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Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility

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  • Bunek, Gabriel D.
  • Janzen, Joseph P.

Abstract

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.

Suggested Citation

  • Bunek, Gabriel D. & Janzen, Joseph P., 2024. "Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility," Journal of Commodity Markets, Elsevier, vol. 33(C).
    • Handle: RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000011
    DOI: 10.1016/j.jcomm.2024.100382
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    3. Yao Yang & Andrew McKenzie, 2025. "Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1852-1868, October.

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    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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