Market uncertainty and sentiment around USDA announcements
研究了美国农业部公告前后玉米和大豆的期权隐含波动率变化，发现公告后波动率显著下降，且该变化受专家分歧、情绪及信息意外程度影响。
Abstract We investigate forward‐looking commodity price volatility expectations (proxied by option‐implied volatilities or IVols) around scheduled US Department of Agriculture (USDA) reports. We show that corn and soybean IVols are significantly lower for several trading days after a report. The IVol response to a release depends on agricultural market experts' disagreement and sentiment before the USDA report, and on the extent to which the USDA information surprises the market. Whereas commodity IVols are generally positively related to financial‐market sentiment and macroeconomic uncertainty (jointly captured by the volatility index [VIX]), this comovement breaks down on report days—with the VIX and commodity IVols moving in opposite directions.