Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility
研究发现，美国农业部报告发布后期权隐含波动率下降，但基于日内数据的已实现波动率并未降低，表明隐含波动率下降反映的是信息不确定性消除，而非市场共识形成。
The provision of public information in commodity markets is justified in part by the idea that public information generates consensus among market participants about the fundamental value of the commodity and reduces price volatility. Significant reductions in options-implied volatility following report releases have been presented as evidence of this market-calming effect. We scrutinize this finding in more detail by comparing implied volatility to realized volatility measures from intraday price data. We show that while implied volatility does indeed fall after report releases, realized volatility does not decrease. We measure realized volatility using intraday data and find evidence of much higher volatility on report days only within minutes of the report release. This pattern is consistent with changes in implied volatility being driven by the resolution of uncertainty about the information contained in the report, rather than changes in volatility expectations that may reflect the consensus among traders about forthcoming price volatility.