1980-10-15	12.81
1980-11-15	15.85
1980-12-15	18.9
1981-01-15	19.08
1981-02-15	15.93
1981-03-15	14.7
1981-04-15	15.72
1981-05-15	18.52
1981-06-15	19.1
1981-07-15	19.04
1981-08-15	17.82
1981-09-15	15.87
1981-10-15	15.08
1981-11-15	13.31
1981-12-15	12.37
1982-01-15	13.22
1982-02-15	14.78
1982-03-15	14.68
1982-04-15	14.94
1982-05-15	14.45
1982-06-15	14.15
1982-07-15	12.59
1982-08-15	10.12
1982-09-15	10.31
1982-10-15	9.71
1982-11-15	9.2
1982-12-15	8.95
1983-01-15	8.68
1983-02-15	8.51
1983-03-15	8.77
1983-04-15	8.8
1983-05-15	8.63
1983-06-15	8.98
1983-07-15	9.37
1983-08-15	9.56
1983-09-15	9.45
1983-10-15	9.48
1983-11-15	9.34
1983-12-15	9.47
1984-01-15	9.56
1984-02-15	9.59
1984-03-15	9.91
1984-04-15	10.29
1984-05-15	10.32
1984-06-15	11.06
1984-07-15	11.23
1984-08-15	11.64
1984-09-15	11.3
1984-10-15	9.99
1984-11-15	9.43
1984-12-15	8.38
1985-01-15	8.35
1985-02-15	8.5
1985-03-15	8.58
1985-04-15	8.27
1985-05-15	7.97
1985-06-15	7.53
1985-07-15	7.88
1985-08-15	7.9
1985-09-15	7.92
1985-10-15	7.99
1985-11-15	8.05
1985-12-15	8.27
1986-01-15	8.14
1986-02-15	7.86
1986-03-15	7.48
1986-04-15	6.99
1986-05-15	6.85
1986-06-15	6.92
1986-07-15	6.56
1986-08-15	6.17
1986-09-15	5.89
1986-10-15	5.85
1986-11-15	6.04
1986-12-15	6.91
1987-01-15	6.43
1987-02-15	6.1
1987-03-15	6.13
1987-04-15	6.37
1987-05-15	6.85
1987-06-15	6.72
1987-07-15	6.58
1987-08-15	6.73
1987-09-15	7.22
1987-10-15	7.29
1987-11-15	6.69
1987-12-15	6.77
1988-01-15	6.83
1988-02-15	6.58
1988-03-15	6.58
1988-04-15	6.87
1988-05-15	7.09
1988-06-15	7.51
1988-07-15	7.75
1988-08-15	8.01
1988-09-15	8.19
1988-10-15	8.3
1988-11-15	8.34
1988-12-15	8.76
1989-01-15	9.12
1989-02-15	9.36
1989-03-15	9.85
1989-04-15	9.84
1989-05-15	9.81
1989-06-15	9.53
1989-07-15	9.24
1989-08-15	8.99
1989-09-15	9.02
1989-10-15	8.84
1989-11-15	8.55
1989-12-15	8.45
1990-01-15	8.23
1990-02-15	8.24
1990-03-15	8.28
1990-04-15	8.26
1990-05-15	8.18
1990-06-15	8.29
1990-07-15	8.15
1990-08-15	8.13
1990-09-15	8.2
1990-10-15	8.11
1990-11-15	7.81
1990-12-15	7.31
1991-01-15	6.91
1991-02-15	6.25
1991-03-15	6.12
1991-04-15	5.91
1991-05-15	5.78
1991-06-15	5.9
1991-07-15	5.82
1991-08-15	5.66
1991-09-15	5.45
1991-10-15	5.21
1991-11-15	4.81
1991-12-15	4.43
1992-01-15	4.03
1992-02-15	4.06
1992-03-15	3.98
1992-04-15	3.73
1992-05-15	3.82
1992-06-15	3.76
1992-07-15	3.25
1992-08-15	3.3
1992-09-15	3.22
1992-10-15	3.1

Carry against the cost of holding grain — Storage estimate

x	Storage estimate
1959-07-01	1
1970-07-01	1
1979-07-01	2.2
2000-01-01	4.5
2002-10-01	4.5

Source: CBOT daily data via TurtleTrader; author's calculations. Interest is the effective federal funds rate (Federal Reserve) over the months between the two delivery dates. Full carry is interest p

The shape of the curve

The chart below shows every contract trading on six dates, with two dashed lines for comparison. They show what the curve would look like if the market knew nothing about the future and expected the price to stay where it was. Each later contract would then cost today’s price plus the cost of holding grain until its delivery: the interest on the money, and the storage. The lower dashed line adds interest alone, at that day’s federal funds rate. The upper one adds storage as well, which is full carry. Where the futures prices sit on the full-carry line, the market was pricing nothing but the cost of storage. Where they sit below it, the market was paying to have grain now rather than later, which is a bet that today’s tightness will ease.

At the lows of 1977 and 2000 the futures prices sat almost exactly on the full-carry line. In August 1977 the contract a year out was 250½ cents against a full-carry price of 252½; in August 2000 July 2001 was 289¼ against 291. Those were markets with plenty of grain and no view beyond the cost of storing it. In November 1980, at the peak, March was on the full-carry line too, May a little below it, and only the contracts after the next harvest fell well below. At the 1973 boom and the 1996 squeeze the futures prices fell far below even the interest-only line: in August 1973 July 1974 was 340½ cents against a full-carry price of about 561. The market was telling anyone who would listen that the shortage would not last. At the 1986 low the curve was below full carry and slightly inverted, even though prices were the lowest in nine years. In August 2000 the contract nearly two years out was 43% above the nearest one, a little below the 360 cents that interest and storage would have justified.

The futures curve at six turning points — Aug 1973

x	Futures prices	Full carry: interest plus storage	Interest only
Sep 73	500.5	500.5	500.5
Dec 73	487	518.2	514
Mar 74	473.5	536.3	527.8
May 74	450	548.5	537.1
Jul 74	340.5	560.7	546.4

The futures curve at six turning points — Aug 1977

x	Futures prices	Full carry: interest plus storage	Interest only
Sep 77	222.25	222.2	222.2
Dec 77	233	231.3	225.5
Mar 78	241.75	240.5	228.9
May 78	246.25	246.4	231
Jul 78	250.5	252.6	233.3
Sep 78	255.5	258.9	235.6

The futures curve at six turning points — Nov 1980

x	Futures prices	Full carry: interest plus storage	Interest only
Dec 80	524.5	524.5	524.5
Mar 81	553	554.4	547.3
May 81	562.25	573.9	562.2
Jul 81	543.5	594.8	578
Sep 81	553	614.6	593.1
Dec 81	563	644.2	615.7

The futures curve at six turning points — Jul 1986

x	Futures prices	Full carry: interest plus storage	Interest only
Jul 86	246.5	246.5	246.5
Sep 86	240.5	255.1	249.3
Dec 86	245.25	268.4	253.7
Mar 87	243.75	281.7	258
May 87	234.5	290.4	260.9
Jul 87	226.5	299.8	263.9

The futures curve at six turning points — Apr 1996

x	Futures prices	Full carry: interest plus storage	Interest only
May 96	716.5	716.5	716.5
Jul 96	617	731.3	722.9
Sep 96	608	745.3	729
Dec 96	613	767	738.5
Mar 97	599	788.4	747.8
May 97	541.5	803.4	754.3
Jul 97	450	818.4	760.9
Dec 97	460	853.9	776.3
Jul 98	425	905.1	798.6

The futures curve at six turning points — Aug 2000

x	Futures prices	Full carry: interest plus storage	Interest only
Sep 00	233.5	233.5	233.5
Dec 00	252.75	250.8	237.3
Mar 01	269.25	267.9	241.1
May 01	280	279.5	243.6
Jul 01	289.25	290.9	246.2
Sep 01	298	302.8	248.8
Dec 01	308	320.1	252.6
Jul 02	334	360	261.4

Source: CBOT daily data via TurtleTrader; author's calculations. Both dashed lines start from the nearest contract's price and add the cost of holding grain from its delivery to each later delivery, u

What the spread meant for anyone holding wheat

This is where the cost of rolling, described above, comes from. A holder who rolls sells the nearest contract and buys the next. In carry, the next contract is dearer and tends to drift down towards the nearest as it approaches delivery. In an inversion it is cheaper and tends to drift up.

The data bears this out. In months that began with the market inverted, the contract held rose at an annualised 9.7% on average. In months that began in deep carry, with the next contract more than 3% dearer, it fell at 8.4% a year. Wheat spent more time in carry than inverted, so the carry months won.

Holding paid when the market was inverted

x	Annualised change
Inverted	9.7
Mild carry (0 to −3%)	-1.6
Deep carry (below −3%)	-8.4

Source: CBOT daily data via TurtleTrader; author's calculations. Based on the rolled series: 143 months that began inverted, 230 in mild carry and 144 in deep carry. Before costs and interest on margi

Old crop against new crop

In Chicago the May contract is the last one filled from the previous year’s harvest, and July is the first filled from the new one. The gap between them is a direct measure of how scarce old grain is before the harvest. On the first trading day of April, May was above July in 25 of the 43 years. The largest premiums were in 1986 (52½ cents), 1964 (45¾), 1993 (38½) and 1996 (34½). From 1998 to 2002, years of large stocks and low prices, July was above May every year.

Old crop against new crop

x	May minus July
1960	23.38
1961	8.5
1962	-2.38
1963	18.62
1964	45.75
1965	5.5
1966	2.62
1967	0
1968	-3
1969	-0.12
1970	7.5
1971	7.25
1972	10.38
1973	10.5
1974	22
1975	14.25
1976	-6.5
1977	-7.5
1978	-1.75
1979	12.25
1980	-11.5
1981	-5.75
1982	-7
1983	-8
1984	17.25
1985	17.5
1986	52.5
1987	11.25
1988	-8
1989	13.5
1990	17.25
1991	-8.5
1992	14.75
1993	38.5
1994	9.25
1995	5.25
1996	34.5
1997	3
1998	-10
1999	-9.5
2000	-11.5
2001	-11.5
2002	-4.25

Source: CBOT daily data via TurtleTrader; author's calculations.

When the nearby contract ran away

Near expiry, a futures contract has to converge on the price of grain available for delivery now. Usually that makes little difference to the gap with the next contract. From the start of the month before delivery to the last day both traded, the expiring contract gained on the next one in 60% of cases, but by a median of just 1¼ cents.

Occasionally it ran away. The expiring contract gained more than 20 cents on the next eight times. The largest were May 1986 (47 cents), March 1993 (44), March and May 1990 (34½ and 29¼), March 1986 (29) and May 1963 (23½). The clearest example is May 1996. On 26 April it closed at 716½ cents, the highest close in the data, while July closed at 617. A trader who was short May and could not find grain to deliver would have had to buy back at whatever price was offered. It can go the other way: in its final weeks in 1973 the September contract lost 36¾ cents against December.

