Speculative Positioning and Market Liquidity in Agricultural Futures During the Covid-19 Pandemic: Evidence From CBOT Commitments of Traders Data

The COVID-19 pandemic intensified disruptions across global agricultural markets, raising concerns about the growing disconnect between physical commodity fundamentals and futures market dynamics. This study investigates changes in liquidity and speculative activity in the main agricultural futures contracts traded on the Chicago Board of Trade (CBOT)—corn, soybeans, wheat (HRW and SRW), and rough rice—using disaggregated Commitments of Traders (COT) data published by the Commodity Futures Trading Commission (CFTC) for the period 2019–2025.
The analysis compares three distinct phases: the pre-pandemic period (2019), the pandemic peak (2020–2021), and the post-pandemic period (2022–2025). Changes in Open Interest (OI), trader positioning, speculative participation, and the relationship between market liquidity and trading behaviour are examined through descriptive and correlational measures, with indicators normalised to ensure comparability across periods.
Results indicate that cumulative OI expanded significantly in the post-pandemic phase, representing 53.7% of cumulative Open Interest across the sample, while average OI declined by 9.1% relative to pre-COVID levels, suggesting a temporary compression of market liquidity. Commercial hedgers maintained persistently negative net positions (average: -113,762 contracts), confirming their stabilising and counter-cyclical role. Conversely, speculative traders exhibited strongly pro-cyclical behaviour during the pandemic peak, with positive correlations between OI and net positions reaching 0.87. Swap dealers and index funds acted respectively as systemic intermediaries and passive amplifiers of market dynamics. Although the speculative share of OI declined during the most acute phase of the crisis, it subsequently recovered as market conditions normalised.
The findings suggest that the pandemic reinforced the financialization of agricultural commodity markets without generating destabilising speculative spirals. Nevertheless, increased financial participation may have heightened the vulnerability of net food-importing countries to price shocks. The study highlights the importance of transparency-enhancing regulatory frameworks (CFTC, MiFID II) and of distinguishing between risk-management activities and passive financial flows in commodity market governance.

Agricultural futures, Commitments of Traders, COVID-19, Financialization, Market liquidity, Food security

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