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   Home / Crops / Insurance / Risk Management

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. 
Estimated Implied Volatility for Revenue Assurance  
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, 2006.  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.
             
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.  
             
          CBOT KCBOT Portland
          Wheat Wheat Wheat
2000's CRC High Price Factor… …….. ……..….. 0.2850 0.3040 0.4540
2000's CRC Low Price Factor…. …….. ……..….. 0.3120 0.3140 0.4430
2001's CRC High Price Factor… …….. ……..….. 0.2800 0.2980 0.4070
2001's CRC Low Price Factor…. …….. ……..….. 0.3150 0.3110 0.4490
2002's CRC High Price Factor… …….. ……..….. 0.2750 0.2920 0.4000
2002's CRC Low Price Factor…. …….. ……..….. 0.3100 0.3060 0.4400
2003's CRC High Price Factor… …….. ……..….. 0.2750 0.2920 0.4000
2003's CRC Low Price Factor…. …….. ……..….. 0.3100 0.3060 0.4400
2004's CRC High/Low Price Factor..… ……..….. 0.3100 0.3100 0.3500
2005's CRC High/Low Price Factor….. ……..….. 0.3730 0.3770 0.4400
2006's CRC High/Low Price Factor….. ……..….. 0.4200 0.3640 0.4960
2001's RA Volatility.. …….…..….. …….. ……..….. 0.20 0.20 N/A
2002's RA Volatility.. …….…..….. …….. ……..….. 0.18 0.18 N/A
2003's RA Volatility.. …….…..….. …….. ……..….. 0.22 0.22 N/A
2004's RA Volatility.. …….…..….. …….. ……..….. 0.19 0.19 N/A
2005's RA Volatility.. …….…..….. …….. ……..….. 0.21 0.19 N/A
2006's RA Volatility.. …….…..….. …….. ……..….. 0.19 0.18 N/A
    Updated 09/14/06      
Estimated CRC High/Low Factors1…………… ? ? ?
Est. 5 Day Current Moving Average Volatility2 20.5 20.3  
  CBOT KCBOT     CBOT KCBOT  
  WHEAT     WHEAT  
08/18/06 21.2529 19.7106   09/01/06 22.5719 19.6160  
08/21/06 21.1500 19.3727   09/05/06 22.5509 19.7178  
08/22/06 21.3025 19.1502   09/06/06 22.5598 19.7402  
08/23/06 21.5803 19.0091   09/07/06 22.4054 19.7640  
08/24/06 21.8667 18.9429   09/08/06 22.1977 19.8604  
08/25/06 22.1173 19.0096   09/11/06 22.3453 20.1995  
08/28/06 22.3181 19.0658   09/12/06 21.9580 20.1630  
08/29/06 22.3684 19.2218   09/13/06 21.4108 20.2881  
08/30/06 22.4573 19.3476   09/14/06 20.5472 20.2507  
08/31/06 22.5717 19.6150          
             
1CRC High/Low Price Factors are subject to change without notice.  H\L Factors are released after the RA premiums are set because CRC rates are set to duplicate RA premium rates.  
2Only the volatility for the 5 trading days before September 15 count in the final RA volatility value.  

 
 
 
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