MAF Intelligence introduces Weekly Insights, wherein we share our findings as derived from our quantitative models. This week, we identified trends in certain ICE, SGX, DCE and SHFE commodities.
- Strong correlation between ICE sugar and ICE coffee at 91.27%. From the Cross-Correlation Chart, we can gather a high correlation between the ICE Sugar No.11 Futures and ICE Coffee "C" Futures in recent transactions. This may be indicative of a possible direct relationship between the two commodities?from their price movements. It could be a good pair trading strategy for them.
- Deep backwardation in SGX Iron Ore. From the Forward Curve of the SGX TSI Iron Ore CFR China (SGX, FEF) we can see
- Price of SGX Iron Ore fully drives FFA freight rates up. Looking at the Correlation Chart, we can see that as As the SGX Iron Ore (SGX, FEF) rises, FFA freight rates quickly follow in recent transactions. This may be a continuing trend?
- Comparing the prices of DCE Iron ore and SHFE Rebar, spread trading is more intuitive.
That's it for this week's edition of Weekly Insights, and we hope you
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