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MI Forecast provides users with a commodity-specific market report, which is delivered via email on all days in which the applicable commodity exchange is open.
Each report includes a Report Date in the header; the Report Date is the date that the report was delivered to users and corresponds to the market-open date that the report is applicable to. The only exception to this is reports that are delivered to users on Saturday, which are applicable to the following Monday.
The content in the MI Forecast report is organized into sections, each of which is designed to provide users with valuable commodity-specific data. Each section of the report is summarized below.
Price Forecast Summary Table
A table listing the contract months (as rows, in order of expiration) with price data by column.
The columnar data contains the following values (per contract month):
- Close: The Close price as of one (1) market-day prior to the Report Date.
- Today: The forecasted Close price today (as of the Report Date).
- 5 Day: The forecasted Close price in approximately* five (5) market-days from the Report Date.
- 10 Day: The forecasted Close price in approximately* ten (10) market days from the Report Date.
* The exact forecast date is displayed in the Price Forecast Chart (below the Summary table).
Market Overview Table
A table listing relevant commodity futures (as rows) with market metrics by column.
The columnar data contains the following values* (by commodity):
- Close: The Close price as of one (1) market-day prior to the Report Date.
- DoD: The day-over-day change in the Close price. The units are those of the underlying commodity futures contract as specified by the relevant exchange. See more here.
- WoW: The week-over-week change in the Close price.
- Vol (k): The Volume transacted one (1) day prior to the Report Date.
* The values specified in the table are based on the front-month futures contract for each commodity.
Price Forecast Charts
Two Price Forecast charts are displayed on the second row of the report. Each of the two charts is for a specific contract month, which is listed in the chart title. The first Price Forecast chart is for the current front-month and the second chart is for the first back-month contract.
The Price Forecast charts contain the recent price history for the relevant contract; these data are shown as candles bounding the Open and Close price with a dot marker on the Close.
Additionally, the forecasted Close price is shown at three different horizons in the future: Today (as of Report Date), 5 Day (approximately five market days from the Report Date), and 10 Day (approximately ten market days from the Report Date). The forecasted price data are shown as dot markers and are connected with a dashed line. The date and forecasted Close price (on that date) is displayed as text on the chart.
Finally, the Report Date is identified on the chart with a vertical dashed line.
Forward Curve Chart
The Forward Curve chart plots the individual futures contracts by expiration date (nearest to expire on the left) on the x-axis and each contract's most recent Close price on the y-axis.
The chart includes three different series:
- Current Price: The forward curve based on the Close price of each contract as of one (1) market-day prior to the Report Date.
- 10 Day Forecast: The forecast of the forward curve in approximately ten (10) market-days from the Report Date.
- 1 Month Ago: The forward curve based on the Close price of each contract as of approximately 22 market-days prior to the Report Date.
Prompt Spread Into Expiry Chart
This chart plots the spread between the current front-month and first back month futures contracts. The spread is computed using the Close price of each contract.
Four series are shown on the chart. The bold black series plots the spread values for the current year's contracts. The lighter-colored series each correspond to the same spread on one of the past three years.
This chart can be used to identify when the current year's front-back month spread is diverging from its historical value as the front month contract draws nearer to expiration.
COT - Seasonal (Net Managed Money) Chart
This chart plots the weekly value of Net Managed Money for the current year (bold black line) as well as the past six years (lighter colored lines).
The Net Managed Money value is derived from CFTC Commitment of Traders data, which is released on a weekly basis, generally on Friday at 3:30 p.m. Eastern Time, and covers up to Tuesday of the reportable week.
We compute the Net Managed Money value by taking the difference of the Managed Money Long and Managed Money Short Open Interest (both Futures and Futures Options) values from the Disaggregated Report for a specific commodity on a specific date.
This chart provides insight into the current positioning of Money Managers (large speculators and funds) as well as how their current positioning compares to previous years (at the week & month).
Front Month Seasonal Price Movement Chart
This chart plots the daily Close price of the front month futures contract.
In this chart, the "front month" contract is defined as the front month AS OF each date shown in the chart. For example (using Soybean Oil): on June 6, 2023, the front month contract was ZLN23 (July '23); therefore, the price plotted in the chart on June 6, 2023 is the Close of ZLN23 on the same date. In late August of 2023, the then-current front month was ZLU23 (Sep '23), and therefore on August 24, 2023, the price plotted in the chart is the Close price of ZLU23 on the same date.
Four different series are shown on the chart, each of which's underlying data is as defined above. The bold black line series represents the current year. The light magenta-colored series represents last year. The light-gray dotted-line series represents the five-year average (excluding the current year) of the same underlying data (Close price of then-current front month for a given date). Finally, the light-blue shaded band shows the dispersion of values for the five-year average series; specifically, the extents of the band are defined by the High and Low prices of the then-current front month contract for each date.
This chart provides insight into the seasonal price movement of the front-month contract throughout the year (and annual crop cycle). It allows the users to compare how the seasonality in price of the current year compares to last year as well as to the long-term average (five years).