{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/113845"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/113845","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Corn futures deliveries: Why? When? So what?","abstract":"Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2022-04-06 without embargo terms","abstract_html":"Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2022-04-06 without embargo terms","abstract_has_math":false,"creators":["Machado de Oliveira Fernandes, Vitor"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"M.S.","degree_level":"Thesis","degree_discipline":"Agricultural & Applied Econ","degree_department":null,"school":null,"contributors":["Robe, Michel A."],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2022,"date_issued":"2022-04-29T21:34:27Z","date_published":"2022-04-29T21:34:27Z","updated_at":"2026-07-22T22:24:53Z","subjects":["Agriculture"],"languages":["en","eng"],"rights":["© 2021 by Vitor Machado de Oliveira Fernandes. All rights reserved."],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/2142/113845","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Robe, Michel A."]},{"key":"dc:creator","label":"Author","values":["Machado de Oliveira Fernandes, Vitor"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2022-04-29T21:34:27Z","2021-12","2021-11-24"]},{"key":"dc:type","label":"Dc Type","values":["text","Thesis"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Agricultural & Applied Econ"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Thesis"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.S."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Agriculture"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["en","eng"]},{"key":"dc:rights","label":"Dc Rights","values":["© 2021 by Vitor Machado de Oliveira Fernandes. All rights reserved."]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/113845"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2022-04-06 without embargo terms","The student, Vitor Machado de Oliveira Fernandes, accepted the attached license on 2021-11-19 at 12:37.","The student, Vitor Machado de Oliveira Fernandes, submitted this Thesis for approval on 2021-11-19 at 13:01.","This Thesis was approved for publication on 2021-11-24 at 13:08.","DSpace SAF Submission Ingestion Package generated from Vireo submission #17232 on 2022-04-06 at 17:09:49","Made available in DSpace on 2022-04-29T21:34:27Z (GMT). No. of bitstreams: 2 MACHADODEOLIVEIRAFERNANDES-THESIS-2021.pdf: 1878998 bytes, checksum: 6c73ac233b407bf86eb406ec89795a99 (MD5) LICENSE.txt: 4232 bytes, checksum: be773469b71d1b0af5ec9f7436228f30 (MD5) Previous issue date: 2021-11-24","For grain and oilseed futures, deliveries facilitate convergence by allowing for arbitrage between the physical commodity and the “paper” (i.e., futures) markets. A sizeable literature has looked at deliveries to answer questions about price convergence and about the value of options embedded in commodity futures contract. The present paper focuses instead on explaining what drives deliveries and their timing, and it investigates possible feedback on futures prices when deliveries happen. We first explain the delivery process in detail, including the key role of Shipping Certificates. We then introduce the concept of Delivery Value Equivalent (DVE) as a framework for the decision-making process of whether a trader should “go for delivery” or not. Utilizing Chicago Board of Trade #2 Yellow Corn futures prices, New Orleans CIF basis quotes, and Delivery Zone 3 barge rates for all 576 delivery days over a 10-year period spanning January 2011 to April 2021, we use the DVE framework to elucidate why and when corn futures deliveries take place and their magnitudes, and to ask whether the publication by the exchange of information regarding intentions to deliver affects calendar spread prices. We show theoretically and empirically that the difference between the New Orleans basis and the DVE is a significant factor in explaining the occurrence and the number of deliveries. We document that physical market conditions and inventory levels (proxied by whether the market is in carry or not at the start of the delivery period) are essential to explaining whether deliveries (and thus convergence) begin early or late in the delivery period. Last, we do not find evidence that the release of information regarding new Shipping Certificates (which takes place between the close of the previous-day trading session and the opening of the next-day overnight trading session) impacts the nearby calendar-spread close-to-open return."]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["Corn futures deliveries: Why? When? So what?"]}]}],"canonical_facts":{"dc:contributor":["Robe, Michel A."],"dc:creator":["Machado de Oliveira Fernandes, Vitor"],"dc:date":["2022-04-29T21:34:27Z","2021-12","2021-11-24"],"dc:description":["Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2022-04-06 without embargo terms","The student, Vitor Machado de Oliveira Fernandes, accepted the attached license on 2021-11-19 at 12:37.","The student, Vitor Machado de Oliveira Fernandes, submitted this Thesis for approval on 2021-11-19 at 13:01.","This Thesis was approved for publication on 2021-11-24 at 13:08.","DSpace SAF Submission Ingestion Package generated from Vireo submission #17232 on 2022-04-06 at 17:09:49","Made available in DSpace on 2022-04-29T21:34:27Z (GMT). No. of bitstreams: 2 MACHADODEOLIVEIRAFERNANDES-THESIS-2021.pdf: 1878998 bytes, checksum: 6c73ac233b407bf86eb406ec89795a99 (MD5) LICENSE.txt: 4232 bytes, checksum: be773469b71d1b0af5ec9f7436228f30 (MD5) Previous issue date: 2021-11-24","For grain and oilseed futures, deliveries facilitate convergence by allowing for arbitrage between the physical commodity and the “paper” (i.e., futures) markets. A sizeable literature has looked at deliveries to answer questions about price convergence and about the value of options embedded in commodity futures contract. The present paper focuses instead on explaining what drives deliveries and their timing, and it investigates possible feedback on futures prices when deliveries happen. We first explain the delivery process in detail, including the key role of Shipping Certificates. We then introduce the concept of Delivery Value Equivalent (DVE) as a framework for the decision-making process of whether a trader should “go for delivery” or not. Utilizing Chicago Board of Trade #2 Yellow Corn futures prices, New Orleans CIF basis quotes, and Delivery Zone 3 barge rates for all 576 delivery days over a 10-year period spanning January 2011 to April 2021, we use the DVE framework to elucidate why and when corn futures deliveries take place and their magnitudes, and to ask whether the publication by the exchange of information regarding intentions to deliver affects calendar spread prices. We show theoretically and empirically that the difference between the New Orleans basis and the DVE is a significant factor in explaining the occurrence and the number of deliveries. We document that physical market conditions and inventory levels (proxied by whether the market is in carry or not at the start of the delivery period) are essential to explaining whether deliveries (and thus convergence) begin early or late in the delivery period. Last, we do not find evidence that the release of information regarding new Shipping Certificates (which takes place between the close of the previous-day trading session and the opening of the next-day overnight trading session) impacts the nearby calendar-spread close-to-open return."],"dc:format":["application/pdf"],"dc:identifier":["http://hdl.handle.net/2142/113845"],"dc:language":["en","eng"],"dc:rights":["© 2021 by Vitor Machado de Oliveira Fernandes. All rights reserved."],"dc:subject":["Agriculture"],"dc:title":["Corn futures deliveries: Why? When? So what?"],"dc:type":["text","Thesis"],"thesis:degree_discipline":["Agricultural & Applied Econ"],"thesis:degree_level":["Thesis"],"thesis:degree_name":["M.S."],"thesis:institution_name":["University of Illinois at Urbana-Champaign"]},"updated_at":"2026-07-22T22:24:53Z"}