Recent Delivery Performance of CBOT Corn, Soybean, and Wheat 

Futures Contracts 

Statement to the CFTC Agricultural Forum, April 22, 2008 

Scott H. Irwin, Philip Garcia, Darrel L. Good, and Eugene L. Kunda 

University of Illinois at Urbana-Champaign 

Mr. Chairman, my name is Eugene Kunda, and I am here today to provide a 

statement based on research conducted at the University of Illinois regarding recent 

convergence behavior of CBOT (CME Group) corn, soybean, and wheat futures 

contracts. In this testimony, we focus on the nature and consequences of recent 

convergence problems. We also briefly comment on proposals for changing the 

contracts to address the problems that have surfaced recently. Please note that a 

comprehensive set of charts related to convergence performance is provided in the 

Appendix. In the interest of brevity, we only refer to a few of the charts in this 

statement. 

To begin, it is important to note a few basic points about the delivery process. It 

is an essential component of futures contracts with physical delivery, as it ties the 

futures price to the cash price at delivery locations. In a perfect market with costless 

delivery at one location and one date, arbitrage should force the futures price at 

expiration to equal the cash price. Otherwise a violation of the law of one price would 

exist. In reality, delivery on grain futures contracts is not costless and is complicated by 

the existence of grade, location, and timing delivery “options” that have a demonstrated 

value to sellers of contracts. A more realistic approach is to think of a zone of 
2

convergence between cash and futures prices during delivery periods, with the bounds 

of convergence determined by the cost of participating in the delivery process. 

The following charts show the difference between cash and futures prices (the 

basis) on the first and last day of the delivery period for corn and wheat futures 

contracts expiring between December 2001 and March 2008 and soybean futures 

contracts expiring between November 2001 and March 2008. Note that a negative 

basis means the futures price is greater than the cash price and a positive basis means 

that futures price is less than the cash price. For these calculations, grade and location 

adjustments are made to the cash prices where appropriate (see Appendix Table 1). 

Convergence patterns at the presented location are representative of the convergence 

patterns at other locations. 

Delivery Location Basis on the First and Last Day of 

Expiration for CBOT Corn Futures, Illinois River North of 

Peoria, 2001Z-2008H

-70

-60

-50

-40

-30

-20

-10

0

10

20

2001Z

2002K2002U2003H2003N

2003Z

2004K2004U2005H2005N

2005Z

2006K2006U2007H2007N

2007Z

Contract

Basis (cents/bu.)

FDB

LDB
3

Delivery Location Basis on the First and Last Day of 

Expiration for CBOT Soybean Futures, Illinois River North of 

Peoria, 2001X-2008H

-120

-100

-80

-60

-40

-20

0

20

40

2001X

2002K2002U2003H

2003Q

2004F

2004N

2004X

2005K2005U2006H

2006Q

2007F

2007N

2007X

Contract

Basis (cents/bu.)

FDB

LDB

Delivery Location Basis on the First and Last Day of 

Expiration for CBOT Wheat Futures, Toledo, 2001Z-2008H

-100

-80

-60

-40

-20

0

20

40

2001Z

2002K2002U2003H2003N

2003Z

2004K2004U2005H2005N

2005Z

2006K2006U2007H2007N

2007Z

Contract

Basis (cents/bu.)

FDB

LDB
4

For each of the three commodities, convergence generally is within reasonable 

bounds through 2005 (ignoring problems created by hurricane Katrina in September 

2005). Convergence weakness first surfaced with the July 2006 wheat contract. Nonconvergence was extremely large by historic standards, reaching a low in September 

2006 when the Toledo cash price ended up 90 cents below futures on the last day of 

the delivery period. This weakness in wheat persisted through the July 2007 contract. 

Convergence was relatively good for the September 2007, December 2007 and March 

2008 wheat contracts at Toledo and at Chicago in December 2007, but was poor in 

March 2008 at Chicago. Convergence in soybeans was poor beginning with the March 

2007 contract, especially poor for the September 2007 contract, improved to almost 

acceptable in November 2007, but returned to very poor performance in January and 

March 2008. In general, convergence since July 2006 has been better for corn than for 

wheat and soybeans. Convergence performance was weakest for corn in September 

2007 and March 2008. 

While recent convergence failures are dramatic, in isolation each episode is not 

necessarily damaging to the overall economic functioning of markets. Real economic 

damage is associated with increased uncertainty in basis behavior as markets bounce 

unpredictably between converging and not converging. As first noted by Holbrook 

Working many years ago, this is damaging because basis in storable commodity futures 

markets should provide a rational storage signal to commodity inventory holders. A 

weak basis should be a signal to store and vice versa. However, this depends on the 

predictability of the subsequent change in basis. That is, the basis should strengthen 
5

over time thereby earning “the carry” for someone holding stocks of the commodity and 

simultaneously selling the futures. 

