Agricultural risk managers need forecasts of price volatility that are accurate and meaningful. This is especially true given the greater emphasis on firm level risk measurement and management (e.g., Value-at-Risk and Enterprise Risk Management). Implied volatility is known to provide a readily...

This research presents an intuitive interpretation and expression for pricing cash settled futures contracts. In particular, the choice of the averaging period for the underlying cash index is evaluated. For example, the averaging period for the Lean Hog futures contract is two days, whereas it...

This research examines the potential basis behavior and hedging effectiveness for the Minneapolis Grain Exchange's (MGE) cash settled corn contract. MGE futures cash settle to the National Corn Index (NCI) calculated by Data Transmission Network (DTN). Focusing on seven regions in Illinois, the...