The information content of wheat derivatives regarding the Ukrainian war
研究了乌克兰战争头17个月小麦期权和期货价格中隐含的价格密度，发现战争初期衍生品价格能预测冲突走向，但黑海谷物倡议签署后预测力消失，转而反映市场对倡议可行性的看法。
Abstract We extract implied price densities from wheat options and futures prices during the first 17 months of the Ukrainian war. Changing differences between short‐ and long‐term densities indicate that market expectations about the dynamics of the underlying changed over time. Before the signing of the Black Sea Grain Initiative, wheat derivatives prices showed predictive power for the further development of the conflict, and implied volatilities from wheat options were highly correlated with geopolitical risk (GPR). Afterwards, wheat prices lost their predictive power for the conflict, but instead reflected the market's opinion regarding the viability of the Black Sea Grain Initiative. By that time, correlations between wheat price risk and GPR dropped sharply.