The reliability of basis signals can be quantified by measuring the level of basis 

at some point before the delivery period and comparing this “initial” basis to the change 

in basis from that point forward through the delivery period. Perfect delivery location 

predictability is illustrated in the chart below. 

Note that when delivery location basis is perfectly predictable, the relationship between 

initial basis and the change in basis has a slope of -1 and runs through the origin. In 

other words, if basis is -50 cents/bushel two months before expiration, the change in the 

basis over the subsequent two months should be +50 cents/bushel. Additionally, all 

Perfect Delivery Location Basis Predictability

-100

-80

-60

-40

-20

0

20

40

60

80

100

-100 -80 -60 -40 -20 0 20 40 60 80 100

x = Initial Basis (cents/bu.)

y = Change in Basis (cents/bu.)

Intercept = 0

Slope = -1

R2 = 1 (all points on line)
6

points lie directly on the line, which indicates that hedges over the interval are perfectly 

effective in eliminating price risk. 

The next three charts show the predictability of delivery location basis for CBOT 

corn, soybeans, and wheat before and after 2006. The horizontal axis in each chart 

measures the level of the delivery location basis on the day after the preceding contract 

expires. The vertical axis measures the change in the delivery location basis from the 

day after the preceding contract expires to the first day of delivery. Note that 

observations for all delivery locations and expiration months for a given commodity are 

pooled together in the analysis and that observations for new crop December and 

November contracts in corn and soybeans start on the first trading day of October. 

Predictability of CBOT Corn Basis Change to First Day of 

Delivery, All Delivery Locations Pooled, 2001Z-2008H

2006H-2008H

y = -0.75x - 9.10

R2

 = 0.37

2001Z-2005Z

y = -0.87x - 0.61

R2

 = 0.87

-40

-30

-20

-10

0

10

20

30

40

50

60

70

-70 -60 -50 -40 -30 -20 -10 0 10 20 30 40

x = Initial Basis (cents/bu.)

y = Change in Basis (cents/bu.)

Note: September 2005 observations omitted
7

Predictability of CBOT Soybean Basis Change to First Day of 

Delivery, All Delivery Locations Pooled, 2001X-2008H

2006F-2008H

y = -0.36x - 5.71

R2

 = 0.19

 2001X-2005X

y = -0.87x - 9.03

R2

 = 0.78

-100

-80

-60

-40

-20

0

20

40

60

80

100

-100 -80 -60 -40 -20 0 20 40 60 80 100

x = Initial Basis (cents/bu.)

y = Change in Basis (cents/bu.)

Note: September 2005 observations omitted

Predictability of CBOT Wheat Basis Change to First Day of 

Delivery, All Delivery Locations Pooled, 2001Z-2008H

2001Z-2005Z

y = -0.57x + 2.23

R2 = 0.48

2006H-2008H

y = -0.41x - 9.94

R2 = 0.18

-40

-20

0

20

40

60

80

100

120

-120 -100 -80 -60 -40 -20 0 20 40

x = Initial Basis (cents/bu.)

y = Change in Basis (cents/bu.)
8

The charts indicate a sharp decline in basis predictability for all three markets 

since 2006. In corn, the upper right regression line indicates the futures market 

performs reasonably well in terms of basis predictability before 2006, as the slope and 

intercept are near -1 and 0, respectively, and hedging effectiveness (R2

) is a 

respectable 78%. The lower left regression line shows the precipitous drop in basis 

predictability over the last two years in corn. While the decline in the slope is not large, 

the intercept increases considerably, and hedging effectiveness drops to 37%. Basis 

predictability results for soybeans are even more dramatic. The lower left regression 

line indicates delivery location basis since 2006 changes by far less than the initial basis 

(slope = -0.36) and hedging effectiveness drops to only 19%. Results for wheat are 

different from corn and soybeans, in that basis predictability was unimpressive before 

2006. Nonetheless, predictability since 2006 followed the pattern of corn and soybeans 

and deteriorated substantially relative to the earlier period. 

The bottom line from the predictability analysis is that delivery location basis in 

corn, soybeans, and wheat generally is weaker and far less predictable post-2006 

compared to pre-2006. This has far reaching implications for hedging use of these 

futures markets if the situation is not corrected. 

An obviously important question is what caused the convergence problems 

observed over the last couple of years. A relevant observation in this regard is that the 

nature of convergence problems was inconsistent through time and across markets. 

