✦ LIBER ✦

Implied volatility forecasts in the grains complex

✍ Scribed by David P. Simon

Publisher: John Wiley and Sons
Year: 2002
Tongue: English
Weight: 179 KB
Volume: 22
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.10042

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This article finds that the implied volatilities of corn, soybean, and wheat futures options 4 weeks before
option expiration have significant predictive power for the underlying futures contract return volatilities through
option expiration from January 1988 through September 1999. These implied volatilities also encompass the
information in out‐of‐sample seasonal Glosten, Jagannathan, and Runkle (GJR;1993)
volatility forecasts. Evidence also demonstrates that when corn‐implied volatility rises relative to
out‐of‐sample seasonal GJR volatility forecasts, implied volatility substantially overpredicts
realized volatility. However, simulations of trading rules that involve selling corn option straddles when
corn‐implied volatility is high relative to out‐of‐sample GJR volatility forecasts indicate
that none of the trading rules would have been significantly profitable. This finding suggests that these options
are not necessarily overpriced. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:959–981, 2002

📜 SIMILAR VOLUMES

The forecast quality of CBOE implied vol

The forecast quality of CBOE implied volatility indexes

✍ Charles J. Corrado; Thomas W. Miller; Jr. 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 340 KB

We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 199

Computing the implied volatility in stoc

Computing the implied volatility in stochastic volatility models

✍ Henri Berestycki; Jérôme Busca; Igor Florent 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 213 KB 👁 1 views

Factors explaining movements in the impl

Factors explaining movements in the implied volatility surface

✍ Scott Mixon 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 211 KB

## Abstract This article explores the relationship of changes in the S&P 500 index implied volatility surface to economic state variables. Observable variables can explain some of the variation in implied volatility, with the majority of explanatory power from index returns. Although the contempora

Information content of volatilities impl

Information content of volatilities implied by option premiums in grain futures markets

✍ William W. Wilson; Hung-Gay Fung 📂 Article 📅 1990 🏛 John Wiley and Sons 🌐 English ⚖ 907 KB

Although the interest rate needs to be forecast, the study by Plato (1985) and others have shown that the interest rate forecast has little impact on the option premium. Therefore, the observed Treasury Bill interest rate is used as the parameter in this study.

The bias in time series volatility forec

The bias in time series volatility forecasts

✍ Louis H. Ederington; Wei Guan 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 137 KB

## Abstract By Jensen's inequality, a model's forecasts of the variance and standard deviation of returns cannot both be unbiased. This study explores the bias in GARCH type model forecasts of the standard deviation of returns, which we argue is the more appropriate volatility measure for most fina

The information content of implied volat

The information content of implied volatility in agricultural commodity markets

✍ Pierre Giot 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 112 KB 👁 2 views

## Abstract In this article we compare the incremental information content of lagged implied volatility to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. We also assess the relevance of the additional information provided b