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Estimated Implied Volatility for Revenue Assurance (decimal) |
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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 March 1, 2005. The estimated implied volatility may be useful for
farmers and insurance agents in calculating estimated RA premiums. A
special thanks to RMA for their help validating the KSU model used to
estimate RA volatility. |
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No warranty for the implied volatility estimate is given or implied by
the author or any other party. The method for calculating volatility is
subject to change without notice from RMA. |
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CBOT |
CBOT |
MGE |
| |
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|
|
CORN |
S-BEAN |
S Wheat |
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2000's CRC High Price Factor
.
.
|
0.2120 |
0.5000 |
0.4720 |
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2000's CRC Low Price Factor
.
.
.
|
0.2280 |
0.5040 |
0.4480 |
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2001's CRC High Price Factor
..
|
0.2080 |
0.4900 |
0.4580 |
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2001's CRC Low Price Factor
.
.. |
0.2280 |
0.5000 |
0.4480 |
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2002's CRC High Price Factor
.
.
|
0.2110 |
0.4900 |
0.2220 |
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2002's CRC Low Price Factor
...
|
0.2270 |
0.5000 |
0.2390 |
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2003's CRC High Price Factor
..
|
0.3858 |
0.7292 |
0.2220 |
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2003's CRC Low Price Factor
...
|
0.3858 |
0.7292 |
0.2390 |
|
2004's CRC High Price Factor
..
|
0.3500 |
0.8400 |
0.2380 |
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2004's CRC Low Price Factor
...
|
0.3500 |
0.8400 |
0.2300 |
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2000's RA Volatility
.
..
|
0.21 |
0.20 |
0.16 |
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2001's RA Volatility
...
|
0.20 |
0.16 |
0.13 |
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2002's RA Volatility
...
|
0.18 |
0.16 |
0.11 |
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2003's RA Volatility
.
..
|
0.20 |
0.18 |
0.15 |
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2004's RA Volatility
...
|
0.21 |
0.21 |
0.16 |
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Last Updated 02/28/05 |
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Estimated CRC High/Low Factors1
|
.29-.35 |
.73-.75 |
.26-.27 |
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Est. 5 Day Current Moving Average Volatility2
|
20.6 |
20.6 |
14.2 |
| |
CBOT |
CBOT |
MGE |
|
CBOT |
CBOT |
MGE |
| |
CORN |
S-BEAN |
S Wheat |
|
CORN |
S-BEAN |
S Wheat |
|
|
|
|
|
|
02/01/05 |
18.1673 |
17.9672 |
N/A |
02/15/05 |
18.3885 |
18.5453 |
11.6833 |
|
02/02/05 |
18.3721 |
17.6418 |
12.0386 |
02/16/05 |
18.3598 |
18.3501 |
12.0117 |
|
02/03/05 |
17.8273 |
17.7222 |
11.9916 |
02/17/05 |
18.4786 |
19.0928 |
11.9581 |
|
02/04/05 |
18.1099 |
18.0591 |
12.0721 |
02/18/05 |
18.7899 |
19.6096 |
11.4755 |
|
02/07/05 |
18.0198 |
17.7873 |
12.0319 |
02/22/05 |
19.8877 |
20.1609 |
13.3993 |
|
02/08/05 |
18.0853 |
17.8332 |
12.2866 |
02/23/05 |
20.3506 |
20.4596 |
13.4127 |
|
02/09/05 |
18.2492 |
17.7873 |
12.2128 |
02/24/05 |
20.2564 |
20.1724 |
14.1500 |
|
02/10/05 |
18.1714 |
18.2007 |
12.2665 |
02/25/05 |
21.4771 |
20.7122 |
14.4516 |
|
02/11/05 |
18.4663 |
18.6908 |
12.7357 |
02/28/05 |
21.2764 |
21.3554 |
15.6649 |
|
02/14/05 |
18.4376 |
18.6831 |
13.5869 |
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1These estimates for the High/Low price
factors are ball park estimates. RMA
solves for the High/Low price factors that will generate CRC premiums
"similar" to RA-HPO. As a result it is useless to try an estimate CRC
High/Low price factors because the best estimate for CRC premiums is the
estimated RA-HPO premium. However, there will be "small" premium
differences between CRC and RA-HPO once RMA announces the official
High/Low factors. In the Southern USA counties with sales closing
before 3/15 RMA has set the High/Low CRC price factors at 0.294 for
corn, 0.720 for soybeans, and 0.272 for grain sorghum for 2005. |
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2Only the volatility for the 5 trading
days before March 1 count in the final RA volatility value. |