For example, convergence in wheat was weakest during 2006 but recovered somewhat 

in late 2007 and early 2008, while convergence in soybeans was weakest in the second 

half of 2007 and early 2008. This makes it difficult to identify a single cause and difficult 
9

to accept a one-solution remedy. Solutions to convergence issues suggested to date 

have tended to be one-dimensional and focus on: 

1. Encouraging longs to liquidate before first notice date by changing delivery 

rules to force takers to load out (demand certificates) or by increasing 

maximum storage charges to make owning delivery instruments less 

attractive. The assumption being that forcing longs out before delivery would 

drive down the nearby contract and improve convergence. 

2. Changing terms of the futures contact to a cash index rather than a certificate 

market, thereby forcing convergence to the cash index. 

3. "Managing" the influence of passive longs and perhaps other groups by 

limiting hedge exemptions, thereby forcing those groups to trade with spec 

margins and spec limits. This solution follows from the assumption that these 

traders have artificially and permanently forced futures prices above 

fundamental value of the commodities in the cash market. 

4. Expanding delivery capacity in order to accommodate more arbitrage of cash 

and futures prices during the delivery period and thereby force convergence. 

Without a consensus as to the cause or causes of poor convergence 

performance, it may not be advisable to make substantial changes in contract 

specifications at the present time. Unintended consequences could be worse than the 

poorly designed remedy, particularly if market conditions change in the near future. 

Tweaking some contract specifications like storage rates and delivery capacity and 
10

monitoring performance makes sense, but may not be palatable to market participants 

who would like an immediate fix. 

As a final point, it is important to note that convergence problems at delivery 

locations are not necessarily identical to non-delivery basis performance issues. Basis 

in some non-delivery markets may be influenced by lack of convergence, but that is not 

uniformly the case. Corn basis at interior processing markets, for example, is less 

influenced by the Illinois River basis than cash markets tributary to the River. Basis at 

non-delivery locations is influenced by transportation costs, storage and ownership 

costs, supply of and demand for storage in the local market, and merchandising risk 

(margin risk). All of these factors have likely contributed to weaker basis at many nondelivery markets. 

Thank you for considering this statement Mr. Chairman. 
11

Appendix Tables and Figures
12

Table 1. Grade and Location Adjustments to Cash Price Data

Note: NA denotes not applicable or data not available in the case of St. Louis wheat. 

Table 2. Letter Codes for Futures Contract Expiration Months 

Calendar Month Code

January F

February G

March H

April J

May K

June M

July N

August Q

September U

October V

November X

December Z

Location Premium

Wheat (#2 soft Par NA NA NA Par

red: par)

Soybeans Par +2.5¢ +3.5¢ +6¢

(#1 yellow: 

+6¢)

Corn (#2 Par +2.5¢ NA NA NA

yellow: par)

St. Louis Toledo

Illinois 

River 

South of 

Peoria

Illinois 

River 

North of 

Peoria Chicago

Commodity

(Grade)

Location Premium

Wheat (#2 soft Par NA NA NA Par

red: par)

Soybeans Par +2.5¢ +3.5¢ +6¢

(#1 yellow: 

+6¢)

Corn (#2 Par +2.5¢ NA NA NA

yellow: par)

St. Louis Toledo

Illinois 

River 

South of 

Peoria

Illinois 

River 

North of 

Peoria Chicago

Commodity

(Grade)
13

Table 3. Average Basis on the First and Last Day of Delivery for CBOT Corn, 

Soybean, and Wheat Futures Contracts, 2001Z/X – 2008H 

Commodity/

Delivery Location 2001Z/X-2005Z/X 2006H/F-2008H Difference

First Day of Delivery

Corn

 Chicago 0.1 -13.6 -13.6

 Illinois River North of Peoria -4.2 -18.0 -13.8

Soybeans

 Chicago -6.0 -31.5 -25.5

 Illinois River North of Peoria -14.3 -40.4 -26.1

 Illinois River South of Peoria -15.1 -39.5 -24.4

 St. Louis -4.2 -25.0 -20.8

Wheat

 Chicago 0.2 -41.4 -41.6

 Toledo -4.2 -39.1 -34.9

Last Day of Delivery

Corn

 Chicago -0.1 -12.8 -12.7

 Illinois River North of Peoria -5.8 -20.1 -14.3

Soybeans

 Chicago -11.4 -33.2 -21.8

 Illinois River North of Peoria -17.4 -47.3 -29.9

 Illinois River South of Peoria -17.5 -44.3 -26.8

 St. Louis -8.4 -28.2 -19.8

Wheat

 Chicago -4.1 -35.4 -31.3

 Toledo -4.1 -36.9 -32.8

cents/bu.

