1

July 15, 2016 www.imf.org/commodities commodities@imf.org

This monthly report presents a price outlook and risk assessment for selected commodities as depicted from

futures and options markets.

Outlook. Oil spot prices are around 44 dollars sustained by a seasonal increase in demand and various supply

outages. Although, futures markets continue pointing to a modest increase over the next year, uncertainty

remains high. Major risk factors include sustained oil production growth and geopolitical risks coupled which

macroeconomic concerns following UK’s decision to leave the European Union. Gasoline prices are expected to

decline throughout the winter and slightly increase in higher demand summer months, while U.S. natural gas

prices are projected to rise in the coming winter and decline thereafter; both following seasonal patterns. Metal

prices are expected to remain broadly unchanged following ample supply and continued slow demand. The

outlook for agricultural commodity prices continues to be mixed, with corn, coffee, rice and wheat prices

increasing on weather concerns, but soybean and soybean meal prices moderately decreasing.

Risks. The likelihood of per-barrel prices for WTI falling below $25 in the next 12 months dropped to 2 percent

from 3 percent, and the likelihood of Brent falling below $25 remained broadly unchanged at 3 percent. The

likelihood of WTI and Brent oil prices rising above $60 decreased, signaling a decrease of risks. Overall uncertainty

dropped from historical high levels.

The likelihood of per-MMBtu U.S. natural gas prices below $2 (12 months forward) decreased to 11 percent from

14 percent, while the probability of prices rising above $3.5 increased to 16 percent from 12 percent, suggesting

an upward shift in the balance of risks.

For metals, the risk of copper prices falling below $1.5 a pound slightly decreased to 5 percent from 10 percent,

and the probability of prices increasing above $2.75 a pound increased from 4 percent to 10 percent, signaling an

upward shift in the balance of risks, in line with prospects of solid U.S. growth. The probability of gold prices

falling below $900 a troy ounce decreased to 2 percent from 5 percent, while the probability of an increase

beyond $1500 increased to 16 percent from 11 percent last month.

The likelihood of per bushel corn prices below $2.5 sharply increased, while the probability of prices increasing

above $5 decreased to 2 percent from 12 percent in June. The likelihood of soybean meal prices rising above $450

a short ton decreased to 12 percent from 14 percent. Meanwhile, the likelihood of per-bushel soybean prices

below $7 remained broadly unchanged at 3 percent, and the probability of an increase above $13 decreased to 10

percent from 12 percent last month.

Contents. Fan charts (pages 2-3) show historical and forward futures prices (red line), with calculated

confidence intervals of +/- 2 standard deviations (in purple/blue). Confidence intervals are derived from prices

of options on July 13, 2016. Likelihoods of spot prices rising/falling from specified price thresholds occurring at

the 3-, 6-, 9- and 12-month forward (or closest available) horizons for each commodity are shown in tabular

form (pages 4-5). In addition to price thresholds, the probability of each commodity spot price rising/falling by

a certain percentage is shown (pages 6-7). Relevant contract specifications for each commodity are also shown

(page 8).

Commodity Price Outlook & Risks

Research Department, Commodities Team

2

0

20

40

60

80

100

120

10 11 12 13 14 15 16 17

WTI Crude Oil (U.S. dollars a barrel)

0

20

40

60

80

100

120

140

160

10 11 12 13 14 15 16 17

Brent Crude Oil (U.S. dollars a barrel)

0

1

2

3

4

5

6

7

8

10 11 12 13 14 15 16 17

Natural Gas (U.S. dollars a MMBtu)

25

75

125

175

225

275

325

375

10 11 12 13 14 15 16 17

Gasoline (U.S. cents a gallon)

0

50

100

150

200

250

300

350

400

450

500

10 11 12 13 14 15 16 17

Copper (U.S. cents a pound)

600

800

1000

1200

1400

1600

1800

2000

10 11 12 13 14 15 16 17

Gold(U.S. dollars a troy ounce)

Selected Commodities—Market Price Outlook and Risks

3

100

200

300

400

500

600

700

800

900

10 11 12 13 14 15 16 17

Corn(U.S. cents a bushel)

0

50

100

150

200

250

300

350

10 11 12 13 14 15 16 17

Coffee(U.S. cents a pound)

6

8

10

12

14

16

18

20

10 11 12 13 14 15 16 17

Rough Rice(U.S. cents a hundredweight)

200

300

400

500

600

700

800

900

1000

1100

10 11 12 13 14 15 16 17

Wheat Price(U.S. cents a bushel)

