We establish several new findings on the relation between open interest in commod-ity markets and asset returns. High commodity market activity, as measured by high open-interest growth, predicts high commodity returns and low bond returns. Open-interest growth is a more powerful and robust predictor of commodity returns than other known predictors such as the short rate, the yield spread, the basis, and hedg-ing pressure. Although positively correlated with commodity returns, open-interest growth contains information for future asset returns beyond contemporaneous com-modity prices. Open-interest growth also predicts changes in inflation and inflation expectations. These findings suggest that open-interest growth contains information about future inflation that gets priced into commodity and bond markets with delay. Our findings are consistent with recent theories of gradual information diffusion and have implications for macroeconomic forecasting models.