Note: September 2005 corn and soybean contracts excluded from 2001-2005 

averages.
14

Figure 1. Delivery Location Basis for CBOT Corn Futures Contracts, 2001Z - 2007Z

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is October 1st. The last observation for each contgiven contract, again around the 15th of the month. A location differential of $0.025/bu. is subtracted from cash prices for Illinois River North of Peoria. Cash price Service ( http://marketnews.usda.gov/portal/lg/) . Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

December CBOT Corn Basis (Chicago)

-70-60-50-40-30-20-10

0

102030

Contract Year

Basis (cents/bu.)

2001 2002 2003 2004 2005 2006 2007

December CBOT Corn Basis (IL Rive

-80-70-60-50-40-30-20-10

0

102030

Contract Year

Basis (cents/bu.)

2001 2002 2003 2004 
15

Figure 2. Delivery Location Basis for CBOT Corn Futures Contracts, 2002H - 2008H

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, aroobservation for each contract year is the expiration day for the given contract, again around the 15th of the month. A location differential of $0.025/bu. is subtracte

North of Peoria. Cash price source: Agricultural Marketing Service ( http://marketnews.usda.gov/portal/lg/) . Futures price source: Commodity Systems Inc. ( http:/

March CBOT Corn Basis (Chicago)

-50-40-30-20-10

0

1020

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

March CBOT Corn Basis (IL River P

-50-40-30-20-10

0

1020

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 

2008 
16

Figure 3. Delivery Location Basis for CBOT Corn Futures Contracts, 2002K - 2007K

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, arouobservation for each contract year is the expiration day for the given contract, again around the 15th of the month. A location differential of $0.025/bu. is subtracted North of Peoria. Cash price source: Agricultural Marketing Service ( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://w

May CBOT Corn Basis (Chicago)

-30-20-10

0

1020

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

May CBOT Corn Basis (IL 

-30-20-10

0

1020

Contrac

Basis (cents/bu.)

2002 2003 2004 
17

Figure 4. Delivery Location Basis for CBOT Corn Futures Contracts, 2002N - 2007N

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, arouobservation for each contract year is the expiration day for the given contract, again around the 15th of the month. A location differential of $0.025/bu. is subtracted North of Peoria. Cash price source: Agricultural Marketing Service ( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://w

July CBOT Corn Basis (Chicago)

-40-30-20-10

0

102030405060

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

July CBOT Corn Basis (IL 

-40-30-20-10

0

102030405060

Contrac

Basis (cents/bu.)

2002 2003 2004 
18

Figure 5. Delivery Location Basis for CBOT Corn Futures Contracts, 2002U - 2007U

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, arouobservation for each contract year is the expiration day for the given contract, again around the 15th of the month. A location differential of $0.025/bu. is subtracted North of Peoria. Cash price source: Agricultural Marketing Service ( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://w

September CBOT Corn Basis (Chicago)

000000000000

Contract Year

2002 2003 2004 2005 2006 2007

September CBOT Corn Basis (IL River 

-70-60-50-40-30-20-10

0

10203040

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 
19

Figure 6. Delivery Location Basis for CBOT Soybean Futures Contracts, 2001X - 2007X

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is October 1st. The last observation for each contract yeagiven contract, around the 15th of the month. A grade differential of $0.06/bu. is subtracted from cash prices at all locations. Location differentials of $0.025/bu., $0.035/bsubtracted from cash prices for Illinois River North of Peoria, Illinois River South of Peoria, and St. Louis, respectively. Cash price source: Agricultural Marketing Service ( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

November CBOT Soybean Basis (Chicago)

-100

-90-80-70-60-50-40-30-20-10

0

1020

Contract Year

Basis (cents/bu.)

2001 2002 2003 2004 2005 2006 2007

November CBOT Soybean Basis (IL River P

-110-100

-90-80-70-60-50-40-30-20-10

0

1020

Contract Year

Basis (cents/bu.)

2001 2002 2003 2004 2005 

November CBOT Soybean Basis (IL River Peoria South)

-100

-90-80-70-60-50-40-30-20-10

0

1020

Contract Year

Basis (cents/bu.)

2001 2002 2003 2004 2005 2006 2007

November CBOT Soybean Basis (St. Lo

-100

-90-80-70-60-50-40-30-20-10

0

1020

Contract Year

Basis (cents/bu.).

