Trading Behavior in Agricultural Commodity Futures around the 52-Week High

Utilizing the Commodity Futures Trading Commission’s Commitment of Traders report, we examine the behavior of traders in three large agricultural futures markets (corn, soybean, and wheat) when prices are at a key technical trading level—the 52-week high (the highest price during the past year). Our empirical results confirm that, consistent with hedging behavior, commercial traders tend to be negative feedback traders, while non-commercial traders tend to be momentum traders. In both cases, there is a moderating effect when the market is at the 52-week high. For non-commercial traders, this effect is concentrated in short positions. Although we find no evidence of a broad market timing ability from any trader type, trader positions appear to be more informative when the market is at the 52-week high. Our results have implications for traders attempting to time market entry.