May 1996 ran away from July

x	May 1996 (W96K)	July 1996 (W96N)
1996-01-02	479	446
1996-01-03	479.5	448.5
1996-01-04	473	441
1996-01-05	471	437.75
1996-01-08	460	427.5
1996-01-09	468.25	432
1996-01-10	466.75	430.25
1996-01-11	460.75	423.5
1996-01-12	469.5	428.75
1996-01-15	468.5	428.25
1996-01-16	453.5	415.5
1996-01-17	454.25	418
1996-01-18	456.5	422.5
1996-01-19	460.5	426
1996-01-22	455.75	424.5
1996-01-23	464	430.5
1996-01-24	462.75	429.5
1996-01-25	460.5	425.5
1996-01-26	471.5	432.75
1996-01-29	481.5	442.75
1996-01-30	489.75	453
1996-01-31	485.5	447
1996-02-01	489	453.25
1996-02-02	496.25	456.5
1996-02-05	488.75	448
1996-02-06	496.75	457
1996-02-07	489.5	452.25
1996-02-08	486.25	450.25
1996-02-09	490	452
1996-02-12	493.25	454.75
1996-02-13	496	456.5
1996-02-14	504.25	461.75
1996-02-15	500.5	460
1996-02-16	500.5	458.5
1996-02-20	492.5	452.5
1996-02-21	493.25	456.5
1996-02-22	483	447.75
1996-02-23	488	454
1996-02-26	493.5	462.25
1996-02-27	493	463.25
1996-02-28	496.25	464
1996-02-29	501.5	461.75
1996-03-01	502.5	463.5
1996-03-04	501.5	467.25
1996-03-05	494.5	457
1996-03-06	488	454
1996-03-07	495	459.5
1996-03-08	493.75	459.5
1996-03-11	491.5	458.5
1996-03-12	483	452
1996-03-13	484.5	447.75
1996-03-14	480.5	448.75
1996-03-15	472.25	441
1996-03-18	473.75	442.25
1996-03-19	469.25	443.75
1996-03-20	481	450
1996-03-21	480.75	446.5
1996-03-22	481.75	448
1996-03-25	490.75	456.25
1996-03-26	503	471.25
1996-03-27	500.75	469.75
1996-03-28	497.5	467
1996-03-29	499.25	470.75
1996-04-01	511.5	477
1996-04-02	512	477
1996-04-03	523	487.75
1996-04-04	522.5	487
1996-04-08	525.25	492
1996-04-09	529.75	500
1996-04-10	549.75	520
1996-04-11	563.5	536.5
1996-04-12	582.5	554.5
1996-04-15	586.75	550.75
1996-04-16	566.75	531.25
1996-04-17	571	539
1996-04-18	600.5	567
1996-04-19	608	574.5
1996-04-22	628	594.5
1996-04-23	653.5	615.5
1996-04-24	676.5	614
1996-04-25	696.5	628.5
1996-04-26	716.5	617
1996-04-29	651.5	597
1996-04-30	641.5	567
1996-05-01	676	597
1996-05-02	620	567
1996-05-03	622.5	562
1996-05-06	627	556.5
1996-05-07	649	571
1996-05-08	663	591
1996-05-09	657.25	597
1996-05-10	647	580
1996-05-13	654	588
1996-05-14	668	583.25
1996-05-15	670	582.25
1996-05-16	670	578
1996-05-17	676	589
1996-05-20	625	585
1996-05-21	596	576.25

Source: CBOT daily data via TurtleTrader; author's calculations. May closed at 716½ on 26 April and traded as high as 717 on 29 April 1996, the highest prices in the data.

The widest gaps between neighbouring contracts

Date	Nearer	Price	Next	Price	Gap
24 Aug 1973	May 1974	470.00	Jul 1974	360.50	109.5¢
26 Apr 1996	May 1996	716.50	Jul 1996	617.00	99.5¢
20 May 1986	May 1986	358.00	Jul 1986	258.50	99.5¢
26 Apr 1996	May 1997	541.50	Jul 1997	450.00	91.5¢
25 Apr 1996	Mar 1997	612.00	May 1997	538.00	74.0¢
22 Mar 1993	Mar 1993	413.50	May 1993	341.00	72.5¢
18 May 1993	May 1993	364.75	Jul 1993	297.00	67.8¢
19 Mar 1986	Mar 1986	370.00	May 1986	303.50	66.5¢

Closing prices, cents per bushel. The gap is the nearer contract minus the next one. Source: CBOT daily data via TurtleTrader; author's calculations.

Trading the spread

A spread trade buys one contract and sells another, so it is exposed to the gap between them rather than to the price of wheat. The best spread trades in the data were bets that an extreme inversion would unwind. Selling May 1974 and buying July 1974 at the August 1973 extreme, when May was 109½ cents above July, and holding until May 1974, when it was 8½ cents below, made $5,900 a pair. The same trade in the 1997 contracts at the April 1996 peak made $5,175. The trade in the other direction paid too, until it didn’t: buying May 1996 against July from June 1995 made $3,825 by the April peak, and gave back $3,988 in the next four weeks.

The best spread trades, with hindsight

Trade	Pair	In	Spread	Out	Spread	Gain per pair
Sell near, buy next	May 74 / Jul 74	23 Aug 1973	109.50¢	14 May 1974	-8.50¢	$5,900
Sell near, buy next	May 97 / Jul 97	26 Apr 1996	91.50¢	29 Apr 1997	-12.00¢	$5,175
Sell near, buy next	Mar 97 / May 97	25 Apr 1996	74.00¢	19 Mar 1997	-13.00¢	$4,350
Buy near, sell next	May 86 / Jul 86	7 Jun 1985	13.25¢	20 May 1986	99.50¢	$4,312
Buy near, sell next	May 74 / Jul 74	24 Jul 1973	25.50¢	23 Aug 1973	109.50¢	$4,200
Sell near, buy next	May 96 / Jul 96	26 Apr 1996	99.50¢	21 May 1996	19.75¢	$3,988
Buy near, sell next	May 96 / Jul 96	6 Jun 1995	23.00¢	26 Apr 1996	99.50¢	$3,825
Buy near, sell next	Mar 93 / May 93	19 Aug 1992	0.75¢	22 Mar 1993	72.50¢	$3,588

Spread is the nearer contract minus the next, in cents per bushel, at the close. One cent is $50 on a pair of 5,000-bushel contracts. Before costs. Source: CBOT daily data via TurtleTrader; author's c

Was it priced in?

The later contracts are the market’s price today for wheat delivered months ahead. So the curve can be read as a record of what the market expected, and checked against what happened. For each big move, we took the nearest contract’s price at the start and compared it with a later contract, the one expiring closest to the end of the move. The later contract’s premium or discount at the start is the part of the move the market had already priced in. What that contract did afterwards is the part it had not.

A few moves were largely in the curve before they happened. In August 2000 the nearest contract was at 233½ cents, but July 2002 was already at 334. When July 2002 expired it was at 315¼, below where it had started: the whole rise to mid-2002 was priced in, and only the drought spike of August and September 2002 was new. About 70% of the 1964–65 fall, 80% of the first year of the 1989–90 decline, 60% of the 1982–83 rally and 55% of the fall from the 1996 peak to mid-1998 were also in the curve at the start.

Most of the big moves were not. When the Soviet deal was announced in July 1972, May 1973 wheat was only 3% above the nearest contract. It expired 73% higher. The collapses of 1975–76 and 1980–81, the rally of 1986–87, the 1990 slump after the record crop and the 1995–96 surge were all either absent from the curve or the reverse of what it showed. In November 1980, at the peak, December 1981 was priced above the nearest contract; it expired 35% lower. In March 1995 the curve pointed down; July 1996 went on to rise 41%.

There is a caution in reading carry as a forecast. A curve in steep carry, as in 2000, mostly reflects the cost of storing and financing grain when there is plenty of it, and the nearest price tends to rise towards later contracts as they approach delivery. In that sense the 2000–02 rise was “priced in” because stocks were large, not because anyone foresaw the drought. The moves that surprised the market were the weather and demand shocks: the Soviet purchases, the harvests of 1976 and 1990, and the short crops of 1995–96.

Interest and storage sharpen this. Of the 100½-cent premium on July 2002 wheat in August 2000, financing at the federal funds rate accounts for about 17½ cents and storage for about 104 cents: the curve stood at 83% of full carry, the price of holding grain the world had too much of. The same is true of every rally the curve partly or fully anticipated. The 1977–78, 1982–83 and 1991 rallies and the 2000–02 rise all began with the later contract at 70% to 85% of full carry, so the part of each rise that was priced in was largely the nearest price climbing to meet the cost of storing a surplus. The surprises began somewhere else entirely. Before the 1972–73 boom the curve was at 21% of full carry; before the 1995–96 surge it was inverted.

At high interest rates even a flat curve is a sign of tightness. In November 1980, with the funds rate averaging almost 17% over the following year, interest and storage together would have put December 1981 about $1.33 above the nearest contract. It was only 10 cents above, 8% of full carry. Measured against the cost of holding grain, the curve was sloping steeply down, which is how a market that treats grain as scarce now, and expects that to ease, looks. The price fell 35% by the time December 1981 expired.

What the curve saw coming, and what it did not

x	Priced in by the curve	Not priced in	Total
1964–65 fall	-49.25	-20.62	-69.87
1972–73 boom	4.62	113.25	117.87
1974 crash	-55	-141	-196
1975–76 collapse	-6.5	-101.75	-108.25
1977–78 rally	33.25	85.5	118.75
1980–81 fall	10	-198.75	-188.75
1982–83 rally	33.5	22.5	56
1983–84 slide	3.75	-90	-86.25
1986–87 rally	-14	25.75	11.75
1989–90 fall	-35.25	-9	-44.25
1990 collapse	9.75	-98.75	-89
1991 rally	37.25	123.25	160.5
1992–93 fall	-21.5	-24.5	-46
1995–96 surge	-22.25	133.75	111.5
1996–98 fall	-203.5	-166.75	-370.25
2000–02 rally	100.5	-18.75	81.75

Source: CBOT daily data via TurtleTrader; author's calculations. For each episode the later contract is the one expiring closest to the end of the move among those trading at the start. Bars pointing

Was it priced in?

