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12 März 2022
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20 März 2022

Eine Tasse Kaffee für Sie

Nach dem Zucker von letzter Woche (Calendar spread auf Zucker), analysiere ich heute einen Kalenderspread auf einen anderen "soft" commodity, nämlich Kaffee. Ich orientiere mich an einem der von SpreadCharts empfohlenen Spreads. SpreadCharts verwendet ein eigenes System zur Auswahl von Futures und Spreads, das auf künstlicher Intelligenz basiert, um die besten Gelegenheiten des Augenblicks zu identifizieren. Der Spread, den ich analysieren werde, ist KCH23-KCU22, und ich werde dir zeigen, warum mir dieser Spread aufgefallen ist..

KCH23-KCU22 Seasonality stacked (SpreadCharts.com)

Die obige Seasonality stacked Grafik zeigt, dass der Spread in diesem Jahr deutlich niedriger ist als in den letzten neun Jahren. Darüber hinaus ist dies der einzige Spread, der sich zu diesem Zeitpunkt des Jahres in Backwardation befindet. Die Gründe dafür erkläre ich am Ende der Analyse, wenn ich auf die Grundlagen des Kaffees eingehe.

Diese Anomalie wird auch durch das nachstehende Continuous histogram bestätigt.

KCH23-KCU22 Continuous histogram (SpreadCharts.com)

In addition to the fact that the current spread is at an extreme level, well outside the 5th-95th percentile range, in the top left-hand corner I can read that over the last 20 years the spread has been above zero (i.e., in contango) 94.33% of the time and that therefore a negative spread is an anomaly.

To complete this part of the analysis, I show you how a backwardation at this point in the season represents an anomaly by taking the chart of the coffee term structure.

Comparing the current term structure with those of the 5- and 15-year averages, I can clearly see that the latter are in contango, with each delivery priced higher than the previous ones.

The motivation, therefore, that drives me to trade this spread is certainly not the seasonality, however I also show you the chart with the 5-, 15- and 30-year seasonal patterns.

KCH23-KCU22 chart with the seasonal patterns (SpreadCharts.com)

The three seasonal patterns are bullish and also well correlated. So, my trade does not go against seasonality. My analysis continues by checking how hedge funds are positioned on coffee. I do this by taking the chart with the net position of the C.O.T.

Investors' interest in coffee has been waning for some weeks now, so much so that the net position returned last Friday (although it would be more accurate to say last Tuesday since the data refers to that day) below, albeit slightly, the 40K "resistance". So, it is possible that in the coming weeks the price of coffee could fall, which would allow a return of the term structure in contango.

Other charts do not interest me since the trade, as mentioned, is based on an anomaly and not on seasonality. To conclude, let me turn to the fundamentals of coffee. First, in the second half of 2021 coffee crops in Brazil were hit first by abnormal frosts and then by a drought that significantly reduced their yield. This was compounded by logistical problems. So, there is a reduction in supply behind the sharp rise in coffee prices in 2021 and in the first weeks of 2022 (Brazil is the world's largest coffee producer and exporter).

Now, however, the situation seems to have settled down at least. There are three pieces of news that struck me most:

  1. Brazil exported 3.1 million 60-kg bags of green coffee in February, 14.3% less than a year ago but up from the previous month as global trade logistics improved.
  2. The forecast is for a crop of 63.38 million 60kg bags next season (2022/23). Brazil is estimated to produce a crop of 54.40 million bags in 2021/22, pushing the global arabica market into a large deficit of 8.45 million bags.
  3. The latest news can only be about the war in Ukraine (unfortunately) with coffee prices in India crashing. Russia accounts for 74% of India's coffee imports while Ukraine accounts for 20%. However, the main reason for the fall in prices is not the stalling of exports in either country but uncertainty and fear in European markets over the impact of the war.
    This problem is also expected to affect Brazil to some extent. The ban on ships docking in the two countries (Russia and Ukraine) and the removal of some Russian financial institutions from the SWIFT are creating difficulties that should be reflected in upcoming exports to Russia. Russia is the sixth-largest importer of Brazilian coffee.

My analysis has come to an end. Before drawing conclusions, I want to go back to the beginning of the article and show you the SpreadCharts signal regarding the KCH23-KCU22 spread.

SpreadCharts KCH23-KCU22 signal (SpreadCharts.com)

Conclusions. Everything agrees on a possible drop in coffee, a realignment of prices (term structure) and a return to normality. This would also lead to a rise in the KCH23-KCU22 spread which is the subject of my analysis. Certain is that the period is not exactly calm and from one week to the other the situation can be very different. Therefore, always make much attention and be prudent. Sometimes certain "occasions" can carry to losses much heavy one. I know many traders that to shorts the wheat they got burned.

David Carli
David Carli
David ist Finanzanalyst mit über 28 Jahren Erfahrung (davon zwei Jahre als Fondsmanager) im Bereich Währungen und Rohstoffe. Er zusammenarbeiten bei einer großen europäischen Rohstoff-Investmentgesellschaft und ist Autor mehrerer erfolgreicher Bücher über Handel und Finanzmärkte.

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