300

500

700

900

1100

1300

1500

1700

1900

10 11 12 13 14 15 16 17

Soybeans (U.S. cents a bushel)

100

200

300

400

500

600

700

800

10 11 12 13 14 15 16 17

Soybean Meal (U.S. dollars a short ton)

Selected Commodities—Market Price Outlook and Risks

(concluded)

4

3 6 9 12 3 6 9 12

< 20 0.0 0.1 0.4 0.3 < 20 0.0 0.1 0.2 0.5

< 25 0.1 1.3 2.7 2.4 < 25 0.0 0.7 1.8 2.9

< 30 1.1 5.4 8.4 9.3 < 30 0.3 3.5 6.7 9.0

< 35 7.1 14.9 19.0 22.2 < 35 2.8 11.7 16.9 19.9

> 40 75.4 68.9 65.6 61.1 > 40 84.7 72.4 67.5 65.2

> 45 47.2 48.6 47.9 44.3 > 45 54.9 51.4 49.6 48.9

> 50 21.9 29.7 31.6 30.1 > 50 23.5 31.5 33.1 34.0

> 55 7.8 15.9 19.0 19.3 > 55 7.1 17.0 20.4 22.2

> 60 2.4 7.8 10.7 11.9 > 60 1.8 8.4 11.8 13.7

> 65 0.7 3.6 5.7 7.1 > 65 0.4 3.9 6.5 8.2

> 70 0.2 1.6 2.9 4.1 > 70 0.1 1.7 3.5 4.8

3 6 9 12 3 6 9 12

< 1.00 0.0 0.0 0.0 0.0 < 0.25 0.0 0.0 0.0 0.0

< 1.50 0.2 0.4 0.8 1.1 < 0.50 0.0 0.1 0.0 0.0

< 2.00 7.8 4.4 9.2 10.8 < 0.75 0.5 2.5 0.8 1.0

> 2.50 59.2 78.5 65.0 64.2 > 1.00 90.5 82.5 88.6 89.1

> 3.00 22.5 47.7 33.9 35.5 > 1.25 54.1 48.8 60.7 64.7

> 3.50 5.7 21.6 13.9 15.9 > 1.50 16.3 19.4 31.1 37.4

> 4.00 1.1 8.1 5.0 6.2 > 1.75 2.8 5.8 12.7 18.1

> 4.50 0.2 2.8 1.7 2.2 > 2.00 0.4 1.6 4.5 7.8

> 5.00 0.0 1.0 0.6 0.8 > 2.25 0.1 0.4 1.4 3.1

> 5.50 0.0 0.4 0.2 0.3 > 2.50 0.0 0.1 0.4 1.1

> 6.00 0.0 0.2 0.1 0.1 > 2.75 0.0 0.0 0.1 0.4

3 6 9 12 3 6 9 12

< 0.75 0.0 0.0 0.0 0.0 < 700 0.0 0.0 0.0 0.1

< 1.00 0.0 0.0 0.0 0.0 < 800 0.0 0.1 0.2 0.5

< 1.25 0.0 0.0 0.1 0.5 < 900 0.0 0.5 1.1 1.7

< 1.50 0.0 0.4 1.9 4.5 < 1000 0.1 2.1 3.5 4.6

< 1.75 0.8 5.3 10.4 16.9 > 1100 99.0 93.7 91.3 89.2

> 2.00 88.4 75.2 69.4 62.2 > 1200 93.1 82.4 78.9 75.9

> 2.25 43.4 42.1 41.6 39.3 > 1300 66.3 58.4 56.3 54.5

> 2.50 7.8 15.8 19.1 21.2 > 1400 24.6 30.2 31.1 31.7

> 2.75 1.0 4.5 7.3 10.1 > 1500 5.4 12.5 14.4 16.0

> 3.00 0.1 1.0 2.5 4.4 > 1600 1.2 5.0 6.5 7.7

> 3.25 0.0 0.2 0.8 1.8 > 1700 0.3 2.2 3.1 3.9

WTI Crude Oil

(probabilities in percent; prices in U.S. dollars a barrel)

Threshold

Prices

Months Forward

Brent Crude Oil

(probabilities in percent; prices in U.S. dollars a barrel)

Threshold

Prices

Months Forward

U.S. Natural Gas

(probabilities in percent; prices in U.S. dollars an MMBtu)

Threshold

Prices

Months Forward

Gasoline

(probabilities in percent; prices in U.S. dollars a gallon)

Threshold

Prices

Months Forward

Copper

(probabilities in percent; prices in U.S. dollars a pound)