Episode	Start	Nearest	Later contract	Its price at start	Its final price	Interest to that date	Storage to that date	Curve as % of full carry	Share priced in	Verdict
1964–65 fall	14 Feb 1964	223.62	Dec 1964	174.38	153.75	6.7	10.2	-291%	70%	Mostly
1972–73 boom	7 Jul 1972	150.88	May 1973	155.50	268.75	7.7	13.9	21%	4%	No
1974 crash	25 Feb 1974	628.00	Jul 1974	573.00	432.00	28.3	7.3	-154%	28%	Partly
1975–76 collapse	22 Aug 1975	463.00	Jul 1976	456.50	354.75	22.7	19.2	-16%	6%	No
1977–78 rally	12 Aug 1977	222.25	Sep 1978	255.50	341.00	17.4	26.9	75%	28%	Partly
1980–81 fall	20 Nov 1980	553.00	Dec 1981	563.00	364.25	101.8	31.5	8%	-5%	No: the curve pointed the wrong way
1982–83 rally	21 Oct 1982	301.75	Jul 1983	335.25	357.75	20.2	23.4	77%	60%	Mostly
1983–84 slide	22 Aug 1983	423.25	Sep 1984	427.00	337.00	47.1	35.3	5%	-4%	No: the curve pointed the wrong way
1986–87 rally	1 Jul 1986	240.50	Jul 1987	226.50	252.25	16.4	38.7	-25%	-119%	No: the curve pointed the wrong way
1989–90 fall	6 Jan 1989	448.75	Mar 1990	413.50	404.50	49.5	48.2	-36%	80%	Mostly
1990 collapse	1 Mar 1990	357.25	Mar 1991	367.00	268.25	29.5	43.5	13%	-11%	No: the curve pointed the wrong way
1991 rally	15 Jan 1991	246.25	Dec 1991	283.50	406.75	13.2	39.4	71%	23%	Partly
1992–93 fall	10 Feb 1992	459.50	Mar 1993	438.00	413.50	17.5	49.1	-32%	47%	Mostly
1995–96 surge	1 Mar 1995	348.50	Jul 1996	326.25	460.00	27.8	67.6	-23%	-20%	No: the curve pointed the wrong way
1996–98 fall	25 Apr 1996	628.50	Jul 1998	425.00	258.25	77.4	113.3	-107%	55%	Mostly
2000–02 rally	7 Aug 2000	233.50	Jul 2002	334.00	315.25	17.5	104.2	83%	123%	Fully

Cents per bushel, closing prices. Share priced in is the later contract's premium or discount at the start divided by the whole move to its final price. Interest to that date is the cost of financing

Sudden news could not be priced in beforehand, but the curve shows how lasting the market thought it would be. On most shock days contracts a year out moved almost as much as the nearest one. The embargo, Chernobyl, Black Monday and the coup were each priced at first as if their effect would last, and most of each move was reversed within days. After 9/11 the whole curve fell together too, and that fall was not quickly reversed. The exception was the spring of 1996. May 1996 rose 43% while July 1997 rose only 11%: the market treated that shortage as temporary, which is why about half of the fall that followed was already in the curve. The 2002 drought cannot be checked this way, because the data stops at the December 2002 contract.

Most shocks moved the whole curve

x	Nearest contract	About a year out
1972 Soviet deal	39	38.9
1980 embargo	-6.8	-5.2
Chernobyl	15.7	13.9
Black Monday	-3.7	-3
1988 drought	20.8	16.7
Soviet coup	-5.2	-4.3
1996 crop scare	42.9	11.3
9/11	-6.4	-4.3

Source: CBOT daily data via TurtleTrader; author's calculations. Later contracts: 1972 Soviet deal, May 1973; 1980 embargo, Mar 1981; Chernobyl, May 1987; Black Monday, Jul 1988; 1988 drought, Mar 198

The calendar

Wheat has a seasonal rhythm. February was the weakest month: the rolled series rose in only 10 of 43 Februaries, with an average fall of 1.5%. That is too lopsided to be chance. August to October was the strongest stretch: August averaged a gain of 1.8%, and October rose in 28 of 44 years.

The December contract shows the harvest effect. From the start of May to the end of July, while the winter wheat harvest comes in, it gained 0.2% on average and rose in only 18 of 42 years. From August to November it gained 3.3% on average. The pattern is real but small next to the swings above, and a single bad year wipes out several good ones.

February weak, autumn firm — Average change

x	Average change
Jan	-0.97
Feb	-1.47
Mar	-0.5
Apr	0.08
May	-0.89
Jun	-0.34
Jul	0.49
Aug	1.84
Sep	0.69
Oct	0.85
Nov	0.07
Dec	-0.12

February weak, autumn firm — Share of years up

x	Years up
Jan	44
Feb	23
Mar	42
Apr	49
May	42
Jun	35
Jul	44
Aug	61
Sep	59
Oct	64
Nov	53
Dec	51

Source: CBOT daily data via TurtleTrader; author's calculations. Monthly change in the rolled series, 1959–2002. The rolled series holds the nearest contract and switches to the next on the 15th of th

Following the trend

This data comes from TurtleTrader, named after the traders Richard Dennis trained in the 1980s to follow simple breakout rules. One of those rules is easy to test here: buy when the price makes a 55-day high, sell short when it makes a 55-day low, and get out on a 20-day move the other way.

Applied to wheat from 1959 to 2002, the rule multiplied its stake 5.7 times, about 4% a year, against a loss of two-thirds from holding. Those figures leave out interest on the cash behind the position. With it, the rule multiplied its stake 94 times, 11.1% a year, against 16.7 times for cash alone and 5.3 times for holding wheat. It was wrong more often than it was right: only 39% of its 193 trades made money. But the average winner, at 8.8%, was more than twice the average loser, at 3.8%. Its best trade went long on 5 July 1972, three days before the Soviet deal was announced, and made 58%.

The returns were uneven. The rule did well in the 1960s, 1970s and 1990s and lost money in the 1980s and from 2000 to 2002. In the 1970s simply holding did as well. A faster version, using 20-day and 10-day breakouts, made 3.1 times its stake from 465 trades, and with more than twice as many trades it would have paid more in costs.

A simple breakout rule beat holding by a factor of 18 — Before interest

x	55/20 breakout	Holding and rolling
1959-09-30	100	100
1959-12-31	99.7	102.1
1960-03-31	99.2	102.9
1960-06-30	98.8	101.8
1960-09-30	99.4	103.1
1960-12-30	104.7	108.6
1961-03-30	108.5	103.5
1961-06-30	112.8	102.4
1961-09-29	113.1	103.4
1961-12-29	111.8	101.9
1962-03-30	113.8	100
1962-06-29	114.8	101.4
1962-09-28	126	91.9
1962-12-31	119.5	95.4
1963-03-29	115.7	93.8
1963-06-28	111.3	93.5
1963-09-30	120.9	100.5
1963-12-31	123.3	106.4
1964-03-31	121.8	101.5
1964-06-30	122.1	96.7
1964-09-30	118.9	95.7
1964-12-31	120.2	94.8
1965-03-31	118.7	93.2
1965-06-30	118.1	93.1
1965-09-30	127.5	101.5
1965-12-30	123.1	104.6
1966-03-31	127.6	96.9
1966-06-30	139.4	116.3
1966-09-30	144.9	106.7
1966-12-30	146.1	102
1967-03-31	138.9	100.8
1967-06-30	143.6	86.8
1967-09-29	148.9	82.9
1967-12-29	154.7	76.1
1968-03-29	148.2	74.9
1968-06-28	176.2	62.8
1968-09-30	200.8	54.8
1968-12-31	190.9	59.4
1969-03-28	199.7	54.1
1969-06-30	184.1	53.9
1969-09-30	184.4	54.5
1969-12-31	191.2	58.8
1970-03-31	185.7	59.4
1970-06-30	180.6	61.5
1970-09-30	198.1	70.1
1970-12-31	199.5	69.4
1971-03-31	196.9	66.8
1971-06-30	179.5	68.2
1971-09-30	176.7	62.6
1971-12-30	177.6	72.3
1972-03-30	172.2	74
1972-06-30	167.8	72.8
1972-09-29	233.6	104.1
1972-12-29	283.7	126.4
1973-03-30	218.2	109.9
1973-06-29	223.9	140.4
1973-09-28	372.3	265.4
1973-12-31	373.4	316.8
1974-03-29	421.5	262.9
1974-06-28	414.3	264
1974-09-30	427.7	306.8
1974-12-31	444.4	274.7
1975-03-31	475	235.4
1975-06-30	515.2	189.7
1975-09-30	548.4	254.8
1975-12-31	622.8	192.7
1976-03-31	558.4	194
1976-06-30	507.1	200.6
1976-09-30	570.2	148.6
1976-12-30	612.7	138.3
1977-03-31	576.3	132.1
1977-06-30	648.1	114.4
1977-09-30	672.9	109.5
1977-12-30	676.7	117.3
1978-03-31	709.8	130.6
1978-06-30	614.3	129.5
1978-09-29	608.8	141.1
1978-12-29	588.1	145.5
1979-03-30	567.1	151.9
1979-06-29	699.6	199.3
1979-09-28	694.8	201.8
1979-12-31	599	194.5
1980-03-31	561.7	160.1
1980-06-30	502.9	172.8
1980-09-30	510.2	192.1
1980-12-31	530.6	182.5
1981-03-31	617.1	155.1
1981-06-30	683.3	131.7
1981-09-30	668.9	133.4
1981-12-31	700.9	116
1982-03-31	760.5	106.2
1982-06-30	784.8	94.9
1982-09-30	923.2	80
1982-12-30	900.4	79.1
1983-03-31	773.9	83.7
1983-06-30	732.4	77.9
1983-09-30	702.8	77.4
1983-12-30	742.9	72.8
1984-03-30	766.4	74.1
1984-06-29	720	73.8
1984-09-28	714.2	67.8
1984-12-31	672.9	67
1985-03-29	666.4	70.1
1985-06-28	624.1	67.6
1985-09-30	673.3	59.9
1985-12-31	736.6	69.3
1986-03-31	688.1	71.8
1986-06-30	620.1	68.9
1986-09-30	583.2	73.8
1986-12-31	632.7	80.1
1987-03-31	598.2	85.9
1987-06-30	575.4	82.7
1987-09-30	552.3	86
1987-12-31	520.7	88.6
1988-03-31	520.2	84.8
1988-06-30	588	106.8
1988-09-30	508.6	108.2
1988-12-30	500	113.9
1989-03-31	491.7	104.4
1989-06-30	472.7	106.4
1989-09-29	446.5	103.2
1989-12-29	436.3	102.7
1990-03-30	460.9	93.4
1990-06-29	432	93.6
1990-09-28	536.4	74.6
1990-12-31	601	66
1991-03-28	610.8	69.9
1991-06-28	601.7	63.6
1991-09-30	589.5	73.6
1991-12-31	715.1	89.3
1992-03-31	747.9	84.2
1992-06-30	670.6	79.6
1992-09-30	693.5	76.5
1992-12-31	709.6	78
1993-03-31	642.8	81.8
1993-06-30	636	74.6
1993-09-30	610	80.6
1993-12-30	704.4	95.8
1994-03-31	716.7	86.4
1994-06-30	564	85.7
1994-09-30	589	102.8
1994-12-30	557.1	99.4
1995-03-31	558.7	86.9
1995-06-30	675.3	110.2
1995-09-29	727.1	118.7
1995-12-29	712.4	122.4
1996-03-29	636.7	124.9
1996-06-28	714	125.6
1996-09-30	791	111.8
1996-12-31	852.1	99.3
1997-03-31	812.5	104.2
1997-06-30	854.3	84
1997-09-30	759.2	85.8
1997-12-31	848.6	75.5
1998-03-31	826.9	72
1998-06-30	862.7	59.5
1998-09-30	961.1	52.6
1998-12-31	947.5	51.1
1999-03-31	907.9	49.8
1999-06-30	928.4	43.2
1999-09-30	857.9	42.3
1999-12-30	946.8	35.7
2000-03-31	840.3	36.2
2000-06-30	845.6	34.2
2000-09-29	814.9	31
2000-12-29	696.5	30.6
2001-03-30	651.4	26.7
2001-06-29	651.9	24.8
2001-09-28	571.3	24.6
2001-12-31	507.7	25.4
2002-03-28	475.7	24.5
2002-06-28	465.3	25.7
2002-09-30	570.3	31.5
2002-10-01	570.3	31.5

