We utilize confidential regulatory data to identify a typology of stakeholders on the Euronext milling wheat (“EBM”) market, and to document key patterns of market participation. Specifically, we identify the relative importance of different types of end-customers in the wheat market through 2019—in terms of both intraday transactions and overnight positions.For end-of-day positions, we differentiate between financial operators (with three separate categories for investment firms, funds, and other financial institutions ) and commercial actors (a category that groups producers, storers, transformers, and physical-market dealers and merchants). Euronext wheat is not part of any of the major investable commodity indices, and indeed we find virtually no long-only commodity index traders (CITs). Commercial traders are (in the aggregate) virtually net zero across all maturities. This pattern is in sharp contrast with US grain and oilseed futures markets, where regulatory data show that CITs account for over 30 percent of the long open interest while non-CIT commercial traders (as a group) are sharply net short.

Intuitively, insofar as CITs are price-insensitive, one would expect that the risk premia would be different in both markets. We propose a simple theoretical model tying the CITs’ aggregate long position to the difference between futures and expected future spot prices, and provide supporting empirical evidence on the difference between the risk premia in the US soft red winter vs. Euronext wheat markets.