The Information Content of Wheat Derivatives Regarding the Ukrainian War

We extract implied price densities from wheat derivative prices during the first seven months of the Ukrainian war. Differences between short- and longterm densities indicate that market expectations about the duration of the conflict changed over time. Under simplifying assumptions, we decompose price densities into state-dependent densities and we link them to geopolitical uncertainty. Once the agreement on grain exports from Ukraine came within reach, which was finally concluded on July 22, 2022, wheat prices lost their predictive power for the further development of the conflict