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1 results

  • Weekly Options on Grain Futures

  • Matthew Diersen, Zhiguang Wang
  • Journal:
    Journal of Agricultural and Applied Economics , FirstView
    Published online by Cambridge University Press:
    16 January 2025, pp. 1-26
    • Article
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  • We analyze 2017–2021 data to examine whether weekly options offer unique insights compared to regular options on grain futures. These weeklies, increasingly popular for short-term use around major United States Department of Agriculture (USDA) reports, are found to be more effective in predicting near-term volatility, challenging the conventional view of longer-dated options’ superiority. However, they overprice realized volatility by 420 basis points (bps) for corn and 280 bps for soybeans. Major USDA reports add a premium of 650 bps for corn and 240 bps for soybeans, highlighting a trend toward more time-sensitive trading strategies, though the long-term impact on market efficiency of weeklies remains subdued.