2001 2002 2003 2004 2005 
20

Figure 7. Delivery Location Basis for CBOT Soybean Futures Contracts, 2002F - 2008F

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, around the observation for each contract year is the expiration day for the given contract, again around the 15th of the month. A grade differential of $0.06/bu. is subtracted from casLocation differentials of $0.025/bu., $0.035/bu., and $0.06/bu is also subtracted from cash prices for Illinois River North of Peoria, Illinois River South of Peoria, and St. Lo

price source: Agricultural Marketing Service ( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

January CBOT Soybean Basis (St. Lou

-90-80-70-60-50-40-30-20-10

0

10203040

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 

January CBOT Soybean Basis (IL River Peoria South)

-90-80-70-60-50-40-30-20-10

0

10203040

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

January CBOT Soybean Basis (IL River Pe

-100

-90-80-70-60-50-40-30-20-10

0

10203040

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 

January CBOT Soybean Basis (Chicago)

-90-80-70-60-50-40-30-20-10

0

10203040

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007 2008 

2008 
21

Figure 8. Delivery Location Basis for CBOT Soybean Futures Contracts, 2002H- 2008H

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, around the observation for each contract year is the expiration day for the given contract, again around the 15th of the month. A grade differential of $0.06/bu. is subtracted from casLocation differentials of $0.025/bu., $0.035/bu., and $0.06/bu is also subtracted from cash prices for Illinois River North of Peoria, Illinois River South of Peoria, and St. Lo

price source: Agricultural Marketing Service ( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

March CBOT Soybean Basis (Chicago)

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

March CBOT Soybean Basis (IL River Peo

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 

March CBOT Soybean Basis (IL River Peoria South)

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007 2008

March CBOT Soybean Basis (St. Louis 

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 

2008
22

Figure 9. Delivery Location Basis for CBOT Soybean Futures Contracts, 2002K - 2007K

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, around the observation for each contract year is the expiration day for the given contract, again around the 15th of the month. A grade differential of $0.06/bu. is subtracted from casLocation differentials of $0.025/bu., $0.035/bu., and $0.06/bu is also subtracted from cash prices for Illinois River North of Peoria, Illinois River South of Peoria, and St. Lo

price source: Agricultural Marketing Service ( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

May CBOT Soybean Basis (St. Loui

-60-50-40-30-20-10

0

102030

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 

May CBOT Soybean Basis (IL River Peo

-60-50-40-30-20-10

0

102030

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 

May CBOT Soybean Basis (Chicago)

-60-50-40-30-20-10

0

102030

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

May CBOT Soybean Basis (IL River Peoria South)

-60-50-40-30-20-10

0

102030

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007
23

Figure 10. Delivery Location Basis for CBOT Soybean Futures Contracts, 2002N - 2007N

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, around the observation for each contract year is the expiration day for the given contract, again around the 15th of the month. A grade differential of $0.06/bu. is subtracted from casLocation differentials of $0.025/bu., $0.035/bu., and $0.06/bu is also subtracted from cash prices for Illinois River North of Peoria, Illinois River South of Peoria, and St. Lo

price source: Agricultural Marketing Service ( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

July CBOT Soybean Basis (Chicago)

-100

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

July CBOT Soybean Basis (IL River Peo

-100

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 

July CBOT Soybean Basis (IL River Peoria South)

-100

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

July CBOT Soybean Basis (St. Louis 

-100

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 
24

Figure 11. Delivery Location Basis for CBOT Soybean Futures Contracts, 2002Q - 2007Q

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, around the observation for each contract year is the expiration day for the given contract, again around the 15th of the month. A grade differential of $0.06/bu. is subtracted from casLocation differentials of $0.025/bu., $0.035/bu., and $0.06/bu is also subtracted from cash prices for Illinois River North of Peoria, Illinois River South of Peoria, and St. Loprice source: Agricultural Marketing Service ( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

August CBOT Soybean Basis (Chicago)

-140-120-100

-80-60-40-20

0

20406080

100

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

August CBOT Soybean Basis (IL River Peo

-140-120-100

-80-60-40-20

0

20406080

100

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 

August CBOT Soybean Basis (IL River Peoria South)

-140-120-100

-80-60-40-20

0

20406080

100

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

August CBOT Soybean Basis (St. Loui

-140-120-100

-80-60-40-20

0

20406080

100

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 
25

Figure 12. Delivery Location Basis for CBOT Soybean Futures Contracts, 2002U - 2007U

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, around the observation for each contract year is the expiration day for the given contract, again around the 15th of the month. A grade differential of $0.06/bu. is subtracted from cash Location differentials of $0.025/bu., $0.035/bu., and $0.06/bu is also subtracted from cash prices for Illinois River North of Peoria, Illinois River South of Peoria, and St. Louprice source: Agricultural Marketing Service ( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

September CBOT Soybean Basis (Chicago)

-110-100

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

September CBOT Soybean Basis (IL River P

-110-100

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 

September CBOT Soybean Basis (IL River Peoria South)

-110-100

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

September CBOT Soybean Basis (St. Lou

-110-100

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 
26

Figure 13. Delivery Location Basis for CBOT Wheat Futures Contracts, 2002N - 2007N