Threshold

Prices

Months Forward

Gold

(probabilities in percent; prices in U.S. dollars a troy ounce)

Threshold

Prices

Months Forward

Options-based Price Thresholds

5

Options-based Price Thresholds (concluded)

3 6 9 12 3 6 9 12

< 2.0 0.0 0.2 0.6 0.4 < 0.6 0.0 0.0 0.2 0.3

< 2.5 8.0 22.3 23.9 21.6 < 0.8 0.0 0.2 2.0 2.4

< 3.0 45.6 51.1 49.4 47.1 < 1.0 0.2 3.6 7.7 8.9

> 3.5 15.2 23.8 27.8 29.4 < 1.2 4.4 18.0 22.7 24.4

> 4.0 2.2 9.5 13.2 13.9 > 1.4 63.6 54.4 51.9 51.1

> 4.5 0.3 3.2 5.6 5.8 > 1.6 17.6 25.7 27.4 27.7

> 5.0 0.0 1.0 2.1 2.2 > 1.8 2.4 10.1 12.4 13.2

> 5.5 0.0 0.3 0.8 0.8 > 2.0 0.3 3.7 5.5 6.1

> 6.0 0.0 0.1 0.3 0.3 > 2.2 0.0 1.2 2.5 3.0

> 6.5 0.0 0.0 0.1 0.1 > 2.4 0.0 0.4 1.3 1.5

> 7.0 0.0 0.0 0.0 0.0 > 2.6 0.0 0.1 0.7 0.8

3 6 9 12 3 6 9 12

< 0.07 0.0 1.5 2.7 3.7 < 2.5 0.0 0.0 0.1 0.3

< 0.08 1.1 7.3 9.9 11.3 < 3.0 0.6 0.5 1.7 2.5

< 0.09 9.9 20.2 23.0 24.4 < 3.5 3.2 5.5 9.0 10.9

< 0.10 34.9 39.0 40.4 41.0 < 4.0 19.2 23.2 25.1 27.2

< 0.11 66.5 58.8 58.1 57.8 < 4.5 63.1 51.3 46.8 47.8

> 0.12 12.1 24.8 27.0 28.0 > 5.0 8.1 23.7 32.8 33.1

> 0.13 3.2 13.4 16.1 17.4 > 5.5 1.6 9.1 17.8 18.9

> 0.14 0.6 6.7 9.0 10.3 > 6.0 0.5 2.9 8.7 9.9

> 0.15 0.1 3.1 4.8 5.8 > 6.5 0.2 0.8 3.9 4.8

> 0.16 0.0 1.4 2.5 3.2 > 7.0 0.0 0.2 1.7 2.2

> 0.17 0.0 0.6 1.2 1.8 > 7.5 0.0 0.0 0.7 1.0

3 6 9 12 3 6 9 12

< 5 0.0 0.1 0.1 0.2 < 100 0.0 0.0 0.0 0.0

< 6 0.0 0.3 0.4 0.7 < 150 0.0 0.0 0.1 0.3

< 7 0.2 1.2 2.5 3.4 < 200 0.1 0.5 2.9 4.5

< 8 1.3 4.9 10.0 11.7 < 250 0.6 5.6 14.6 18.0

< 9 5.1 16.0 25.5 27.6 > 300 92.4 77.8 64.3 60.8

> 10 81.3 64.1 53.9 52.2 > 350 65.9 52.6 41.5 39.4

> 11 47.7 41.1 34.0 33.1 > 400 31.3 29.3 23.6 23.0

> 12 17.0 22.3 19.0 18.7 > 450 10.0 14.0 12.2 12.4

> 13 5.1 10.6 9.7 9.8 > 500 2.4 6.0 5.9 6.4

> 14 1.8 4.5 4.5 4.7 > 550 0.5 2.3 2.7 3.1

> 15 0.7 1.8 2.0 2.2 > 600 0.1 0.9 1.2 1.5

Corn

(probabilities in percent; prices in U.S. dollars a bushel)

Threshold

Prices

Months Forward

Coffee

(probabilities in percent; prices in U.S. dollars a pound)

Threshold

Prices

Months Forward

Rough Rice

(probabilities in percent; prices in U.S. dollars a hundredweight)

Threshold

Prices

Months Forward

Wheat

(probabilities in percent; prices in U.S. dollars a bushel)

Threshold

Prices

Months Forward

Soybeans

(probabilities in percent; prices in U.S. dollars a bushel)

