IDEAS home Printed from https://ideas.repec.org/p/ags/aaea26/404352.html

Fast but noisy: Why options react first in agricultural derivatives markets

Author

Listed:
  • Ma, Richie
  • Serra, Teresa

Abstract

This paper examines price discovery in agricultural derivatives using Chicago Mercantile Exchange intraday data, revealing a decoupling between timeliness and efficiency. We show that options lead underlying futures in timeliness, yet futures remain the primary anchor for pricing efficiency. While options are thinly traded, they exhibit a significantly higher frequency of aggressive quotes that move the best bid or offer price—over three times that of futures. A 1% increase in relative aggressive quoting is associated with a 0.75%–0.98% increase in options’ timeliness. These findings challenge trade-centric views, showing that aggressive limit orders rather than executed trades are associated with timely information incorporation in modern electronic markets.

Suggested Citation

  • Ma, Richie & Serra, Teresa, 2026. "Fast but noisy: Why options react first in agricultural derivatives markets," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri 404352, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea26:404352
    DOI: 10.22004/ag.econ.404352
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/404352/files/177464_192202_115232_AAEA.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.404352?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:aaea26:404352. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/aaeaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.