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Turner’s Take Podcast | Synthetic Trading Values

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Turner's Take Podcast

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This week we go over the Ukraine/Russia war and how it caused limit up moves in the wheat markets. We then take a deeper dive into May Chicago Wheat and why it was the leader of all wheat contracts.  We end with a discussion on how we derive synthetic values using May SRW Wheat as an example. 

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Synthetic Trading Values

During the podcast I did a live market example of determining May Chicago Wheat synthetic values.  I have a screen shot of a similar example below.  May Wheat is limit up at $12.09 but synthetically it was trading at around $12.60.  Here is an example from today on how we figured out the synthetic value for May SRW Wheat.  Please see quote board below as a reference for the example.

  • At 12:58pm CT today May Wheat was locked limit up at $12.09; up 75 cents on the day
  • July Wheat was trading at $11.5050, only up 34.25 cents.  While May was limit up, July was still trading freely
  • The May/July futures spread was also trading freely.  The limit for futures spreads is twice the daily limit for flat priced futures.  May/July was at $1.0950, up 91.75 cents on the day, but the limit for futures spreads is $1.50 (75 cents X 2)
  • When May/July is at $1.0950, that means May is trading $1.0950 over July
  • July is freely trading at $11.5050
  • $11.5050 (July) + $1.0950 (May/July spread) = $12.60

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About Turner’s Take Podcast and Newsletter

If you are having trouble listening to the podcast, please click here for Turner’s Take Podcast episodes! Craig Turner – Commodity Futures Broker 312-706-7610 cturner@danielstrading.com Turner’s Take Ag Marketing: https://www.turnerstakeag.com Turner’s Take Spec: https://www.turnerstake.com Twitter: @Turners_Take Contact Craig Turner

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