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Weekly Options on Grain Futures

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  • Diersen, Matthew
  • Wang, Zhiguang

Abstract

We analyze 2017–2021 data to examine whether weekly options offer unique insights compared to regular options on grain futures. These weeklies, increasingly popular for short-term use around major United States Department of Agriculture (USDA) reports, are found to be more effective in predicting near-term volatility, challenging the conventional view of longer-dated options’ superiority. However, they overprice realized volatility by 420 basis points (bps) for corn and 280 bps for soybeans. Major USDA reports add a premium of 650 bps for corn and 240 bps for soybeans, highlighting a trend toward more time-sensitive trading strategies, though the long-term impact on market efficiency of weeklies remains subdued.

Suggested Citation

  • Diersen, Matthew & Wang, Zhiguang, 2025. "Weekly Options on Grain Futures," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 57(1), pages 60-85, February.
    • Handle: RePEc:cup:jagaec:v:57:y:2025:i:1:p:60-85_4
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