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, aroobservation for each contract year is the expiration day for the given contract, again around the 15th of the month. Cash price source: Agricultural Marketing Ser( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

July CBOT Wheat Basis (Chicago)

-80-70-60-50-40-30-20-10

0

102030

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

July CBOT Wheat Basis (

-80-70-60-50-40-30-20-10

0

102030

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 
27

Figure 14. Delivery Location Basis for CBOT Wheat Futures Contracts, 2002U - 2007U

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, aroobservation for each contract year is the expiration day for the given contract, again around the 15th of the month. Cash price source: Agricultural Marketing Serv( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

September CBOT Wheat Basis (Chicago)

-130-120-110-100

-90-80-70-60-50-40-30-20-10

0

102030

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006

September CBOT Wheat Basi

-130-120-110-100

-90-80-70-60-50-40-30-20-10

0

102030

Contract Year

Basis (cents/bu.)

2002 2003 2004 200

2007
28

Figure 15. Delivery Location Basis for CBOT Wheat Futures Contracts, 2001Z - 2007Z

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, aroobservation for each contract year is the expiration day for the given contract, again around the 15th of the month. Cash price source: Agricultural Marketing Serv( http://marketnews.usda.gov/portal/lg /). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

December CBOT Wheat Basis (Chicago)

-110-100

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2001 2002 2003 2004 2005 2006 2007

December CBOT Wheat Bas

-110-100

-90-80-70-60-50-40-30-20-10

0

1020304050

Contract Year

Basis (cents/bu.)

2001 2002 2003 2004 
29

Figure 17. Delivery Location Basis for CBOT Wheat Futures Contracts, 2002H - 2008H

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, arouobservation for each contract year is the expiration day for the given contract, again around the 15th of the month. Cash price source: Agricultural Marketing Servic( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

March CBOT Wheat Basis (Chicago)

0000000000000

Contract Year

2002 2003 2004 2005 2006 2007 2008

March CBOT Wheat Basis (T

-90-80-70-60-50-40-30-20-10

0

102030

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 
30

Figure 18. Delivery Location Basis for CBOT Wheat Futures Contracts, 2002K - 2007K

Notes: Basis is plotted daily and computed as cash minus futures. The first observation for each contract year is the day after the preceding contract expires, aroobservation for each contract year is the expiration day for the given contract, again around the 15th of the month. Cash price source: Agricultural Marketing Serv( http://marketnews.usda.gov/portal/lg/ ). Futures price source: Commodity Systems Inc. ( http://www.csidata.com/ ).

May CBOT Wheat Basis (Chicago)

-90-80-70-60-50-40-30-20-10

0

10203040

Contract Year

Basis (cents/bu.)

2002 2003 2004 2005 2006 2007

May CBOT Wheat Basis (

-90-80-70-60-50-40-30-20-10

0

10203040

Contract Year

Basis (cents/bu.)

2002 2003 2004 200
31

-60

-50

-40

-30

-20

-10

0

10

20

2001Z

2002K2002U2003H2003N

2003Z

2004K2004U2005H2005N

2005Z

2006K2006U2007H2007N

2007Z

Contract

Basis (cents/bu.)

FDB

LDB

Figure 19. Delivery Location Basis on the First and Last Day of Expiration for 

CBOT Corn Futures Contracts, Chicago, 2001Z-2008H 

-70

-60

-50

-40

-30

-20

-10

0

10

20

2001Z

2002K2002U2003H2003N

2003Z

2004K2004U2005H2005N

2005Z

2006K2006U2007H2007N

2007Z

Contract

Basis (cents/bu.)

FDB

LDB

Figure 20. Delivery Location Basis on the First and Last Day of Expiration for 

CBOT Corn Futures Contracts, Illinois River North of Peoria, 2001Z-2008H 
32

-120

-100

-80

-60

-40

-20

0

20

40

2001X

2002K2002U2003H

2003Q

2004F

2004N

2004X

2005K2005U2006H

2006Q

2007F

2007N

2007X

Contract

Basis (cents/bu.)

FDB

LDB

Figure 21. Delivery Location Basis on the First and Last Day of Expiration for 

CBOT Soybean Futures Contracts, Chicago, 2001X-2008H 

-120

-100

-80

-60

-40

-20

0

20

40

2001X

2002K2002U2003H

2003Q

2004F

2004N

2004X

2005K2005U2006H

2006Q

2007F

2007N

2007X

Contract

Basis (cents/bu.)

