Deliveries on Commodity Futures Contracts

Anne E. Peck and Jeffrey C. Williams

The Economic Record, 1992, vol. 68, issue S1, 63-74

Abstract: Deliveries on futures contracts are widely thought to be relatively insignificant in amount; indeed sizeable deliveries are taken to indicate problems in a futures market. In fact, deliveries on five of the largest, physical delivery, futures markets in the US average approximately 10 per cent of the maximum open interest in each delivery month. Analysis also demonstrated the value of the timing and location options often provided by contract specifications. One implication is that measures of market performance like hedging effectiveness are sensitive to the imbedded options' effects on prices

Date: 1992
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