CBOT September Futures: Delivery Expectations and Price Implications

The CBOT September Futures market, a cornerstone of grain trading, operates under a unique dynamic where delivery volumes on First Notice Day (FND) act as a barometer for short-term market sentiment. For grain investors, understanding this interplay is critical to navigating price volatility and optimizing risk management strategies. Historical data from CME Group’s CBOT Delivery Reports and Volume & Open Interest Reports reveal a clear pattern: low delivery volumes on FND often correlate with bullish conditions, while high volumes signal bearish pressure on nearby futures prices [1].

The Mechanics of First Notice Day

First Notice Day marks the start of the period during which long futures positions may be assigned physical delivery obligations. For CBOT grain contracts, this date typically falls in late August for September expirations, as seen in the 2025 Corn Futures Calendar (August 29, 2025) [3]. Traders are advised to close positions at least two days before FND to avoid unintended delivery [4]. However, delivery volumes on FND itself provide a snapshot of market activity, reflecting the number of contracts assigned for physical settlement.

Historical delivery data from CME Group’s CBOT Delivery Reports show that delivery volumes are influenced by factors such as seasonal demand, basis differentials, and hedging activity. For instance, during periods of weak physical market demand, delivery volumes tend to contract, signaling reduced pressure on nearby futures prices. Conversely, robust delivery volumes often coincide with tight supply-demand balances, driving downward pressure on prices as holders scramble to offload obligations [1].

Low vs. High Delivery Volumes: Sentiment Signals

Low delivery expectations on FND are a bullish indicator. When few contracts are assigned for delivery, it suggests that market participants are either rolling positions forward or that physical demand is subdued. This scenario often reflects a surplus of paper trading activity relative to actual commodity flows, which can lead to price stabilization or upward momentum as speculative longs remain unchallenged [2].

Conversely, high delivery volumes act as a bearish signal. A surge in physical settlements indicates that holders are actively taking delivery, often due to strong cash market demand or forced liquidation of speculative positions. This dynamic can create downward pressure on nearby futures prices, as seen in historical corn futures data where spikes in delivery volumes correlated with price corrections [3].

Strategic Positioning for Traders

For grain investors, the key to leveraging these signals lies in proactive positioning. Here are three actionable strategies:

1. Pre-FND Position Adjustments: Traders should monitor delivery volume trends in the days leading up to FND. If data suggests low delivery expectations, maintaining long positions or adding to bullish bets may be prudent. Conversely, high delivery volumes warrant caution, with traders advised to hedge or reduce exposure to nearby contracts [4].

2. Delivery Data as a Timing Tool: Historical delivery reports (accessible via CME Group’s Notice Search) can help identify patterns in delivery behavior. For example, if delivery volumes on FND have historically averaged below 500 contracts for a given grain, traders might anticipate a bullish bias and adjust their portfolios accordingly [1].

3. Hedging Against Delivery Risk: Investors with physical exposure should use FND as a trigger for hedging. By locking in prices before FND, producers and end-users can mitigate the risk of delivery-related price swings. This is particularly relevant for corn and soybean markets, where delivery volumes can amplify short-term volatility [3].

Conclusion

The CBOT September Futures market’s delivery dynamics on First Notice Day offer a unique lens through which to assess short-term sentiment and price direction. By dissecting delivery volumes, grain investors can gain actionable insights into market imbalances, whether bullish or bearish. As the 2025 Corn Futures approach their FND on August 29, traders would be wise to leverage historical delivery data and adjust their strategies accordingly. In a market where timing is everything, understanding the language of delivery volumes is a powerful tool for risk management and profit maximization.

Source:
[1] CBOT Delivery Reports, [https://www.cmegroup.com/solutions/clearing/operations-and-deliveries/cbot-delivery-reports.html]
[2] Delivery Process at the CBOT, [https://www.wrightonthemarket.com/post/delivery-process-at-the-cbot]
[3] Corn Futures Calendar, [https://www.cmegroup.com/markets/agriculture/grains/corn.calendar.html]
[4] First Notice Day: What It Is and How It Works, [https://www.investopedia.com/terms/f/firstnoticeday.asp]