A simple breakout rule beat holding by a factor of 18 — With interest on the cash

x	55/20 breakout, plus interest	Holding and rolling, plus interest	Cash
1959-09-30	100.1	100.9	100.9
1959-12-31	100.8	104	101.9
1960-03-31	101.4	106	103
1960-06-30	101.9	105.8	103.9
1960-09-30	103.2	107.9	104.7
1960-12-30	109.4	114.4	105.3
1961-03-30	114	109.5	105.8
1961-06-30	119.1	108.9	106.3
1961-09-29	119.9	110.4	106.8
1961-12-29	119.2	109.4	107.4
1962-03-30	122.1	108.1	108.1
1962-06-29	123.9	110.4	108.8
1962-09-28	137.1	100.7	109.6
1962-12-31	130.9	105.4	110.4
1963-03-29	127.7	104.4	111.2
1963-06-28	123.8	104.7	112.1
1963-09-30	135.6	113.6	113
1963-12-31	139.5	121.4	114
1964-03-31	139	116.8	115
1964-06-30	140.6	112.2	116.1
1964-09-30	138.1	112.1	117.1
1964-12-31	141	112	118.2
1965-03-31	140.6	111.2	119.3
1965-06-30	141.3	112.2	120.6
1965-09-30	154.2	123.7	121.8
1965-12-30	150.4	128.8	123.1
1966-03-31	157.7	120.8	124.6
1966-06-30	174.5	146.7	126.1
1966-09-30	183.9	136.5	127.9
1966-12-30	188	132.3	129.7
1967-03-31	181	132.3	131.3
1967-06-30	189	115.2	132.6
1967-09-29	197.9	111	133.9
1967-12-29	207.7	103	135.3
1968-03-29	201.4	102.7	137
1968-06-28	243.2	87.3	139.1
1968-09-30	281.4	77.4	141.2
1968-12-31	271.6	85.1	143.4
1969-03-28	288.7	78.9	145.7
1969-06-30	271.9	80.2	148.9
1969-09-30	278.6	83.1	152.3
1969-12-31	295.7	91.7	155.8
1970-03-31	293.3	94.6	159.1
1970-06-30	290.9	99.9	162.4
1970-09-30	324.6	115.8	165.2
1970-12-31	331.6	116.2	167.5
1971-03-31	330.5	113	169.2
1971-06-30	304.7	116.7	171.1
1971-09-30	304.2	108.7	173.5
1971-12-30	309.6	126.9	175.6
1972-03-30	302.8	131.1	177.2
1972-06-30	298.4	130.5	179.2
1972-09-29	420.3	188.9	181.3
1972-12-29	517	232.3	183.7
1973-03-30	404.3	205.2	186.7
1973-06-29	423	267.5	190.5
1973-09-28	722.2	518.9	195.6
1973-12-31	743.7	635.9	200.8
1974-03-29	858.7	539.7	205.4
1974-06-28	868.1	557.6	211.3
1974-09-30	925	668.8	218.1
1974-12-31	984.5	613.5	223.4
1975-03-31	1069	533.9	226.9
1975-06-30	1175.3	436.3	230
1975-09-30	1270.8	595.2	233.7
1975-12-31	1463.4	456.6	236.9
1976-03-31	1328.2	465.2	239.9
1976-06-30	1222.2	487.4	243
1976-09-30	1392.8	365.9	246.3
1976-12-30	1515.2	344.9	249.4
1977-03-31	1442.3	333.4	252.4
1977-06-30	1643.1	292.6	255.7
1977-09-30	1731.6	284.1	259.5
1977-12-30	1770.2	309.5	263.8
1978-03-31	1888.7	350.5	268.3
1978-06-30	1664.9	353.9	273.3
1978-09-29	1684	393.6	278.9
1978-12-29	1666.6	415.8	285.7
1979-03-30	1648.8	445.2	293.1
1979-06-29	2086.7	599.5	300.8
1979-09-28	2130	623.7	309.2
1979-12-31	1902.6	622.7	320.3
1980-03-31	1853.2	532.7	332.7
1980-06-30	1713.7	593.6	343.6
1980-09-30	1782.7	676.7	352.3
1980-12-31	1929.9	669.4	366.7
1981-03-31	2339.8	593.2	382.3
1981-06-30	2709.7	526.6	399.9
1981-09-30	2774.5	558.3	418.3
1981-12-31	3010.3	502.7	433.1
1982-03-31	3383.9	476.6	448.7
1982-06-30	3622.9	442.1	465.5
1982-09-30	4383.1	383.2	478.8
1982-12-30	4376.3	388	490.2
1983-03-31	3845.1	419.7	501.1
1983-06-30	3721.2	399.7	512.4
1983-09-30	3658.1	406.6	525
1983-12-30	3959.9	391.6	537.6
1984-03-30	4186.5	408.8	550.9
1984-06-29	4039.3	417.8	565.8
1984-09-28	4123.5	395.1	582.4
1984-12-31	3981.5	400.3	596.7
1985-03-29	4025.2	427.6	609.2
1985-06-28	3846.6	420.3	621.6
1985-09-30	4236	380.6	634.5
1985-12-31	4730.3	449.3	647.7
1986-03-31	4507	474.8	660.6
1986-06-30	4133.5	463.4	672.3
1986-09-30	3950.1	504.8	683.1
1986-12-31	4353.5	556.3	693.9
1987-03-31	4181.3	605.7	705
1987-06-30	4090.2	593.1	716.9
1987-09-30	3995.4	627.6	729.5
1987-12-31	3834.3	658.1	742.6
1988-03-31	3895.3	641.1	755.2
1988-06-30	4483.2	821.7	769
1988-09-30	3957.8	849.9	784.8
1988-12-30	3974.9	913.5	801.8
1989-03-31	4003.6	857.5	821.1
1989-06-30	3945.1	895.6	841.5
1989-09-29	3813	889.1	861.1
1989-12-29	3808.3	904.2	880.1
1990-03-30	4107.3	840.1	898.6
1990-06-29	3930.5	859.7	917.5
1990-09-28	4982.3	699.5	936.7
1990-12-31	5696.8	631.8	955.9
1991-03-28	5880.6	679.3	970.9
1991-06-28	5879.8	627.3	985.5
1991-09-30	5847	736.8	1000.2
1991-12-31	7180.6	904.8	1012.7
1992-03-31	7586	862	1023
1992-06-30	6867.6	823.3	1032.9
1992-09-30	7162.5	797.6	1041.6
1992-12-31	7385.5	819	1049.7
1993-03-31	6742	865.9	1057.7
1993-06-30	6720.8	795.4	1065.8
1993-09-30	6496.4	866.9	1074.1
1993-12-30	7559.7	1038.1	1082.3
1994-03-31	7753.5	943.6	1091.1
1994-06-30	6163.5	944.7	1102
1994-09-30	6510	1147	1114.7
1994-12-30	6239.1	1123.2	1129.4
1995-03-31	6349.6	996.5	1146
1995-06-30	7792.2	1283.3	1163.6
1995-09-29	8512.9	1402	1180.7
1995-12-29	8463.6	1466.9	1198.1
1996-03-29	7667.1	1517.5	1214.4
1996-06-28	8712.6	1547.2	1230.6
1996-09-30	9786.7	1396.1	1247.8
1996-12-31	10685.9	1257.2	1264.7
1997-03-31	10324.9	1336.5	1281.5
1997-06-30	11008.4	1091.9	1299.5
1997-09-30	9923.3	1131.5	1318
1997-12-31	11249.1	1009.9	1336.7
1998-03-31	11112.8	976.3	1355.3
1998-06-30	11755.7	818.9	1374.2
1998-09-30	13284.3	734.1	1393.8
1998-12-31	13260.4	721.8	1411.3
1999-03-31	12857.7	711.3	1428.1
1999-06-30	13307.9	624.5	1445.4
1999-09-30	12458.2	619.7	1464.4
1999-12-30	13935.8	529.7	1484.3
2000-03-31	12548.4	546.3	1505.9
2000-06-30	12829.6	523.3	1530
2000-09-29	12568.8	482.8	1555.4
2000-12-29	10921.1	484.1	1581.2
2001-03-30	10361.1	428.7	1603.7
2001-06-29	10482.8	402.2	1621.5
2001-09-28	9270.5	402.7	1636.1
2001-12-31	8284.4	418.1	1645.3
2002-03-28	7795.1	405	1652.2
2002-06-28	7659.4	427.4	1659.6
2002-09-30	9429.8	526.2	1667.2
2002-10-01	9430.3	526.2	1667.3

Source: CBOT daily data via TurtleTrader; author's calculations. Breakout rule: long on a 55-day high, short on a 55-day low, exit on a 20-day low (long) or high (short), applied to the rolled series.

Where the rule made its money

Period	55/20 breakout	20/10 breakout	Holding and rolling	55/20 + interest	Holding + interest	Cash
1959–69	×1.91	×1.69	×0.59	×2.96	×0.92	×1.56
1970s	×3.13	×3.09	×3.31	×6.43	×6.79	×2.06
1980s	×0.73	×0.50	×0.53	×2.00	×1.45	×2.75
1990s	×2.17	×1.58	×0.35	×3.66	×0.59	×1.69
2000–02	×0.60	×0.76	×0.88	×0.68	×0.99	×1.12
1959–2002	×5.70	×3.12	×0.32	×94.30	×5.26	×16.67

Growth of $1 over each period. Before costs. Interest at the effective federal funds rate. Source: CBOT daily data via TurtleTrader; author's calculations.

When to sell stored grain

A farmer with wheat in their own bins at harvest faces the same question every day until the next one: sell now, or wait? We tested twelve rules over 42 seasons, 1960 to 2001. The wheat goes into store when the July contract expires, which stands in for harvest, and is not hedged. It must be sold by the time the May contract expires, just before the next harvest. A sale is made through the nearest futures contract and delivered when that contract expires, with interest charged until then at the federal funds rate. The cost of the bins themselves is left out. $100 is put in at the first harvest and reinvested at each one after.

The calendar did most of the work. Selling in the autumn caught the rise that usually follows harvest, the same seasonal pattern shown above. Holding until just before the next harvest gave it back: $100 became $1,664, no more than cash, with a worst season of −35%. The signals from the futures curve, which were so useful for storage and arbitrage, were poor guides here. They say whether the market will pay you to store grain, which tells you whether to hedge. They say nothing about which way the price will go.

The best of the twelve rules combined a trend signal with a deadline. Sell on the first day the price closes below its lowest close of the previous 40 trading days, and in any case sell when the December contract expires. Forty trading days is about two months, so the rule ignores ordinary dips and reacts only when a fall has become established. Because the 40 days are counted from harvest, the earliest it could act was about two months after harvest, which in practice meant mid-September. The low is measured on a price series adjusted for the switch from one contract to the next, so the jump between contracts does not set it off. After mid-November the nearest contract is March, so a sale from then on fixes the price immediately but delivers the grain in March.

