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Commodity indices

  #11 (permalink)
SteveC55374
Minneapolis
 
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myrrdin View Post
In recent days, I built a position of futures for the Bloomberg Commodity Index (33 % Energies, 19 % Industrial Metals, 13 % Precious Metals, 30 % Agricultural Goods, 6% Meats).

The index future is at its lowest value since its introduction 2006. (From 1998 - 2006 it was known as Dow Jones-AIG Commodity index.) Whereas after the financial crisis in 2008/9 its value was at 100 $, during last week it could be bought for 60 $.

Almost all commodities show significant potential for an upmove. China is starting its industries again, and Russia and Saudi Arabia will not be able to sell Crude Oil at current prices for a long time. The corona virus is a very severe problem, but some day in Q3 or Q4 we will have business as usual.

A move of the future of 1 $ corresponds to a move of 100 $ in your account.

A nice thing about this future is that in normal times it moves very slowly. This is reflected by a low maintenance margin even in current days of only 523 $.

Best regards, Myrrdin


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  #12 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
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SteveC55374 View Post

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Sorry - I do not understand. Please explain.

Best regards, Myrrdin

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  #13 (permalink)
 myrrdin 
Linz Austria
 
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SMCJB View Post
Great Idea @myrrdin. My immediate thought/concern was what is the roll yield? Looking back at the March 16th Data, March traded 4441 lots and settled 61.8. June traded 4605 lots and settled 62.7 so looks like the roll cost would have been about 1 point. So if you held this a year and had to roll it 4 times, at similar levels it would only cost you 4 points or about 6%. To put this in perspective Crude Apr20 settled 2243 and Mar21 settled 3165 which is about 140% of Apr20! Unfortunately it's CBOT and I don't have their data (professional data fees are about $125/month per exchange) so can't look at it.

Rolled today from June into September at 0 cost.

Best regards, Myrrdin

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  #14 (permalink)
 
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 Schnook 
Munich, Germany
 
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Inspired by this thread I tried to pull up some more data about this product but it's not even listed in my AMP/ CQG/ Sierra Chart available symbols list.

On IB I currently see a 4 tick wide market for the Sep contract, quoted 63.60 bid at 64.00

Couldn't find the open interest on the CME website either.

I like the idea of adding the commodity index as a macro trading vehicle but liquidity in this thing is just awful. I'd probably be more inclined to go the ETF route for this index.

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  #15 (permalink)
 myrrdin 
Linz Austria
 
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Schnook View Post
Inspired by this thread I tried to pull up some more data about this product but it's not even listed in my AMP/ CQG/ Sierra Chart available symbols list.

On IB I currently see a 4 tick wide market for the Sep contract, quoted 63.60 bid at 64.00

Couldn't find the open interest on the CME website either.

I like the idea of adding the commodity index as a macro trading vehicle but liquidity in this thing is just awful. I'd probably be more inclined to go the ETF route for this index.

Yes, liquidity is very poor, and in my opinion this future is only interesting for holding it longterm.

Best regards, Myrrdin

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  #16 (permalink)
 
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 SMCJB 
Houston TX
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Bloomberg Commodity Index (BCOM) futures trading heats up

Interest and participation in Bloomberg Commodity Index futures significantly ramped up in 2021. Average daily volume rose to 2.4K contracts per day, up 63% vs. 2020. Notional open interest averaged $360M+ year to date, up 145% vs. 2020.

Market participants continue to turn to BCOM futures to effectively express their views and manage benchmark exposure to the commodity markets


Enhancements to Bloomberg Commodity Index (BCOM) futures and Cleared OTC swaps

In response to client feedback and to improve our product offering, CME Group will introduce the following changes to the Bloomberg Commodity Index futures and swaps starting December 6*.

Tick size for the futures contract will be reduced from 0.10 ($10) to 0.01 ($1).
Daily settlement will be based on the Bloomberg Commodity Index closing value.
Starting December 1*, fees will be adjusted to a flat rate model.

https://www.cmegroup.com/trading/agricultural/commodity-index-listings.html


Amendments to the Bloomberg Commodity Index Futures and Bloomberg Commodity Index Swaps (Cleared OTC) Contracts and Amendments to Related CBOT Transaction Fees

https://www.cmegroup.com/notices/ser/2021/11/SER-8878R.html

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Last Updated on November 22, 2021


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