| Estimated Implied Volatility for Revenue Assurance (decimal) |
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| Note:
The estimated implied volatility listed below, is based on
current option |
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| premiums.
The “official” implied volatility used to calculate
Revenue Assurance |
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| premiums
will not be released by RMA until after September 15.
The |
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| estimated
implied volatility may be useful for farmers and insurance agents in |
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| calculating
estimated RA premiums. A
special thanks to Bruce Babcock and |
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| Dermot
Hays, Iowa State University, for their help in understanding the
procedure. |
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| No
warranty for the implied volatility estimate is given or implied |
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| by the
author or any other party. |
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CBOT1 |
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KCBOT1 |
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WHEAT |
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WHEAT |
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| Last
Year's Volatility…………………………… |
0.22 |
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No Trade |
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| Est. 5
Day Current Moving Average……… |
0.19 |
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0.19 |
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CBOT |
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KCBOT |
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CBOT |
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KCBOT |
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WHEAT |
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WHEAT |
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WHEAT |
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WHEAT |
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Est. Implied Daily Volatility |
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Est. Implied Daily Volatility |
| 08/14/03 |
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0.1848 |
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0.2158 |
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08/29/03 |
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0.1785 |
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0.2037 |
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| 08/15/03 |
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0.2206 |
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0.2176 |
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09/02/03 |
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0.1781 |
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0.2024 |
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| 08/18/03 |
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0.1874 |
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0.2095 |
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09/03/03 |
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0.1787 |
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0.1935 |
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| 08/19/03 |
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0.1824 |
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0.2132 |
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09/04/03 |
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0.1729 |
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0.1896 |
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| 08/20/03 |
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0.1859 |
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0.2108 |
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09/05/03 |
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0.1765 |
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0.1871 |
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| 08/21/03 |
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0.1842 |
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0.2112 |
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09/08/032 |
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0.1737 |
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0.1866 |
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| 08/22/03 |
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0.1837 |
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0.2112 |
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09/09/032 |
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0.1808 |
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0.1854 |
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| 08/25/03 |
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0.1854 |
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0.2058 |
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09/10/032 |
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0.1809 |
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0.1858 |
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| 08/26/03 |
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0.1768 |
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0.2076 |
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09/11/032 |
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0.1879 |
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0.2121 |
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| 08/27/03 |
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0.1830 |
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0.2040 |
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09/12/032 |
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0.1887 |
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0.1853 |
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| 08/28/03 |
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0.1818 |
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0.2067 |
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| 1Only
the volatility for the 5 trading days before September 15 count in
the final RA volatility value. |
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| 2No
At-The-Money Option Trading, Used $3.40 Option, Open Interest is
less than 10 Contracts |
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