Threshold

Prices

Months Forward

Soybean Meal

(probabilities in percent; prices in U.S. dollars a short ton)

Threshold

Prices

Months Forward

6

Options-based Probabilities of Price Changes (in percent)

3 6 9 12 3 6 9 12

-50% 0.0 0.4 1.2 0.9 -50% 0.0 0.2 0.7 1.4

-30% 2.0 7.4 10.8 12.2 -30% 0.6 5.4 9.3 11.9

-10% 25.9 32.1 35.3 39.8 -10% 18.1 30.1 34.7 36.9

+10% 25.1 32.3 33.9 32.0 +10% 25.4 32.8 34.2 35.0

+30% 3.7 10.2 13.3 14.2 +30% 2.6 10.2 13.8 15.7

+50% 0.4 2.5 4.3 5.6 +50% 0.2 2.5 4.7 6.1

+100% 0.0 0.1 0.2 0.4 +100% 0.0 0.1 0.2 0.5

3 6 9 12 3 6 9 12

-50% 0.1 0.1 0.3 0.5 -50% 0.2 1.3 0.3 0.4

-30% 5.0 3.1 6.6 8.1 -30% 6.9 14.1 8.8 8.6

-10% 37.7 19.6 32.7 33.6 -10% 44.2 49.8 38.1 34.2

+10% 22.0 47.1 33.4 35.0 +10% 14.7 18.1 29.5 35.9

+30% 4.8 19.4 12.4 14.4 +30% 2.0 4.7 10.8 15.8

+50% 0.8 6.5 4.0 5.0 +50% 0.2 1.1 3.3 6.1

+100% 0.0 0.4 0.2 0.3 +100% 0.0 0.0 0.1 0.4

3 6 9 12 3 6 9 12

-50% 0.0 0.0 0.0 0.1 -50% 0.0 0.0 0.0 0.0

-30% 0.0 0.9 3.3 6.8 -30% 0.0 0.9 1.8 2.6

-10% 13.0 26.4 32.1 39.1 -10% 8.1 19.3 22.8 25.8

+10% 10.6 18.8 21.8 23.5 +10% 7.7 15.4 17.2 18.8

+30% 0.2 1.8 3.7 6.0 +30% 0.1 1.6 2.3 2.9

+50% 0.0 0.1 0.5 1.2 +50% 0.0 0.2 0.4 0.6

+100% 0.0 0.0 0.0 0.0 +100% 0.0 0.0 0.0 0.0

Copper Gold

Price

changes

Months Forward Price

changes

Months Forward

U.S. Natural Gas Gasoline

Price

changes

Months Forward Price

changes

Months Forward

WTI Crude Oil Brent Crude Oil

Price

changes

Months Forward Price

changes

Months Forward

7

Options-based Probabilities of Price Changes (concluded) (in percent)