FDB

LDB

Figure 22. Delivery Location Basis on the First and Last Day of Expiration for 

CBOT Soybean Futures Contracts, Illinois River North of Peoria, 2001X-2008H 
33

-120

-100

-80

-60

-40

-20

0

20

40

2001X

2002K2002U2003H

2003Q

2004F

2004N

2004X

2005K2005U2006H

2006Q

2007F

2007N

2007X

Contract

Basis (cents/bu.)

FDB

LDB

Figure 23. Delivery Location Basis on the First and Last Day of Expiration for 

CBOT Soybean Futures Contracts, Illinois River South of Peoria, 2001X-2008H 

-120

-100

-80

-60

-40

-20

0

20

40

2001X

2002K2002U2003H

2003Q

2004F

2004N

2004X

2005K2005U2006H

2006Q

2007F

2007N

2007X

Contract

Basis (cents/bu.)

FDB

LDB

Figure 24. Delivery Location Basis on the First and Last Day of Expiration for 

CBOT Soybean Futures Contracts, St. Louis, 2001X-2008H 
34

-100

-80

-60

-40

-20

0

20

40

2001Z

2002K2002U2003H2003N

2003Z

2004K2004U2005H2005N

2005Z

2006K2006U2007H2007N

2007Z

Contract

Basis (cents/bu.)

FDB

LDB

Figure 25. Delivery Location Basis on the First and Last Day of Expiration for 

CBOT Wheat Futures Contracts, Chicago, 2001Z-2008H 

-100

-80

-60

-40

-20

0

20

40

2001Z

2002K2002U2003H2003N

2003Z

2004K2004U2005H2005N

2005Z

2006K2006U2007H2007N

2007Z

Contract

Basis (cents/bu.)

FDB

LDB

Figure 26. Delivery Location Basis on the First and Last Day of Expiration for 

CBOT Wheat Futures Contracts, Toledo, 2001Z-2008H 
35

-60

-50

-40

-30

-20

-10

0

2006H2006K2006N2006U

2006Z

2007H2007K2007N2007U

2007Z

2008H

Contract

Basis (cents/bu.)

CHI

ILRVN

Figure 27. Basis on First Day of Delivery by Location, CBOT Corn Futures 

Contracts, 2006H-2008H 

-70

-60

-50

-40

-30

-20

-10

0

10

2006H2006K2006N2006U

2006Z

2007H2007K2007N2007U

2007Z

2008H

Contract

Basis (cents/bu.)

CHI

ILRVN

Figure 28. Basis on Last Day of Delivery by Location, CBOT Corn Futures 

Contracts, 2006H-2008H 
36

-120

-100

-80

-60

-40

-20

0

2006F

2006K

2006Q

2006X

2007H2007N2007U

2008F

Contract

Basis (cents/bu.)

CHI

ILRVN

ILRVS

STL

Figure 29. Basis on First Day of Delivery by Location, CBOT Soybean Futures 

Contracts, 2006F-2008H 

-120

-100

-80

-60

-40

-20

0

2006F

2006K

2006Q

2006X

2007H2007N2007U

2008F

Contract

Basis (cents/bu.)

CHI

ILRVN

ILRVS

STL

Figure 30. Basis on Last Day of Delivery by Location, CBOT Soybean Futures 

Contracts, 2006F-2008H 
37

-100

-80

-60

-40

-20

0

20

2006H2006K2006N2006U

2006Z

2007H2007K2007N2007U

2007Z

2008H

Contract

Basis (cents/bu.)

CHI

TOL

Figure 31. Basis on First Day of Delivery by Location, CBOT Wheat Futures 

Contracts, 2006H-2008H 

-100

-80

-60

-40

-20

0

20

2006H2006K2006N2006U

2006Z

2007H2007K2007N2007U

2007Z

2008H

Contract

Basis (cents/bu.)

CHI

TOL

Figure 32. Basis on Last Day of Delivery by Location, CBOT Wheat Futures 

Contracts, 2006H-2008H 
38

-40

-35

-30

-25

-20

-15

-10

-5

0

Mar May Jul Sep Dec

Contract Month

Basis (cents/bu.)

CHI

ILRVN

Figure 33. Average Basis on First Day of Delivery by Expiration Month, CBOT 

Corn Futures Contracts, 2006H-2008H 

-40

-35

-30

-25

-20

-15

-10

-5

0

Mar May Jul Sep Dec

Contract Month

Basis (cents/bu.)

CHI

ILRVN

Figure 34. Average Basis on Last Day of Delivery by Expiration Month, CBOT 

Corn Futures Contracts, 2006H-2008H 
39

-80

-70

-60

-50

-40

-30

-20

-10

0

Jan Mar May Jul Aug Sep Nov

Contract Month

Basis (cents/bu.)

