Commodity Index Rebalancing

The large commodity indexes are due to start their annual roll on the 5th Business day of Jan for 5 days. This involves selling winning commodities from the prior year and buying losing ones so that the weights remain intact and also some change in weights based on an analysis of production. Does anyone have a good guess of total usd amounts linked to these index? Best I have is c200 bill, and is what I am using for oil.

This is the best link I have for it and looks like they went ahead with this for the GSCI. Best thing to look at is the dollar weighted change which shows the proposed reweightings in basis points.

Basic story for oil (what I focus on) is a chunk of WTI selling, brt buying, gasoline buying (as if we need that right now) and heating and gas oil selling. The volumes are not super big basically because all commodities went up so much although oil increased big it was basically around the same as the index as a whole. I think there is net selling across the oil contracts of one percent of the money following the index, so basically if you believe 200 bill that is 2 bill of oil which is around 25k contracts over 5 days so 5k per day. Not huge but enough to maybe create some volatility around settlement in quiet markets. You may see gasoline outperform heat and gas oil during the rolls as these are less liquid contracts. I am always amazed at how little this effects things, maybe as info so public.

submitted by /u/Three_Tons
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