The rule sold early in 27 of the 42 seasons: 12 times in September and five times each in October, November and December. In the other 15 it held to the December deadline, and in those seasons it made exactly what holding to December made. When it did sell early, it beat holding to December 15 times out of 27. Its real value was in the bad years. In 1976 it sold on 17 September at 310½ cents, below the harvest price but well above the 257½ at which December finished, so the season lost 14.9% instead of 29.6%. In 1975 it sold on 13 October at 406 cents, 50 cents above the harvest price, before December slid to 325. In 1981 it made 3.1% in a season when holding to December lost 14%. The cost came in rising markets. In 1973 it sold on 16 October at 422 cents, in the middle of the boom; December finished at 533, so the season made 29% instead of 65%.

How the rule works — 1976: cut a collapse

x	December 1976 contract	Lowest close of the previous 40 days
1976-07-22	362.5
1976-07-23	368.5
1976-07-26	361.75
1976-07-27	362.75
1976-07-28	363
1976-07-29	359.5
1976-07-30	355.5
1976-08-02	343
1976-08-03	346.75
1976-08-04	352
1976-08-05	350.25
1976-08-06	345
1976-08-09	337.75
1976-08-10	339.25
1976-08-11	338.25
1976-08-12	339.25
1976-08-13	340.5
1976-08-16	339.25
1976-08-17	331
1976-08-18	333.25
1976-08-19	338.75
1976-08-20	336.25
1976-08-23	339.5
1976-08-24	333.75
1976-08-25	327.25
1976-08-26	326.5
1976-08-27	325
1976-08-30	319.75
1976-08-31	323.5
1976-09-01	326.75
1976-09-02	333.25
1976-09-03	331.75
1976-09-07	341.5
1976-09-08	331.75
1976-09-09	333.75
1976-09-10	330.75
1976-09-13	318.75
1976-09-14	317
1976-09-15	322.25
1976-09-16	319.25
1976-09-17	310.5	317
1976-09-20	309	310.5
1976-09-21	307.75	309
1976-09-22	308.75	307.75
1976-09-23	312.75	307.75
1976-09-24	307.25	307.75
1976-09-27	302.5	307.25
1976-09-28	301	302.5
1976-09-29	292.25	301
1976-09-30	288.5	292.25
1976-10-01	284.25	288.5
1976-10-04	289.5	284.25
1976-10-05	291.5	284.25
1976-10-06	295.5	284.25
1976-10-07	297.5	284.25
1976-10-08	295.25	284.25
1976-10-11	291.25	284.25
1976-10-12	294.75	284.25
1976-10-13	308.75	284.25
1976-10-14	295	284.25
1976-10-15	289.25	284.25
1976-10-18	288.75	284.25
1976-10-19	291.75	284.25
1976-10-20	291	284.25
1976-10-21	286.75	284.25
1976-10-22	284.5	284.25
1976-10-25	280.75	284.25
1976-10-26	278.5	280.75
1976-10-27	275	278.5
1976-10-28	271.5	275
1976-10-29	275	271.5
1976-11-01	277	271.5
1976-11-03	272.25	271.5
1976-11-04	274	271.5
1976-11-05	271.5	271.5
1976-11-08	269.75	271.5
1976-11-09	265.25	269.75
1976-11-10	265	265.25
1976-11-11	255.75	265
1976-11-12	257.25	255.75
1976-11-15	261.5	255.75
1976-11-16	263	255.75
1976-11-17	260.25	255.75
1976-11-18	259	255.75
1976-11-19	259.5	255.75
1976-11-22	263.75	255.75
1976-11-23	261.75	255.75
1976-11-24	261.5	255.75
1976-11-26	257.75	255.75
1976-11-29	251.75	255.75
1976-11-30	254.25	251.75
1976-12-01	256	251.75
1976-12-02	256.75	251.75
1976-12-03	259.5	251.75
1976-12-06	264.75	251.75
1976-12-07	262.25	251.75
1976-12-08	266.5	251.75
1976-12-09	264.75	251.75
1976-12-10	263.25	251.75
1976-12-13	264.5	251.75
1976-12-14	264.75	251.75
1976-12-15	260.25	251.75
1976-12-16	261.25	251.75
1976-12-17	256.75	251.75
1976-12-20	257.5	251.75

How the rule works — 1975: sold near the top

x	December 1975 contract	Lowest close of the previous 40 days
1975-07-23	369.5
1975-07-24	383
1975-07-25	388.75
1975-07-28	403.5
1975-07-29	394
1975-07-30	378.75
1975-07-31	380.5
1975-08-01	383.25
1975-08-04	386.25
1975-08-05	384.25
1975-08-06	389
1975-08-07	409
1975-08-08	401
1975-08-11	399.5
1975-08-12	409
1975-08-13	422.5
1975-08-14	428
1975-08-15	433.5
1975-08-18	430
1975-08-19	441.25
1975-08-20	458
1975-08-21	460
1975-08-22	463
1975-08-25	459.5
1975-08-26	439.5
1975-08-27	441
1975-08-28	425.5
1975-08-29	425.5
1975-09-02	414.75
1975-09-03	428.5
1975-09-04	432.5
1975-09-05	432.75
1975-09-08	423
1975-09-09	421.5
1975-09-10	424.5
1975-09-11	417.5
1975-09-12	433.5
1975-09-15	426.5
1975-09-16	430.5
1975-09-17	443.5
1975-09-18	438.5	369.5
1975-09-19	437.75	378.75
1975-09-22	433	378.75
1975-09-23	425.5	378.75
1975-09-24	426.25	378.75
1975-09-25	437.5	378.75
1975-09-26	436.5	380.5
1975-09-29	428	383.25
1975-09-30	429.5	384.25
1975-10-01	429.5	384.25
1975-10-02	410.75	389
1975-10-03	413.5	399.5
1975-10-06	418	399.5
1975-10-07	421.5	399.5
1975-10-08	413.75	409
1975-10-09	415.25	410.75
1975-10-10	418.75	410.75
1975-10-13	406	410.75
1975-10-14	413.25	406
1975-10-15	404.5	406
1975-10-16	409.75	404.5
1975-10-17	405.75	404.5
1975-10-20	413	404.5
1975-10-21	395	404.5
1975-10-22	396.5	395
1975-10-23	392.25	395
1975-10-24	391.5	392.25
1975-10-27	379.25	391.5
1975-10-28	384.5	379.25
1975-10-29	390	379.25
1975-10-30	394.75	379.25
1975-10-31	386.25	379.25
1975-11-03	374.75	379.25
1975-11-04	379.25	374.75
1975-11-05	379.5	374.75
1975-11-06	373	374.75
1975-11-07	370.5	373
1975-11-10	363.75	370.5
1975-11-11	354.5	363.75
1975-11-12	350.5	354.5
1975-11-13	347.5	350.5
1975-11-14	351.75	347.5
1975-11-17	351.5	347.5
1975-11-18	342.5	347.5
1975-11-19	333.75	342.5
1975-11-20	332	333.75
1975-11-21	337	332
1975-11-24	357	332
1975-11-25	348.5	332
1975-11-26	347.75	332
1975-11-28	342.5	332
1975-12-01	341.5	332
1975-12-02	345.25	332
1975-12-03	343.25	332
1975-12-04	349.5	332
1975-12-05	346.25	332
1975-12-08	332.5	332
1975-12-09	337	332
1975-12-10	336	332
1975-12-11	337.5	332
1975-12-12	325.5	332
1975-12-15	321.5	325.5
1975-12-16	326	321.5
1975-12-17	328.25	321.5
1975-12-18	325	321.5

How the rule works — 1972: held to December

x	December 1972 contract	Lowest close of the previous 40 days
1972-07-21	159.87
1972-07-24	161.38
1972-07-25	162.13
1972-07-26	161
1972-07-27	158.62
1972-07-28	160.75
1972-07-31	162.63
1972-08-01	164.87
1972-08-02	165.25
1972-08-03	172.87
1972-08-04	177.75
1972-08-07	185.25
1972-08-08	185
1972-08-09	180.5
1972-08-10	183.5
1972-08-11	187
1972-08-14	185.75
1972-08-15	183
1972-08-16	184.5
1972-08-17	186.25
1972-08-18	188
1972-08-21	187
1972-08-22	191.25
1972-08-23	195
1972-08-24	192.62
1972-08-25	191
1972-08-28	189.5
1972-08-29	192.5
1972-08-30	193.5
1972-08-31	193.25
1972-09-01	198.5
1972-09-05	200.5
1972-09-06	198.25
1972-09-07	197.5
1972-09-08	198
1972-09-11	200.25
1972-09-12	206
1972-09-13	204
1972-09-14	210.5
1972-09-15	220.25
1972-09-18	229	158.62
1972-09-19	222.25	158.62
1972-09-20	218.5	158.62
1972-09-21	218.25	158.62
1972-09-22	220.75	158.62
1972-09-25	218	160.75
1972-09-26	213.5	162.63
1972-09-27	209.75	164.87
1972-09-28	215.25	165.25
1972-09-29	215.75	172.87
1972-10-02	210.75	177.75
1972-10-03	211	180.5
1972-10-04	207.25	180.5
1972-10-05	208.75	180.5
1972-10-06	210	183
1972-10-09	211.25	183
1972-10-10	214.75	183
1972-10-11	218.75	183
1972-10-12	217	184.5
1972-10-13	219	186.25
1972-10-16	222.5	187
1972-10-17	220.75	187
1972-10-18	221	189.5
1972-10-19	219	189.5
1972-10-20	216.75	189.5
1972-10-23	214.25	189.5
1972-10-24	217	189.5
1972-10-25	216.5	192.5
1972-10-26	216.5	193.25
1972-10-27	216.25	193.25
1972-10-30	220.75	197.5
1972-10-31	220.5	197.5
1972-11-01	218.75	197.5
1972-11-02	220.5	197.5
1972-11-03	223.5	198
1972-11-06	225.5	200.25
1972-11-08	225.25	204
1972-11-09	222.5	204
1972-11-10	221.5	207.25
1972-11-13	224	207.25
1972-11-14	225.75	207.25
1972-11-15	230	207.25
1972-11-16	228.5	207.25
1972-11-17	229.25	207.25
1972-11-20	227	207.25
1972-11-21	227	207.25
1972-11-22	231.75	207.25
1972-11-24	239.5	207.25
1972-11-27	243.5	207.25
1972-11-28	241.75	207.25
1972-11-29	243	207.25
1972-11-30	245.75	207.25
1972-12-01	252.75	207.25
1972-12-04	256.5	208.75
1972-12-05	258.5	210
1972-12-06	254	211.25
1972-12-07	252.5	214.25
1972-12-08	256	214.25
1972-12-11	261	214.25
1972-12-12	268	214.25
1972-12-13	265.25	214.25
1972-12-14	269.75	214.25
1972-12-15	270	214.25
1972-12-18	260.5	214.25
1972-12-19	250.62	214.25

