- We evaluate how groups of commodity traders react to changes in the VIX during the Covid-19 Crisis. Our results show that equity market shocks can affect traders in both commodity swaps and futures markets.
- We find index swaps traders reduce their net long positions in response to tightening financial conditions, while commercial swaps traders absorb some of this risk by decreasing their net short positions.
- Using proprietary data reported by swap dealers to the CFTC, we document the size and composition of 13 over-the-counter agricultural swaps markets
- Total positions in these 13 agricultural swaps markets averaged $95 billion in total investment. In futures equivalent positions, this represented a little under half of total futures open interest between 2016 and 2021.
- Index investment represents the majority of OTC agricultural swaps activity. Index swaps activity represented 72% of all open swaps and $68.9 billion in notional value from 2016 to 2021. This contrasts with the futures market, where Commodity Index Trading activity constitutes about one-sixth of open interest.
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