A rentabilidade dos contratos futuros de soja em relação ao mercado físico no município de Sorriso-MT

Abstract

This study aimed to identify the correlation between spot prices in the physical market and prices in the futures market, as well as analyze the behavior of prices according to time of year. The city taken as a basis for the research was Sorriso, whose grain production are highly relevant not only for the state of Mato Grosso, and throughout Brazil. The futures market is seen as a way to reduce the risks related to fluctuations in agricultural commodity prices and represent a form of risk transfer. Data were analyzed from soybean futures contracts with physical settlement (code: SOJ) maturing in May, July and November (codes: K, N and X, respectively), comparing prices from March 2007 to April 2011. The results indicate that there isn’t a convergence of prices when it approaches the expiration of contracts, indicating that there is a variation of the variable base over time. Was also observed a seasonal pattern of this variable: in the months February to May are the highest values of the base and this tends to decrease from May to December.