How the rule works — 1973: sold too early

x	December 1973 contract	Lowest close of the previous 40 days
1973-07-23	307.25
1973-07-24	317.25
1973-07-25	327.75
1973-07-26	335.5
1973-07-27	329.75
1973-07-30	339.75
1973-07-31	349.75
1973-08-01	359.75
1973-08-02	369.5
1973-08-03	379.5
1973-08-06	389.5
1973-08-07	399.5
1973-08-08	409.5
1973-08-09	419.5
1973-08-10	439.5
1973-08-13	459.5
1973-08-14	479.5
1973-08-15	459.5
1973-08-16	439.5
1973-08-17	459.5
1973-08-20	479.5
1973-08-21	499.5
1973-08-22	479.5
1973-08-23	487
1973-08-24	507
1973-08-27	497
1973-08-28	480.5
1973-08-29	497.5
1973-08-30	481.75
1973-08-31	497.5
1973-09-04	477.5
1973-09-05	457.5
1973-09-06	474.5
1973-09-07	494.5
1973-09-10	498.5
1973-09-11	518.5
1973-09-12	498.5
1973-09-13	508.5
1973-09-14	525
1973-09-17	536
1973-09-18	516	307.25
1973-09-19	531	317.25
1973-09-20	524.5	327.75
1973-09-21	507	329.75
1973-09-24	510	329.75
1973-09-25	499.5	339.75
1973-09-26	479.5	349.75
1973-09-27	473	359.75
1973-09-28	491.5	369.5
1973-10-01	471.5	379.5
1973-10-02	455.5	389.5
1973-10-03	475.5	399.5
1973-10-04	471.5	409.5
1973-10-05	478.5	419.5
1973-10-09	495.5	439.5
1973-10-10	475.5	439.5
1973-10-11	473	439.5
1973-10-12	462	439.5
1973-10-15	442	439.5
1973-10-16	422	442
1973-10-17	418	422
1973-10-18	436.5	418
1973-10-19	430.5	418
1973-10-22	433.5	418
1973-10-23	453.5	418
1973-10-24	473.5	418
1973-10-25	464.5	418
1973-10-26	445.5	418
1973-10-29	425.5	418
1973-10-30	419.5	418
1973-10-31	430.5	418
1973-11-01	434.5	418
1973-11-02	431	418
1973-11-05	451	418
1973-11-06	448.75	418
1973-11-07	449.5	418
1973-11-08	454	418
1973-11-09	442.5	418
1973-11-12	454.5	418
1973-11-13	464.5	418
1973-11-14	484.5	418
1973-11-15	464.5	418
1973-11-16	470.5	418
1973-11-19	467.5	418
1973-11-20	476.5	418
1973-11-21	473.5	418
1973-11-23	479.5	418
1973-11-26	464.5	418
1973-11-27	479.5	418
1973-11-28	499.5	418
1973-11-29	501	418
1973-11-30	485.25	418
1973-12-03	489.5	418
1973-12-04	509.5	418
1973-12-05	515.5	418
1973-12-06	535	418
1973-12-07	554	418
1973-12-10	543	418
1973-12-11	563	418
1973-12-12	550.5	418
1973-12-13	544	418
1973-12-14	528.5	419.5
1973-12-17	548.5	419.5
1973-12-18	533	419.5

Source: CBOT daily data via TurtleTrader; effective federal funds rate (Federal Reserve); author's calculations. Hindsight backtest, not advice. The December contract is shown for readability; the bac

Over the whole period, $100 became $15,094 under the rule, against $12,177 for holding to December and $1,667 for cash. The rule lost money in 13 seasons rather than 17, and its worst season was −14.9% against −29.6%. It beat cash by an average of 7.8% a season from 1960 to 1980 and 4.6% from 1981 to 2001.

$100 of stored wheat, sold four ways

x	Cash at the fed funds rate	40-day low, or December at the latest	Hold to December	Hold to May (just before harvest)	Sell at harvest
1959-12-31	102	102	102	102	102
1960-12-31	105.3	105.3	120	105.3	106.7
1961-12-31	107.4	122.9	126.4	109.5	107.8
1962-12-31	110.4	121.3	126.2	121.9	111.1
1963-12-31	114	125.2	157.4	131.8	114.1
1964-12-31	118.2	155.3	177.1	152.5	119.6
1965-12-31	123.2	170.3	206	160.8	124.9
1966-12-31	129.7	192.2	199.8	183.1	128.4
1967-12-31	135.4	194.2	198.1	157.1	135.6
1968-12-31	143.4	186.9	215.4	143.3	140
1969-12-31	155.9	203.2	266.7	157	151.1
1970-12-31	167.6	237.3	329.3	189.4	165.7
1971-12-31	175.7	285.8	409.7	228.9	176.1
1972-12-31	183.8	318.5	691.9	245.6	183.4
1973-12-31	200.9	705	1247.5	457.4	196
1974-12-31	223.5	784.2	1432.5	515.8	220.6
1975-12-31	237	971.9	1350.7	365	231.3
1976-12-31	249.5	870.6	1001.5	352.4	237
1977-12-31	263.9	920.9	1159.1	243.9	248.7
1978-12-31	286.1	1111.7	1481.8	359.4	275.6
1979-12-31	320.5	1165.7	1479.9	439	298.4
1980-12-31	367	1335.1	1712.6	408	355.2
1981-12-31	433.4	1724.8	1738.6	382	423.4
1982-12-31	490.6	1860.3	1741	334.9	477.8
1983-12-31	538	2043.3	1773.5	341.4	525
1984-12-31	596.9	2267.1	1929.4	388.7	583.2
1985-12-31	648	2358.8	2330.9	366.9	629.8
1986-12-31	694.2	2766.2	2470.7	446.9	671.2
1987-12-31	742.7	3251	3179	522.6	728.3
1988-12-31	802.1	3511.1	3967	719.5	819.7
1989-12-31	880.7	4212.8	4418.8	813.7	895.3
1990-12-31	956	3979.9	3843.2	803	971.6
1991-12-31	1012.7	4216	5965.9	769.8	1075.2
1992-12-31	1049.6	6022.4	6834.6	1081.4	1118.3
1993-12-31	1082.3	6448.1	8492.3	1146.6	1176.6
1994-12-31	1129.4	9328.9	10345	1227.9	1220
1995-12-31	1198.2	9897.3	11892.4	1468.8	1325.8
1996-12-31	1264.6	9759.2	10718.9	1930.9	1365
1997-12-31	1336.6	10817.5	10390.6	1599	1495.2
1998-12-31	1411.1	11420.5	10909.5	1362.5	1603.5
1999-12-31	1484	13955.2	10889.1	1351.3	1732.3
2000-12-31	1581.2	14810	11783.3	1540.8	1830.7
2001-12-31	1644.6	14895.1	12016.9	1700.3	1919.4
2002-12-31	1666.5	15093.9	12177.3	1664.4	1945.1

Source: CBOT daily data via TurtleTrader; effective federal funds rate (Federal Reserve); author's calculations. Hindsight backtest, not advice. Wheat stored in the farmer's own bins from the July con

Most of the gain came from a few bad years avoided

x	40-day low, or December at the latest	Hold to December
1960	12.5	13.9
1961	1.7	3.2
1962	-4	-2.9
1963	19.7	20.8
1964	5.2	8.5
1965	12.1	11.6
1966	-4.4	-7.9
1967	-3.2	-5
1968	-9.1	2.7
1969	8.6	13.9
1970	14.9	14.8
1971	6.5	18.7
1972	56.5	61.4
1973	29.4	65
1974	4.9	3.2
1975	11.4	-11.1
1976	-14.9	-29.6
1977	11.4	9.4
1978	6.3	18
1979	-12	-10.9
1980	9.4	1
1981	3.1	-14
1982	-7.6	-11.5
1983	0.2	-7.1
1984	-4.2	-2
1985	9.5	11.3
1986	1.2	-1.1
1987	8.6	20.3
1988	13.7	15.5
1989	-3.9	1.5
1990	-13	-19.9
1991	37.8	46.5
1992	3.8	10.5
1993	20.3	20.5
1994	15.3	16.7
1995	6	8.4
1996	-11.8	-14.6
1997	4.9	-8.3
1998	8.3	-0.6
1999	7.3	-5.1
2000	-0.4	1.6
2001	-3.3	-1.9

Source: CBOT daily data via TurtleTrader; effective federal funds rate (Federal Reserve); author's calculations. Hindsight backtest, not advice. Wheat stored in the farmer's own bins from the July con

Twelve ways to sell stored wheat

Sell rule	$100 became	Average vs cash	Losing seasons	Worst season	1960–80	1981–2001
40-day low, or December at the latest	$15,094	+6.2%	13	-14.9%	+7.8%	+4.6%
40-day low, or 15 October at the latest	$13,381	+5.7%	14	-14.9%	+7.5%	+3.9%
Hold to 15 October	$12,423	+5.6%	13	-20.9%	+7.2%	+4.0%
Hold to December	$12,177	+6.3%	17	-29.6%	+9.5%	+3.2%
40-day low, no deadline	$11,712	+5.5%	13	-14.9%	+7.1%	+3.9%
Below the 50-day average	$11,029	+5.5%	15	-21.1%	+7.4%	+3.7%
20-day low	$6,641	+3.9%	18	-10.2%	+5.8%	+2.1%
Up 15% or down 10%	$5,588	+3.6%	18	-17.6%	+6.5%	+0.8%
Curve stops paying to store	$4,492	+3.0%	14	-34.6%	+3.2%	+2.7%
Market inverts	$2,164	+1.6%	21	-34.6%	+2.2%	+1.0%
Sell at harvest	$1,945	+0.4%	19	-3.4%	-0.1%	+0.9%
Hold to May	$1,664	+1.7%	16	-34.6%	+1.7%	+1.7%

$100 from July 1959 reinvested each harvest; 42 seasons, 1960–2001. Average and worst are the return over cash on the grain's value in one season. Source: CBOT daily data via TurtleTrader; effective f

Two cautions apply. Twelve rules were tried, and the winning combination was put together after seeing how the individual rules did, so some of its lead is probably luck. What looks robust is the pattern rather than the exact numbers: sell in the autumn, and get out earlier if a fall sets in. And every rule did less well after 1980 than before. The test also uses futures prices in place of the local cash price a farmer would actually receive.

Hedging the harvest: the products farmers use

Few farmers simply sell at harvest or gamble on storage. Grain merchants and cooperatives offer a range of contracts built on futures and options, and farmers use them for two jobs. Before harvest, they price some of a crop that is still in the field. After harvest, they price grain sitting in the bin. We tested nine approaches on both: 43 seasons before harvest, from 1 March until the July contract expires, and 42 seasons after harvest, from the July contract’s expiry until December’s.

The main products

Forward contracts, hedge-to-arrive contracts and futures hedges fix the price. A forward contract with a local elevator fixes both the futures price and the local premium or discount, known as the basis. A hedge-to-arrive contract fixes the futures price and leaves the basis for later. A farmer can also sell futures directly. In futures terms all three do the same thing, so they are tested as one. What they leave is basis risk and, before harvest, the risk of a crop too small to deliver what was sold.

Minimum-price contracts set a floor and keep the upside. The farmer, in effect, buys a put option: the right to sell at a set price. Some contracts do this as a forward sale plus a call, which pays the same way. The floor costs a premium. At the volatility of the time, a put at the current price cost a median 3.6% of the price for the four months before harvest and 4.8% for the five months after.

Knock-in puts are cheaper floors. The put only comes into existence if the price first falls through a trigger, here 10% below the starting price.

Fences, also called collars, buy a put 5% below the market and pay for it by selling a call above it, which gives up gains beyond that level. At the volatility of the time the call had to be set a median 5.7% above the market after harvest, so the farmer’s price was confined to a narrow band.

