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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. |
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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 |
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CORN |
S-BEAN |
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2003's CRC High/Low Price Factor
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0.4239 |
0.8096 |
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2004's CRC High/Low Price Factor
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0.3400 |
0.9500 |
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2005's CRC High/Low Price Factor
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0.2940 |
0.7200 |
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2006's CRC High/Low Price Factor
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0.3200 |
0.8080 |
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2003's RA Volatility
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0.20 |
0.18 |
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2004's RA Volatility
...
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0.21 |
0.18 |
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2005's RA Volatility
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0.19 |
0.19 |
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2006's RA Volatility
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0.23 |
0.21 |
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Estimated CRC High/Low Factors1
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Est. 5 Day Current Moving Average Volatility2
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26.6 |
20.8 |
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CBOT |
CBOT |
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CBOT |
CBOT |
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CORN |
SBEAN |
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CORN |
S-BEAN |
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12/20/06 |
27.8494 |
19.8065 |
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01/02/06 |
Holiday |
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12/21/06 |
27.5767 |
20.4912 |
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01/03/07 |
26.7109 |
21.2147 |
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12/22/06 |
27.8396 |
21.1939 |
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01/04/07 |
26.4811 |
20.6328 |
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12/25/06 |
Holiday |
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01/05/07 |
26.7806 |
20.3934 |
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12/26/06 |
27.6933 |
20.6859 |
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01/08/07 |
25.9025 |
20.2796 |
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12/27/06 |
27.4514 |
20.8225 |
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01/09/07 |
26.0215 |
21.1054 |
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12/28/06 |
27.1764 |
20.2629 |
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01/10/07 |
25.9271 |
21.0491 |
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12/29/06 |
26.9311 |
21.4095 |
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01/11/07 |
26.1845 |
20.3081 |
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01/01/06 |
Holiday |
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01/12/07 |
28.2712 |
20.7572 |
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1RMA 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. |
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2Only the volatility for the 5 trading
days before February 15 count in the final RA volatility value based on
December/November options used to calculate RA volatility for sales
closing on February 28. RA does not use the September corn/bean futures
for price discovery. |
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