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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. 
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 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.
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 CBOT MGE NYCE
            CORN S-BEAN S Wheat Cotton
2000's CRC High Price Factor…………….….…… 0.2120 0.5000 0.4720 0.057
2000's CRC Low Price Factor…….……….…….… 0.2280 0.5040 0.4480 0.059
2001's CRC High Price Factor…………..………… 0.2080 0.4900 0.4580 0.056
2001's CRC Low Price Factor…………….……….. 0.2280 0.5000 0.4480 0.058
2002's CRC High Price Factor……………….….… 0.2110 0.4900 0.2220 0.056
2002's CRC Low Price Factor……………...……… 0.2270 0.5000 0.2390 0.058
2003's CRC High/Low Price Factor…………..…… 0.3858 0.7292 0.2220 0.060
2004's CRC High/Low Price Factor…………..…… 0.3500 0.8400 0.2380 0.070
2005's CRC High/Low Price Factor………………. 0.3210 0.6550 0.2900 0.052
2000's RA Volatility…………….………..…………… 0.21 0.20 0.16  
2001's RA Volatility………………………...………… 0.20 0.16 0.13  
2002's RA Volatility……………………...…………… 0.18 0.16 0.11  
2003's RA Volatility…………….………..…………… 0.20 0.18 0.15 0.14
2004's RA Volatility……………………...…………… 0.21 0.21 0.16 0.17
2005's RA Volatility……………………...…………… 0.21 0.21 0.14 0.21
Last Updated 02/28/06  
Estimated CRC High/Low Factors1 ………………………… 0.3563 0.7323 0.3451 0.059
Est. 5 Day Current Moving Average Volatility2………………………… 23.1 21.7 19.2 17.9
  CBOT CBOT MGE NYCE   CBOT CBOT MGE NYCE
  CORN SBEAN Wheat Cotton   CORN S-BEAN Wheat Cotton
         
01/27/06 19.9033 19.9389 14.0492   02/13/06 22.1383 22.8343 16.5558 19.2867
01/30/06 20.1245 19.8240 14.4629   02/14/06 22.3464 21.6060 16.9870 19.0571
01/31/06 20.2892 19.8240 14.7652   02/15/06 22.3890 21.7269 17.3492 18.9740
02/01/06 20.3023 18.7788 14.6803   02/16/06 22.4070 21.3891 17.8271 19.0260
02/02/06 20.4383 19.2536 14.6293   02/17/06 22.3824 20.3254 17.9110 17.9338
02/03/06 20.8823 19.6403 14.6299   02/21/06 22.4144 21.2736 18.0032 18.0362
02/06/06 21.2944 19.3187 14.4687   02/22/06 22.5381 20.5536 18.2301 18.0731
02/07/06 21.4697 19.8661 14.7387   02/23/06 22.7421 21.3681 18.3882 17.8559
02/08/06 21.8040 20.2145 15.0650   02/24/06 22.8559 22.1982 18.5208 17.6593
02/09/06 22.1555 20.8233 15.4528   02/27/06 23.0116 21.8205 19.1189 17.8437
02/10/06 22.1350 21.0377 15.8536 19.4786 02/28/06 23.0902 22.4382 19.2478 17.8232
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.    
2Only the volatility for the 5 trading days before March 1 count in the final RA volatility value.  
 
 
Department of Agricultural Economics   K-State Research & Extension   College of Agriculture   Kansas State University