Something extraordinary happened in the futures grain market beginning in 2005. The cash price and futures price, which normally converge by the time a grain contract matures, weren’t coming together. Instead, they were moving farther apart—and not by just a little. By September 2008, the wheat futures price was an unprecedented $2 higher per bushel than the spot price in Toledo at delivery. What caused this unusual non-convergence was a simple difference in the storage rate, but discovering that took several researchers almost three years of hard work and quite a bit of anxiety.