Characterizing implied volatility functions from agricultural options markets
利用日内逐笔数据，首次全面刻画并比较了玉米、大豆、小麦、活牛和育肥牛五大农产品期权市场的隐含波动率函数，发现活牛市场存在独特的左偏斜，而谷物市场波动率微笑较平缓，并检验了短期对冲压力等解释因素。
Abstract We provide the first comprehensive characterization and comparison of implied volatility functions for five major agricultural options markets—corn, soybeans, soft red winter wheat, live cattle, and feeder cattle—using intraday tick data. Our results show that cattle markets exhibit a distinct leftward skew, which is puzzling and indicates that out‐of‐the‐money traded put options are theoretically overpriced. In contrast, we find that grain market implied volatility functions display a flatter, less pronounced smile pattern. We examine market sentiment induced short‐term hedging pressures using Commodity Futures Trading Commission reports, and market uncertainty around Cattle on Feed reports, as potential causes of the cattle markets skew. However, our results show that the explanatory power of our short‐term hedging pressure proxies are only helpful in isolated cases but overall cannot explain the large skews we observe in cattle markets.