Super-Contango, Hyper-Contango and the Impact of the COVID-19 Pandemic on wti Crude, Milk, and Other Agricultural Commodities

This paper explores whether agricultural commodities exhibited super-contango during the COVID-19 pandemic. We analyze the impact of the COVID-19 pandemic on the spot price, basis, arithmetic spot price changes, logarithmic spot price changes and arithmetic basis changes of WTI crude, Class III milk, corn, soybeans, winter wheat and spring wheat. We include the preceding period of the Sino-USA trade war for soybeans as this was unto itself an important historical event. We find the widening spread between nearby and distant Class III futures prices for milk between April and May 2020 to be ‘consistent’ with a super-contango event, but not for the soybean and grain crops. If this result holds to the scrutiny of further research, we believe that this is the first finding of a super-contango event for agricultural commodities and thus marks an important point of interest in the study for agricultural futures prices and the economics of storage.