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

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.