Premium-enhanced contracts pay the farmer a premium on top of the market in exchange for selling a call, here 10% above the market. The farmer keeps the grain’s downside and gives away gains beyond the call’s level.

Accumulators are the barrier product. Each week an equal slice of grain is priced at an accumulation price set above the market. Two barriers change that. If the price falls to a knock-out level, typically around 92% of the starting price, the contract ends and the rest of the grain is unpriced. If the price is above the accumulation price on a weekly fixing, the farmer must sell twice that week’s quantity. Our contracts are set so they are worth nothing to either side at the start, which put the accumulation price a median 5.0% above the market after harvest and 2.9% before. Real contracts also include a dealer’s margin.

Average-price contracts price the grain at the average of weekly futures prices over the season, as many pooled marketing programmes do.

What each product pays at the end

Futures price at the end, % of starting price	No hedge	Forward or futures hedge	Minimum price (put at the money)	Fence	Premium-enhanced (call sold 10% above)
70	70	100	95.1	95	71.6
72.5	72.5	100	95.1	95	74.1
75	75	100	95.1	95	76.6
77.5	77.5	100	95.1	95	79.1
80	80	100	95.1	95	81.6
82.5	82.5	100	95.1	95	84.1
85	85	100	95.1	95	86.6
87.5	87.5	100	95.1	95	89.1
90	90	100	95.1	95	91.6
92.5	92.5	100	95.1	95	94.1
95	95	100	95.1	95	96.6
97.5	97.5	100	95.1	97.5	99.1
100	100	100	95.1	100	101.6
102.5	102.5	100	97.6	102.5	104.1
105	105	100	100.1	105	106.6
107.5	107.5	100	102.6	105.7	109.1
110	110	100	105.1	105.7	111.6
112.5	112.5	100	107.6	105.7	111.6
115	115	100	110.1	105.7	111.6
117.5	117.5	100	112.6	105.7	111.6
120	120	100	115.1	105.7	111.6
122.5	122.5	100	117.6	105.7	111.6
125	125	100	120.1	105.7	111.6
127.5	127.5	100	122.6	105.7	111.6
130	130	100	125.1	105.7	111.6
132.5	132.5	100	127.6	105.7	111.6
135	135	100	130.1	105.7	111.6
137.5	137.5	100	132.6	105.7	111.6
140	140	100	135.1	105.7	111.6

Source: CBOT daily data via TurtleTrader; effective federal funds rate (Federal Reserve); author's calculations. Options priced with the Black-76 model at the volatility of the two months before each

How we tested them

Every product is measured by the revenue it produced per bushel, as a percentage above or below the futures price when the season started: December futures for the season after harvest and July futures for the season before. Options are priced with the standard Black-76 model for options on futures. They use the volatility wheat showed over the two months before each season, with a floor of 8%. The knock-in put and the accumulator are priced by simulating 20,000 possible price paths. Each product carries a cost of 1 cent a bushel. Options markets usually charge more than the volatility that follows, so every product is also tested with options priced at 1.2 times that volatility. Exchange-traded wheat options only began in the 1980s, so earlier option prices come from the model rather than a market. The test ignores basis and yield.

What happened

After harvest, doing nothing had the best average, +3.6%, because prices usually rose into the autumn, but it also had the widest range: from −30.8% to +79.3%. The forward removed all of that for about −0.4%. Floors did what insurance does. A put at the market averaged +2.8% and a knock-in put +3.3%, with worst seasons of −9.5% and −10.8% instead of −30.8%, and most of the upside kept. The fence kept every season between −5.6% and +6.2%.

Before harvest, the picture changes. From March to July prices tended to fall as the new crop came into view. Doing nothing averaged −1.3% and did worse than the forward in 28 of 43 seasons, with a worst of −26.4%. Puts roughly broke even, between +0.4% and −0.6% on average, and still held the worst season to about −10% to −13%. The fence averaged −1.7%, and selling calls for a premium averaged −2.8%. Selling forward before harvest was the simplest and one of the best choices, provided the crop turned up.

Products in which the farmer sells options did worst when the risk arrived. A premium-enhanced contract raised the average in a normal year but capped the upside at 17% while leaving the downside: its worst season after harvest was −27.3%. The accumulator averaged +0.8% after harvest and −1.3% before, with worst seasons of −29.0% and −23.1% and best seasons of +17.5% and +33.9%. Pricing the options at higher volatility, closer to what markets charge, cost the buyers of floors about another point a year and helped the sellers of options by a similar amount. It changed none of these conclusions.

Protection costs upside; barriers cost both — After harvest: July to December

x	Average season	Worst season	Best season
No hedge	3.6	-30.8	79.3
Forward	-0.4	-0.7	-0.2
Put, at the money	2.8	-9.5	68.5
Put, 5% below	3	-11.8	71.1
Knock-in put	3.3	-10.8	68.6
Fence	0.2	-5.6	6.2
Premium-enhanced	1.1	-27.3	17.1
Accumulator	0.8	-29	17.5
Average price	1.9	-19	54.9

Protection costs upside; barriers cost both — Before harvest: March to July

x	Average season	Worst season	Best season
No hedge	-1.3	-26.4	39.2
Forward	-0.4	-0.8	-0.2
Put, at the money	0.2	-10.4	35.8
Put, 5% below	-0.6	-12.8	37.7
Knock-in put	0.4	-10.3	37.1
Fence	-1.7	-5.7	5.9
Premium-enhanced	-2.8	-25.4	15.8
Accumulator	-1.3	-23.1	33.9
Average price	-1.5	-25.9	16.2

Source: CBOT daily data via TurtleTrader; effective federal funds rate (Federal Reserve); author's calculations. Options priced with the Black-76 model at the volatility of the two months before each

Every product, both windows

Product	Window	Average	Average at higher volatility	Worst	1 season in 10	Best	Seasons below the forward
No hedge	After harvest	+3.6%	+3.6%	-30.8%	-13.6%	+79.3%	17
Forward	After harvest	-0.4%	-0.4%	-0.7%	-0.7%	-0.2%	0
Put, at the money	After harvest	+2.8%	+1.8%	-9.5%	-8.7%	+68.5%	24
Put, 5% below	After harvest	+3.0%	+2.0%	-11.8%	-9.0%	+71.1%	22
Knock-in put	After harvest	+3.3%	+2.1%	-10.8%	-8.9%	+68.6%	23
Fence	After harvest	+0.2%	+0.3%	-5.6%	-5.4%	+6.2%	19
Premium-enhanced	After harvest	+1.1%	+1.9%	-27.3%	-11.2%	+17.1%	18
Accumulator	After harvest	+0.8%	+1.6%	-29.0%	-7.0%	+17.5%	16
Average price	After harvest	+1.9%	+1.9%	-19.0%	-7.2%	+54.9%	21
No hedge	Before harvest	-1.3%	-1.3%	-26.4%	-13.8%	+39.2%	28
Forward	Before harvest	-0.4%	-0.4%	-0.8%	-0.7%	-0.2%	0
Put, at the money	Before harvest	+0.2%	-0.6%	-10.4%	-5.3%	+35.8%	33
Put, 5% below	Before harvest	-0.6%	-1.2%	-12.8%	-7.9%	+37.7%	30
Knock-in put	Before harvest	+0.4%	-0.5%	-10.3%	-6.9%	+37.1%	30
Fence	Before harvest	-1.7%	-1.7%	-5.7%	-5.4%	+5.9%	29
Premium-enhanced	Before harvest	-2.8%	-2.3%	-25.4%	-13.9%	+15.8%	27
Accumulator	Before harvest	-1.3%	-0.9%	-23.1%	-11.8%	+33.9%	23
Average price	Before harvest	-1.5%	-1.5%	-25.9%	-8.2%	+16.2%	25

Revenue as % above or below the futures price at the start of the window. 'At higher volatility' prices every option at 1.2 times the volatility used in the main test, closer to what markets usually c

Why accumulators disappoint

The accumulator’s two barriers work against the farmer at exactly the wrong moments. After harvest it knocked out in 19 of 42 seasons, typically after only 18% of the grain had been priced. Those seasons still lost 4.2% on average, against 7.3% for doing nothing: the protection disappeared as the price fell. In the 17 seasons in which it did not knock out and doubled up, the farmer made +5.1% against +17.5% for doing nothing, giving away most of the rally. In 1976 the contract was set at 409 cents against a harvest price of 372. It knocked out in early August with about 5% of the grain priced, and December finished at 257.5. In 1973 it priced 97% of the grain at 345 cents while December went to 533. A study of accumulators in corn and soybeans from 2008 to 2017 reached the same verdict: the lowest average prices and the highest risk of the new contract types it examined.

How an accumulator goes wrong — 1976: knocked out

x	December 1976 wheat
1976-07-22	362.5
1976-07-23	368.5
1976-07-26	361.75
1976-07-27	362.75
1976-07-28	363
1976-07-29	359.5
1976-07-30	355.5
1976-08-02	343
1976-08-03	346.75
1976-08-04	352
1976-08-05	350.25
1976-08-06	345
1976-08-09	337.75
1976-08-10	339.25
1976-08-11	338.25
1976-08-12	339.25
1976-08-13	340.5
1976-08-16	339.25
1976-08-17	331
1976-08-18	333.25
1976-08-19	338.75
1976-08-20	336.25
1976-08-23	339.5
1976-08-24	333.75
1976-08-25	327.25
1976-08-26	326.5
1976-08-27	325
1976-08-30	319.75
1976-08-31	323.5
1976-09-01	326.75
1976-09-02	333.25
1976-09-03	331.75
1976-09-07	341.5
1976-09-08	331.75
1976-09-09	333.75
1976-09-10	330.75
1976-09-13	318.75
1976-09-14	317
1976-09-15	322.25
1976-09-16	319.25
1976-09-17	310.5
1976-09-20	309
1976-09-21	307.75
1976-09-22	308.75
1976-09-23	312.75
1976-09-24	307.25
1976-09-27	302.5
1976-09-28	301
1976-09-29	292.25
1976-09-30	288.5
1976-10-01	284.25
1976-10-04	289.5
1976-10-05	291.5
1976-10-06	295.5
1976-10-07	297.5
1976-10-08	295.25
1976-10-11	291.25
1976-10-12	294.75
1976-10-13	308.75
1976-10-14	295
1976-10-15	289.25
1976-10-18	288.75
1976-10-19	291.75
1976-10-20	291
1976-10-21	286.75
1976-10-22	284.5
1976-10-25	280.75
1976-10-26	278.5
1976-10-27	275
1976-10-28	271.5
1976-10-29	275
1976-11-01	277
1976-11-03	272.25
1976-11-04	274
1976-11-05	271.5
1976-11-08	269.75
1976-11-09	265.25
1976-11-10	265
1976-11-11	255.75
1976-11-12	257.25
1976-11-15	261.5
1976-11-16	263
1976-11-17	260.25
1976-11-18	259
1976-11-19	259.5
1976-11-22	263.75
1976-11-23	261.75
1976-11-24	261.5
1976-11-26	257.75
1976-11-29	251.75
1976-11-30	254.25
1976-12-01	256
1976-12-02	256.75
1976-12-03	259.5
1976-12-06	264.75
1976-12-07	262.25
1976-12-08	266.5
1976-12-09	264.75
1976-12-10	263.25
1976-12-13	264.5
1976-12-14	264.75
1976-12-15	260.25
1976-12-16	261.25
1976-12-17	256.75
1976-12-20	257.5

