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Summary Book - All Counties
KANSAS LIQUIDITY & EFFICENCY GRAPHS 2002-2011……………… … 42
CROP - YIELD AND INCOME GRAPHS……………………………………… … 43 - 44LIVESTOCK PROFIT CENTER…………………...…………………………… … CALVING…………………………………… … 52
LIVESTOCK RETURNS …
October 19, 2015
Financial Management
Figure 3. Probability network graph, NFI ranked by quintile transition … farms
with both crops and livestock production would not persist …
October 19, 2015
Financial Management
Figure 3. Probability network graph, NFI ranked by quintile transition … farms
with both crops and livestock production would not persist …
October 19, 2015
KFMA Research
Figure 3. Probability network graph, NFI ranked by quintile transition … farms
with both crops and livestock production would not persist …
January 26, 2018
Price Risk Management
2
Collecting Implied Volatilities
Live cattle implied volatilities (IV) were collected starting with the first trading day of 2003 and for all six live
cattle futures contract months: February, April, June, August, October, and December. IVs were collected from
Bloomberg. Some time periods had missing data in Bloomberg and these were filled in using IV information obtained
from the Commodity Research Bureau (CRB) PowerGen software.
Bloomberg computes implied volatilities for both call and put options. Call option IVs are calculated from a
weighted average of the volatilities of the two call options closest to at‐the‐money strike prices. Bloomberg calculates
the put option IVs in a similar fashion, using the two put options closest to at‐the‐money strike prices. This fact sheet
uses a simple average of the call and put option implied volatilities for calculating daily implied volatilities. In
instances where either a call or put IV was missing, the IV present was used instead of the average.
Daily implied volatilities can be calculated for each contract month trading. In this fact sheet we focus on
daily implied volatilities for the four‐month deferred contract. For instance, the IV on February 1, 2017 was the
implied volatility of the June 2017 contract on February 1, 2017. We use the deferred contract instead of the nearby
so that the IV represents volatility into the future, as opposed to volatility in a nearby contract that is close to
expiration and may be sporadic as positions are being closed. Live cattle contracts trade on even calendar months, so
odd numbered months do not have a contract that expires exactly four months out. Therefore, the values for odd
numbered months were determined by counting forward four months and using the next adjacent contract. For
example, March values are based on the implied volatilities of the August live cattle contract traded during March.
To illustrate changes over time, each implied volatility is converted to an index by calculating it as a
percentage of the IV at the beginning of our data set. By anchoring all implied volatilities around a base day, the
change in volatility and magnitude of that change relative to the base can be determined. The data set used for this
fact sheet starts with January 2, 2003 set as the base (index=100%) and live cattle implied volatilities being collected
through December 12, 2017.
Findings. Graphing the data allows us to see how volatility has changed over the last 15 years. Figure 1
shows the four‐month deferred implied volatilities as a percentage of the base, January 2, 2003. The IV on January 2,
2003 was 13%. The fed cattle IV index over time provides an interesting summary of market risk present in live cattle.
The BSE‐infected dairy cow in the state of Washington on December 23, 2003 caused havoc in U.S. fed cattle markets.
On December 23, 2003, IV went from 18% the previous day to an all‐time record high for live cattle of more than 50%
on the four‐month deferred (April) contract (more than 380% of the early 2003 IV) and more than 75% on the nearby
(February) contract. IV remained relatively high through 2004, before settling back to values similar to early 2003 in
2007. In December 2009 IV again increased to twice the level it was in early 2003 in the midst of turbulent
macroeconomic conditions and the recession that created volatility in commodity markets in general. The live cattle
market was relatively calm during 2014, but as fed cattle markets started to rapidly decline in 2015, IV escalated again
to about 150% of early 2003.
Kansas State University Department of Agricultural Economics Extension Publication …
September 15, 2021
Fed Cattle Pricing
information needs have changed. Livestock Mandatory Reporting is playing … need to
be collected under Livestock Mandatory Reporting. Through … Grid
Data Source: USDA AMS Livestock Manadatory Reporting Data …
July 25, 1997
Hedging & Options
contract.
Figure 4 presents a graph of cull cow cash price as
a … can be completed using this graph.
Moving vertically from the … graphically on a two-dimensional graph
because two futures markets …
Summary Book - All Counties
KANSAS LIQUIDITY & EFFICENCY GRAPHS 1991 - 2006……………… … ENTERPRISES…………………………………………………..………… 36 - 42
CROP - PRICE GRAPHS……………………………………………….………… … declining crop
yields, lower livestock prices, increased feed cost …
September 16, 2019
KFMA Research
32.45 2.24 7 %
Misc. Livestock Exp. 19.73 25.44 27.28 … Depreciation
Misc Livestock Exp
Vet Medicine/Drugs … 4.99 -10 %
Misc. Livestock Exp. 19.35 19.93 32.47 …
Summary Book - All Counties
KANSAS LIQUIDITY & EFFICENCY GRAPHS 1998 - 2007………………8
GOVT … ENTERPRISES…………………………………………………..………… 36 - 42
CROP - PRICE GRAPHS……………………………………………….……………43 … FINISH………………………………………………...…… 51
LIVESTOCK PROFIT CENTER………………………………………………...… …