3 6 9 12 3 6 9 12

-50% 0.0 0.0 0.2 0.1 -50% 0.0 0.0 1.1 1.3

-30% 0.5 5.8 7.7 6.5 -30% 0.3 4.6 8.8 10.2

-10% 26.4 38.7 38.5 36.1 -10% 17.8 32.7 36.7 38.1

+10% 14.1 22.9 27.0 28.5 +10% 16.4 24.8 26.6 26.9

+30% 0.7 5.5 8.6 9.0 +30% 0.8 6.2 8.2 9.0

+50% 0.0 1.0 2.2 2.3 +50% 0.1 1.3 2.6 3.0

+100% 0.0 0.0 0.0 0.0 +100% 0.0 0.0 0.2 0.3

3 6 9 12 3 6 9 12

-50% 0.0 0.0 0.1 0.2 -50% 0.0 0.0 0.0 0.0

-30% 0.1 2.8 4.5 5.6 -30% 0.5 0.4 1.6 2.4

-10% 19.0 28.0 30.4 31.5 -10% 10.7 15.7 18.9 21.1

+10% 20.3 31.8 33.5 34.2 +10% 22.3 38.2 45.1 44.6

+30% 1.2 8.8 11.3 12.6 +30% 1.4 8.3 16.9 17.9

+50% 0.0 1.7 3.0 3.8 +50% 0.2 1.0 4.7 5.6

+100% 0.0 0.0 0.1 0.2 +100% 0.0 0.0 0.1 0.2

3 6 9 12 3 6 9 12

-50% 0.0 0.2 0.2 0.4 -50% 0.0 0.3 2.2 3.5

-30% 1.1 4.2 8.9 10.5 -30% 2.0 11.3 23.0 26.8

-10% 22.7 39.5 49.4 51.0 -10% 33.8 47.2 58.3 60.4

+10% 10.3 16.7 14.6 14.5 +10% 17.6 20.0 16.7 16.6

+30% 1.0 2.5 2.6 2.8 +30% 2.1 5.5 5.5 6.0

+50% 0.1 0.3 0.4 0.5 +50% 0.2 1.2 1.6 2.0

+100% 0.0 0.0 0.0 0.0 +100% 0.0 0.0 0.1 0.1

Soybeans Soybean Meal

Price

changes

Months Forward Price

changes

Months Forward

Rough Rice Wheat

Price

changes

Months Forward Price

changes

Months Forward

Corn Coffee

Price

changes

Months Forward Price

changes

Months Forward

8

Commodity Exchange Contract Physical Characteristics Contract Size Pricing Unit Months Traded

Futures Light sweet crude oil 1,000 barrels U.S. dollars per barrel

OptionsOne crude oil futures

contract of 1,000 barrels

Futures Light sweet crude oil 1,000 barrels U.S. dollars per barrel

OptionsOne crude oil futures

contract of 1,000 barrels

FuturesNatural gas delivered at Henry

Hub, LA10,000 MMBtu U.S. dollars per MMBtu

OptionsOne natural gas futures

contract of 10,000 MMBtu

Futures New York Harbor RBOB 42,000 gallons U.S. cents per gallon

OptionsOne gasoline futures

contract of 42,000 gallons

FuturesGold (a minimum of 995

fineness)100 troy ounces

U.S. dollars per troy

ounce

OptionsOne COMEX Gold futures

contract

Futures Yellow corn grade #2 5,000 bushels (127 MT) U.S. cents per bushel

Options

One corn futures contract (of

a specified month) of 5,000

bushels

Futures

Arabica coffee from 19

countries of origin37,500 lbs U.S. cents per pound

Options

One coffee futures contract

(of a specified month) of

37,500 lbs

Futures

U.S. #2 long grain rough rice

with a total milling yield of

65%+

2,000 hundredweights (CWT)U.S. cents per

hundredweight

Options

One rough rice futures

contract of 2,000

hundredweights (CWT)

Futures #2 soft red winter wheat 5,000 bushels (136 MT) U.S. cents per bushel

Options

One Wheat futures contract

(of a specified month) of

5,000 bushels

FuturesMeal with minimum protein of

48%100 short tons U.S. dollars per ton

Options

One soybean meal futures

contract (of a specified

month) of 100 short tons

Futures Yellow soybean grade #2 5,000 bushels (136 MT) U.S. cents per bushel

Options

One soybean futures

contract (of a specified

month) of 5,000 bushels

Sources: Chicago Board of Trade, ICE, Bloomberg, L.P.

Current calendar month; the

next two calendar months;

any Feb, Apr, Aug, and Oct

falling within a 23-month

period; and any Jun and Dec

falling within a 72-month

period beginning with the

current month.

Consecutive months up to

and including February 2020

WTI crude oil

Consecutive months are

listed for the current year

and the next five years; in

addition, the Jun and Dec

contract months are listed

beyond the sixth year.

Gasoline

Consecutive months for the

current year plus the next

twelve full calendar years.

Consecutive months for 36

months

Brent crude

oil

Natural Gas

ICE Europe

New York

Mercantile

Exchange

New York

Mercantile

Exchange

New York

Mercantile

Exchange

Corn

Wheat

Soybeans

Gold

Chicago

Mercantile

Exchange

Coffee

Rough rice

Soybean meal

Chicago

Mercantile

Exchange

ICE

Chicago

Mercantile

Exchange

Chicago

Mercantile

Exchange

Chicago

Mercantile

Exchange

Chicago

Mercantile

Exchange

Jan, Mar, May, Jul, Aug, Sep,

Nov. The monthly option

contract exercises into the

nearby futures contract.

Mar, May, Jul, Sep, Dec. The

monthly option contract

exercises into the nearby

futures contract.

Mar, May, Jul, Sep, Dec. The

monthly option contract

exercises into the nearby

futures contract.

Jan, Mar, May, Jul, Sep, Nov.

The monthly option contract

exercises into the nearby

futures contract.

Mar, May, July, Sep, Dec. The

monthly option contract

exercises into the nearby

futures contract.

Jan, Mar, May, Jul, Aug, Sep,

Oct, Dec. The monthly option

contract exercises into the

nearby futures contract.

Commodity Derivative Contract Specifications