How an accumulator goes wrong — 1973: doubled up

x	December 1973 wheat
1973-07-23	307.25
1973-07-24	317.25
1973-07-25	327.75
1973-07-26	335.5
1973-07-27	329.75
1973-07-30	339.75
1973-07-31	349.75
1973-08-01	359.75
1973-08-02	369.5
1973-08-03	379.5
1973-08-06	389.5
1973-08-07	399.5
1973-08-08	409.5
1973-08-09	419.5
1973-08-10	439.5
1973-08-13	459.5
1973-08-14	479.5
1973-08-15	459.5
1973-08-16	439.5
1973-08-17	459.5
1973-08-20	479.5
1973-08-21	499.5
1973-08-22	479.5
1973-08-23	487
1973-08-24	507
1973-08-27	497
1973-08-28	480.5
1973-08-29	497.5
1973-08-30	481.75
1973-08-31	497.5
1973-09-04	477.5
1973-09-05	457.5
1973-09-06	474.5
1973-09-07	494.5
1973-09-10	498.5
1973-09-11	518.5
1973-09-12	498.5
1973-09-13	508.5
1973-09-14	525
1973-09-17	536
1973-09-18	516
1973-09-19	531
1973-09-20	524.5
1973-09-21	507
1973-09-24	510
1973-09-25	499.5
1973-09-26	479.5
1973-09-27	473
1973-09-28	491.5
1973-10-01	471.5
1973-10-02	455.5
1973-10-03	475.5
1973-10-04	471.5
1973-10-05	478.5
1973-10-09	495.5
1973-10-10	475.5
1973-10-11	473
1973-10-12	462
1973-10-15	442
1973-10-16	422
1973-10-17	418
1973-10-18	436.5
1973-10-19	430.5
1973-10-22	433.5
1973-10-23	453.5
1973-10-24	473.5
1973-10-25	464.5
1973-10-26	445.5
1973-10-29	425.5
1973-10-30	419.5
1973-10-31	430.5
1973-11-01	434.5
1973-11-02	431
1973-11-05	451
1973-11-06	448.75
1973-11-07	449.5
1973-11-08	454
1973-11-09	442.5
1973-11-12	454.5
1973-11-13	464.5
1973-11-14	484.5
1973-11-15	464.5
1973-11-16	470.5
1973-11-19	467.5
1973-11-20	476.5
1973-11-21	473.5
1973-11-23	479.5
1973-11-26	464.5
1973-11-27	479.5
1973-11-28	499.5
1973-11-29	501
1973-11-30	485.25
1973-12-03	489.5
1973-12-04	509.5
1973-12-05	515.5
1973-12-06	535
1973-12-07	554
1973-12-10	543
1973-12-11	563
1973-12-12	550.5
1973-12-13	544
1973-12-14	528.5
1973-12-17	548.5
1973-12-18	533

Source: CBOT daily data via TurtleTrader; effective federal funds rate (Federal Reserve); author's calculations. Options priced with the Black-76 model at the volatility of the two months before each

Season by season after harvest — Put at the money

x	Put at the money	No hedge
1960	6.5	9.1
1961	-2	0.6
1962	-2.5	-5.4
1963	14.7	17.3
1964	0.7	4.3
1965	6	8.7
1966	-5	-9.3
1967	-4.7	-8.4
1968	-3.5	-0.7
1969	5.8	9.6
1970	8.1	11.9
1971	9.5	14.7
1972	51.8	56
1973	68.5	79.3
1974	-9.2	3
1975	-9.3	-13.6
1976	-7.7	-30.8
1977	0.6	6.2
1978	12.3	18.2
1979	-9.1	-7.3
1980	-6.1	0.7
1981	-5	-16.6
1982	-4.3	-14.9
1983	-4.1	-10.6
1984	-4.3	-4.2
1985	5.9	8.8
1986	-9.5	-0.2
1987	7.1	13.9
1988	-1.1	10.3
1989	-4	0.1
1990	-3.6	-21.7
1991	33.9	39.2
1992	0.8	6.2
1993	10.3	15.1
1994	6.8	12.4
1995	2.4	8.8
1996	-8.7	-13.6
1997	-6.2	-13.2
1998	-5.4	-6.9
1999	-5.2	-12.4
2000	-6.5	-4.8
2001	-5.9	-8.3

Season by season after harvest — Fence

x	Fence	No hedge
1960	4.9	9.1
1961	0.1	0.6
1962	-5.5	-5.4
1963	4.9	17.3
1964	3.6	4.3
1965	4.7	8.7
1966	-5.5	-9.3
1967	-5.6	-8.4
1968	-1.5	-0.7
1969	4.8	9.6
1970	4.9	11.9
1971	5	14.7
1972	5	56
1973	6.1	79.3
1974	2.8	3
1975	-5.3	-13.6
1976	-5.3	-30.8
1977	5.3	6.2
1978	5.5	18.2
1979	-5.2	-7.3
1980	0.4	0.7
1981	-5.2	-16.6
1982	-5.3	-14.9
1983	-5.3	-10.6
1984	-4.4	-4.2
1985	5.1	8.8
1986	-0.6	-0.2
1987	5.5	13.9
1988	6.2	10.3
1989	-0.2	0.1
1990	-5.3	-21.7
1991	5.4	39.2
1992	5.5	6.2
1993	5.4	15.1
1994	5.5	12.4
1995	5.7	8.8
1996	-5.2	-13.6
1997	-5.3	-13.2
1998	-5.4	-6.9
1999	-5.4	-12.4
2000	-5.2	-4.8
2001	-5.3	-8.3

Season by season after harvest — Accumulator

x	Accumulator	No hedge
1960	1.4	9.1
1961	0.3	0.6
1962	-4.2	-5.4
1963	3.2	17.3
1964	2.1	4.3
1965	0.7	8.7
1966	-6.6	-9.3
1967	-3.9	-8.4
1968	-1.4	-0.7
1969	4.4	9.6
1970	2.2	11.9
1971	12.2	14.7
1972	3.9	56
1973	17.5	79.3
1974	10.8	3
1975	1.9	-13.6
1976	-29	-30.8
1977	5.3	6.2
1978	8.6	18.2
1979	-7	-7.3
1980	6.1	0.7
1981	-6.1	-16.6
1982	-11.8	-14.9
1983	-3.9	-10.6
1984	-0.4	-4.2
1985	7.5	8.8
1986	6.3	-0.2
1987	9.2	13.9
1988	13.8	10.3
1989	1.4	0.1
1990	-20.1	-21.7
1991	7.6	39.2
1992	5.9	6.2
1993	7.8	15.1
1994	6	12.4
1995	8.5	8.8
1996	-9.1	-13.6
1997	-5	-13.2
1998	-5.7	-6.9
1999	-3.2	-12.4
2000	0.8	-4.8
2001	-5.6	-8.3

Season by season after harvest — Average price

x	Average price	No hedge
1960	2.6	9.1
1961	-0.3	0.6
1962	-5.3	-5.4
1963	7.7	17.3
1964	0.7	4.3
1965	5.4	8.7
1966	-7.1	-9.3
1967	-5	-8.4
1968	-7.2	-0.7
1969	-0.6	9.6
1970	11.2	11.9
1971	-2.2	14.7
1972	29.7	56
1973	54.9	79.3
1974	5.2	3
1975	5.9	-13.6
1976	-19	-30.8
1977	2.3	6.2
1978	7.8	18.2
1979	-3.5	-7.3
1980	9.3	0.7
1981	-2.1	-16.6
1982	-9.7	-14.9
1983	-3.2	-10.6
1984	-1.5	-4.2
1985	-1.7	8.8
1986	3	-0.2
1987	7.3	13.9
1988	4.9	10.3
1989	-1.8	0.1
1990	-13.5	-21.7
1991	15.2	39.2
1992	-1.5	6.2
1993	1.9	15.1
1994	10.4	12.4
1995	1.5	8.8
1996	-9	-13.6
1997	-1.7	-13.2
1998	-2	-6.9
1999	-1.5	-12.4
2000	-2.3	-4.8
2001	-6	-8.3

Source: CBOT daily data via TurtleTrader; effective federal funds rate (Federal Reserve); author's calculations. Options priced with the Black-76 model at the volatility of the two months before each

What this means for a farmer

The products fall into three families. Contracts that lock the price, the forward, the hedge-to-arrive and the futures hedge, remove price risk, and before harvest they were hard to beat. Contracts that buy a floor, puts and knock-in puts, work as insurance: after harvest they gave up one to two points of average return against doing nothing, and cut the worst season to around −10% while keeping most of the upside. Contracts in which the farmer sells options, fences, premium-enhanced contracts and accumulators, pay for a higher headline price with the farmer’s upside. The fence also keeps a floor, so it simply narrows the range. The premium-enhanced contract and the accumulator do not, and in this history they combined a capped upside with most of the downside. Anyone offered an accumulator should read the knock-out and double-up terms before the price.

The usual cautions apply more strongly here. The option prices before the 1980s are model prices. Real contracts carry fees and margins, and their terms vary: knock-outs checked daily or weekly, different barriers, different fixing schedules. Basis and yield risk, which matter a great deal to a real farm, are left out. This is a description of 42 seasons of history, not advice.

What the long view shows

The patterns in the long record are less dramatic than the news days and matter more. Rolling a futures position had a steady cost that compounded over decades. Wheat swung in cycles of a few years rather than trending, which is why a patient rule that followed breakouts beat holding. The biggest single-contract prices came from shortages of grain for immediate delivery. And the seasons left a mark, weak into the harvest and firmer after it, but a small one. For a farmer with grain in store, the most useful guide to selling was the calendar plus the trend, not the curve; for hedging, simple forwards and bought floors beat the structured products. None of this says what wheat will do next: it is a description of 43 years of prices, before costs, with the benefit of hindsight.

How this was measured: daily open, high, low, close and volume for each CBOT wheat contract from 1959 to 2002, via TurtleTrader. For the news events we used the contract with the most dollar volume on each date. A normal day is the standard deviation of daily close-to-close changes over the previous 60 sessions. Dollar volume is contracts × 5,000 bushels × the closing price, so it is approximate. For the long-run sections the rolled series holds the nearest contract and switches to the next on the 15th of the month before delivery; the March 2000 contract is missing from the data, so May 2000 is used for January and February 2000. Returns exclude trading costs and slippage, and exclude interest unless stated; where interest is included it is the effective federal funds rate (Federal Reserve), earned daily. Prices are nominal. The events are matched to the data by date, and a price move on the same day does not by itself show that the news caused it. Storage costs are estimated from USDA (1970–71), the GAO (1978–80) and the Chicago Board of Trade’s delivery storage rate (from 2000), interpolated between. Background on the causes of the big swings and on storage comes from the USDA Economic Research Service, USDA’s Wheat Situation and Outlook, the Bureau of Labor Statistics (1985, 1998), the Federal Reserve Bank of Chicago, the FAO, the National Agricultural Law Center, the GAO, the CFTC, Farm Progress, Iowa State University, a study of new-generation grain contracts, the Oklahoma Historical Society and Time. Nothing here is a recommendation to trade.