NZX milk price futures prices have broken through $9.00 a kg for the first time since the contract was introduced in 2016.
The September 2022 milk price futures contract last traded at $9.07, after strengthening over the last few weeks.
The futures price compares with Fonterra's current season forecast of $7.90 - $8.90 per kg, with an $8.40/kg mid-point.
A $8.40 milk price would equal the highest ever paid in Fonterra's history - in the 2013-14 season.
Westpac senior agri economist Nathan Penny said there was already "upside risk" to his $8.50/kg milk price forecast.
At the last auction early this month, the GDT index jumped by 4.3 per cent and wholemilk powder prices rose by 2.7 per cent to US$3,921 a tonne.
Futures market trading is also pointing to further increases in whole milk prices, with the February contract trading at US$4200 a tonne.
Beyond that, all the contract periods out to October 2022 point to prices in excess of US$4000 a tonne.
Mike McIntyre, head of derivatives at Jarden, said high milk price futures were being supported by improved wholemilk powder prices.
"Typically what you would say is that Chinese demand supports whole milk prices," he said.
"But in recent GDTs there have been a range of different buyers and I would suggest that the reason for that is there is a problem in just getting product at this time of year," McIntyre said.
He noted New Zealand milk collections have been down, and production had been falling in several other major dairy producing nations.
"A lot of that has to do with environmental constraints, which I think has been a theme that has resonated throughout the world.
"We are seeing that in New Zealand and we are seeing it in the likes of France and Germany, after initially seeing it in the likes of the Netherlands."
He said a rebound in interest from China - which fell below 40 per cent last auction compared with over 50 per cent typically - would be strongly supportive of prices at this Wednesday's GDT auction.
McIntyre expected to see a normalisation in cheddar prices after 14.1 per cent spike at the last auction, and good support for wholemilk powder, skim milk powder, anhydrous milk fat and butter.
"The reason for that is we are in our flush at the moment, the rest of the world's production is low and we are not providing as much milk right now as the rest of the world thought we were going to."
McIntyre said all dairy farmers should be making money at $9.00/kg, but he noted farmers' costs had escalated too.