Monday, November 5, 2007

New commodity weights for GSCI

The new weights for the GSCI have been announced for 2008. There were few surprises accept for the large change in unleaded gas which increased 330% over last year. This will bring sizable amount of open interest to the contract as well as more trading volume especially during roll periods. Grains showed increase percentages across the board except for Kansas City wheat. Softs and live stock markets remained the same. The energy complex overall remained close to last year except for the relative change with gasoline. Gold showed a slight decrease in the metals sector.

While not the same as the issues with additions and deletions of the S&P 500, there will be an effect from changing weights. There should be upward pressure on those commodities that have weight increases and downward pressure on those with declining weights. The impact will be greatest during roll periods.

Index volume has continued to explode with strong interest across all of the major markets


Following is a table showing the commodities weighting in
percent of the total GSCI index for 2007 and 2008.
                                                                PCT        PCT
COMMODITY                                       2007       2008
Wheat ( Chicago )                                                 3.14       3.40
KBT Wheat ( Kansas )                                           1.12       0.79
CBT Corn                                                              3.27       3.30
CBT Soybeans                                                      1.79       1.84
ICE US3 Coffee "C"                                                0.70       0.69
ICE US Sugar #11                                                 1.22       1.23
ICE - US Cocoa                                                     0.21       0.22
ICE - US Cotton #2                                                0.87       0.90
CME Lean Hogs                                                   1.54       1.53
CME Cattle (Live)                                                  2.72       2.74
CME Cattle (Feeder)                                             0.62       0.54
NYM/ICE Oil (WTI Crude)                                     35.12      35.32
NYM Oil (#2 Heating)                                           5.76       4.68
NYM Oil (RBOB)                                                 1.37       4.55
ICE - UK4 Oil (Brent Crude)                                14.62      13.04
ICE - UK Oil (Gasoil)                                          5.01       4.55
NYM/ICE Natural Gas                                       7.71       7.48
LME Aluminum (High Gd. Prim.)                       3.41       3.49
LME Copper (Grade A)                                    4.05       4.01
LME Standard Lead                                        0.52       0.52
LME Primary Nickel                                       1.62       1.64
LME Zinc (Spl. High Grade)                            1.28       1.29
CMX Gold                                                      2.04       1.95
CMX Silver                                                     0.29       0.29
Source: Standard & Poor's.

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