CHI

ILRVN

ILRVS

STL

Figure 35. Average Basis on First Day of Delivery by Expiration Month, CBOT 

Soybean Futures Contracts, 2006F-2008H 

-80

-70

-60

-50

-40

-30

-20

-10

0

Jan Mar May Jul Aug Sep Nov

Contract Month

Basis (cents/bu.)

CHI

ILRVN

ILRVS

STL

Figure 36. Average Basis on Last Day of Delivery by Expiration Month, CBOT 

Soybean Futures Contracts, 2006F-2008H 
40

-80

-70

-60

-50

-40

-30

-20

-10

0

Mar May Jul Sep Dec

Contract Month

Basis (cents/bu.)

CHI

TOL

Figure 37. Average Basis on First Day of Delivery by Expiration Month, CBOT 

Wheat Futures Contracts, 2006H-2008H 

-70

-60

-50

-40

-30

-20

-10

0

Mar May Jul Sep Dec

Contract Month

Basis (cents/bu.)

CHI

TOL

Figure 38. Average Basis on Last Day of Delivery by Expiration Month, CBOT 

Wheat Futures Contracts, 2006H-2008H 
41

-100

-80

-60

-40

-20

0

20

40

60

80

100

-100 -80 -60 -40 -20 0 20 40 60 80 100

x = Initial Basis (cents/bu.)

y = Change in Basis (cents/bu.)

Intercept = 0

Slope = -1

R2 = 1 (all points on line)

Figure 39. Perfect Delivery Location Basis Predictability 
42

2006H-2008H

y = -0.75x - 9.10

R2

 = 0.37

2001Z-2005Z

y = -0.87x - 0.61

R2

 = 0.87

-40

-30

-20

-10

0

10

20

30

40

50

60

70

-70 -60 -50 -40 -30 -20 -10 0 10 20 30 40

x = Initial Basis (cents/bu.)

y = Change in Basis (cents/bu.)

Figure 40. Predictability of CBOT Corn Basis Change to First Day of Delivery, All 

Delivery Locations Pooled, 2001Z-2008H (2005U Omitted) 

2006H-2008H

y = -0.84x - 12.21

R2

 = 0.30

2001Z-2005Z

y = -0.82x - 0.99

R2

 = 0.82

-40

-30

-20

-10

0

10

20

30

40

50

60

70

-70 -60 -50 -40 -30 -20 -10 0 10 20 30 40

x = Initial Basis (cents/bu.)

y = Change in Basis (cents/bu.)

Figure 41. Predictability of CBOT Corn Basis Change to Last Day of Delivery, All 

Delivery Locations Pooled, 2001Z-2008H (2005U Omitted) 
43

2006F-2008H

y = -0.36x - 5.71

R2

 = 0.19

2001X-2005X

y = -0.87x - 9.03

R2

 = 0.78

-100

-80

-60

-40

-20

0

20

40

60

80

100

-100 -80 -60 -40 -20 0 20 40 60 80 100

x = Initial Basis (cents/bu.)

y = Change in Basis (cents/bu.)

Figure 42. Predictability of CBOT Soybeans Basis Change to First Day of Delivery, 

All Delivery Locations Pooled, 2001X-2008H (2005U Omitted) 

2006F-2008H

y = -0.19x - 2.30

R2

 = 0.05

2001X-2005X

y = -1.24x - 14.41

R2

 = 0.84

-150

-100

-50

0

50

100

-100 -80 -60 -40 -20 0 20 40 60 80 100

x = Initial Basis (cents/bu.)

y = Change in Basis (cents/bu.)

Figure 43. Predictability of CBOT Soybeans Basis Change to Last Day of Delivery, 

All Delivery Locations Pooled, 2001X-2008H (2005U Omitted) 
44

2001Z-2005Z

y = -0.57x + 2.23

R2 = 0.48

2006H-2008H

y = -0.41x - 9.94

R2 = 0.18

-40

-20

0

20

40

60

80

100

120

-120 -100 -80 -60 -40 -20 0 20 40

x = Initial Basis (cents/bu.)

y = Change in Basis (cents/bu.)

Figure 44. Predictability of CBOT Wheat Basis Change to First Day of Delivery, All 

Delivery Locations Pooled, 2001Z-2008H 

2001Z-2005Z

y = -0.79x - 1.16

R2 = 0.48

2006H-2008H

y = -0.57x - 14.16

R2 = 0.27

-40

-20

0

20

40

60

80

100

120

-120 -100 -80 -60 -40 -20 0 20 40

x = Initial Basis (cents/bu.)

y = Change in Basis (cents/bu.)

Figure 45. Predictability of CBOT Wheat Basis Change to Last Day of Delivery, All 

Delivery Locations Pooled, 2001Z-2008H