RISK ASSESSED MARKETING
DR. G. A. “ART” BARNABY, JR.
PHONE: 785-532-1515
FAX: 785-532-6925
WEB Page http://www.agecon.ksu.edu/risk/
E-MAIL: abarnaby@agecon.ksu.edu
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Copyright 2002. All rights reserved by author.
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Disclaimer: This web page is designed to aid farmers with their marketing and risk management decisions. The risk of loss in trading futures, options, forward contracts, and hedge-to-arrive can be substantial and no warranty is given or implied by the author or any other party. Each farmer must consider whether such marketing strategies are appropriate for his or her situation. This web page does not represent the views of Kansas State University. 
Disclosure:  Dr. Barnaby’s research was the basis for the privately developed Crop Revenue Coverage.

Estimated Implied Volatility for Revenue Assurance (decimal)

Note:  The estimated implied volatility listed below, is based on current option

premiums.  The “official” implied volatility used to calculate Revenue Assurance

premiums will not be released by RMA until after September 15.  The

estimated implied volatility may be useful for farmers and insurance agents in

calculating estimated RA premiums.  A special thanks to Bruce Babcock and

Dermot Hays, Iowa State University, for their help in understanding the procedure.

 

 

 

 

 

 

 

 

 

 

 

No warranty for the implied volatility estimate is given or implied

by the author or any other party.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CBOT1

 

KCBOT1

 

 

 

 

 

 

 

 

WHEAT

 

WHEAT

 

 

Last Year's Volatility……………………………

 

0.1700

 

No Trade

 

 

 

 

 

 

 

 

 

 

 

 

 

Est. 5 Day Current Moving Average………

0.2225

 

0.2225

 

 

 

 

CBOT

 

KCBOT

 

 

 

CBOT

 

KCBOT

 

 

WHEAT

 

WHEAT

 

 

 

WHEAT

 

WHEAT

 

Est. Implied Daily Volatility

 

Est. Implied Daily Volatility

8/26/02

 

0.2202

 

0.2015

 

9/5/02

 

0.2030

 

0.2019

8/27/02

 

0.2164

 

0.1949

 

9/6/02

 

0.2052

 

0.2079

8/28/02

 

0.2105

 

0.2018

 

9/9/02

 

0.2234

 

0.2250

8/29/02

 

0.2240

 

0.2013

 

9/10/02

 

0.2170

 

0.2245

8/30/02

 

0.2136

 

0.1920

 

9/11/02

 

0.2215

 

0.2248

9/3/02

 

0.2124

 

0.1908

 

9/12/02

 

0.2215

 

0.2216

9/4/02

 

0.2162

 

0.1938

 

9/13/02

 

0.2210

 

0.2164

 

 

 

 

 

 

 

 

 

 

 

1Only the volatility for the 5 trading days before September 15 count in the final RA volatility value.

 

 
 

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