Date of Graduation
5-2025
Document Type
Thesis
Degree Name
Bachelor of Science in Agriculture
Degree Level
Undergraduate
Department
Agricultural Economics and Agribusiness
Advisor/Mentor
McKenzie, Andrew Malcolm
Committee Member
Popp, Michael P.
Second Committee Member
Yang, Yao
Abstract
This thesis investigates whether the open interest of short futures contracts for rice behaves similarly to corn, soybeans, and oats around harvest season, using data from the Commodity Futures Trading Commission (CFTC). Futures contracts are a crucial tool for farmers and grain handlers to manage price risk, especially during periods of high market volatility like harvest. While the seasonality of futures hedging for corn and soybeans is well-established, there is minimal research on how rice fits into this pattern.
Using CFTC's weekly Commitments of Traders reports for 2006 to 2023, this study analyzes the open interest in short hedging positions by commercial traders across all four crops. A centered 12-month moving average was applied to create an index that normalizes open interest and allows for comparison across commodities with vastly different market sizes. Results were visualized by crop year and tested statistically using paired t-tests and Tukey’s HSD to identify significant seasonal shifts.
The findings confirmed that corn and soybeans exhibit a strong seasonal trend, with short positions spiking during harvest and dropping post-harvest. Oats followed a similar but less pronounced pattern due to its smaller volume. Rice showed a weaker seasonal signal. While rice open interest does rise during harvest months, the trend is more gradual and statistically less significant. This weaker signal is likely due to thinner market liquidity and different marketing practices in the rice industry, such as cooperative-based selling.
Overall, the results suggest that while rice futures exhibit some seasonal hedging activity, it is not as consistent or pronounced as that of other row crops. Understanding these differences can help both speculators and producers better time their market activity, especially in thinly traded commodities like rice.
Keywords
Commodity Futures Trading; Short Futures Contracts; Rice Market Analysis; Seasonal Harvest Trends; Agricultural Economics; CFTC Data Analysis
Citation
Bohnert, R. H. (2025). Using Commodity Futures Trading Commission Reports, Does Open Interest of Short Futures Contracts for Rice Differ from Other Row Crops During Harvest?. Agricultural Economics and Agribusiness Undergraduate Honors Theses Retrieved from https://scholarworks.uark.edu/aeabuht/37
