5 170 372 50 15.496862 200 175 373 49 15,526985 195 180 374 48 15.457007 (192 185 376 47 15.67
 
VOLATILITY PROFILES
td48
§anwaeveo
231
iv15.8415.8215.1714.8315.5114,5214.9315.4315.3415.5515.69
 
LEGEND: {fp = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-the-money-straddle, td= number oftrading days till expiry, iv = implied volatility.232
 
 
 
 
REFERENCEWHEATBased on Nearest ImpliedCalendar month Year Option strike volatilityJANUARY 1993 May 360 16.13FEBRUARY 1993 May 350 19.66MARCH 1993 Jul 310 18.44APRIL 1993 Jul 310 20.80MAY. 1993 Jul 300 19.51JUNE 1993 Sep 290 17.91JULY 1993 Sep 300 24.78T 1993 Dec 320 21.23SEPTEMBER 1993 Dec 310 17.731993 Mar 320 15.41NOVEMBER 1993 Mar 330 18,09DECEMBER 1993 Mar 360 18.66JANUARY 1994 May 360 21.41FEBRUARY 1994 May 350 20.19MARCH 1994 Jul 340 17.80APRIL 1994 Jul 330 18.91MAY. 1994 dul 330 23.11JUNE 1994 Sep 330 23.84JULY 1994 Sep 320 21,85AUGUST 1994 Dec 340 18.97SEPTEMBER 1994 Dec 380 18.85OCTOBER 1994 Mar 420 18.92NOVEMBER 1994 Mar 400 19.15DECEMBER 1994 Mar 390 18.06JANUARY 1995 May 380 17.58FEBRUARY 1995 360 17.97MARCH 1995 Jul 330 16.10APRIL 1995 Jul 340 17.181995 Jul 360 22.59JUNE 1995 Sep 390 24.01JULY 1995 Sep 450 39.36AUGUST 1995 Dec 470 24.21SEPTEMBER 1995 460 22.63OCTOBER 1995 Mar 500 22.16NOVEMBER 1995 Mar 510 19.36DECEMBER 1995 Mar 500 17: ROJANUARY 1996 Mar 510 19.14FEBRUARY 1996 May 490 20.97MARCH 1996 May 500 21.05APRIL 1996 Jul 480 23.61MAY. 19968 - Jul 600 22.46JUNE 1996 gen 530 26.43JULY 1996 490 28.11GUST, Sep 450 23.10SEPTEMBER 1996 Dec 450 21.88OCTOBER 1996 Dec 430 20.53NOVEMBER 1996 Mar 370 16.12DECEMBER 1996 Mar 370 21.53JANUARY 1997 May 370 21.94FEBRUARY 1997 May 350 22.86MARCH 1997 Jul 370 23.62APRIL 1997 Jul 390 22.55Y. 1997 Jul 420 32.90JUNE 1997 Sep 370 27,42LY 1997 Sep 330 21.09AUGUST 1997 Dec 380 26.02SEPTEMBER 1997 Dec 390 24,90OCTOBER 1997 Mar 360 20.76NOVEMBER 1997 Mar 380 22.45DECEMBER 1997 Mar 360 19.04Jan Feb Mar Apr
VOLATILITY PROFILES
Wheat Futures (1996)Weekly High/Low/Close
 
May Jun Jui Aug Sep Oct Nov Dec
233
5
8implled volatillty234 REFERENCE
WHEAT 1996fp max mn os td iv fo max mn s td ivMarch option and March future pepe Boo 7Feb8 5100 6Nov 20 4925 Feb9 5132 5Nov 21 4905 Feb12 5117 4Nov 22 4947 Feb 13 5152 3Nov 24 4975, Feb14 5280 2Nov 27 4935 Febi5 5260 1Nov 28 4915 Feb 16 5232 March 96 option expiresNov 29 4977Nov30 4950 May option and May future
vJan29 4945 200 185 384 59 20.21van30 5002 200 195 395 58 20.72Jan 31 4935 214 160 369 57 19.80Feb 1 4925 197 190 386 56 20.97Feb2 4985 225 195 417 55 22.58
Feb6 4987 230 200 427 53 23.64Feb7 4895 210 205 415 52 23.49Feb8 4862 232 195 424 51 24.41Feb9 4900 205 205 410 50 23.67Feb 12 4932 217 185 399 49 23.13Feb13 4960 222 182 400 48 23.31Feb 14 5042 222 185 404 47 23.36Feb 15 6005 205 200 405 46 23.64Feb 16 5005 195 190 385 45 22.91Feb 20 4925 195 170 363 43 22.47Feb21 4932 200 165 362 42 22.65Feb22 4830 187 157 341 41 22.08Feb23 4880 185 165 348 40 22.57Feb26 4935 186 161 345 39 22.38Feb27 4930 187 157 341 38 22.47Feb28 4982 185 147 329 937 21.77Feb 29 5015 162 150 311 36 20.67Mar 1 6025 170 145 313 35 21.05Mar 4 5015 162 147 308 34 21.05
PetCetetttttettst egyBNBRVVesatanse Veteg
nNoO2nya
5085 150 135 264 33 19.435082 149 132 280 32 19.455002 130 132 262 31 18.83117 264 30 19.534835 140 105 242 29 18.574957 150 110 256 28 19.54
qearecneay;g
QO 4950 150 100 245 27 19.05 | Mar5 4945 170 125 291 33 20.47
1 4890 130 117 246 26 19.72 | Mar6 4880 155 135 288 32 20.89
2 4985 125 107 230 25 1849 | Mar7 4950 170 120 285 31 20.69Jan15 4960 140 100 236 24 19.44 | Mar8 4937 157 120 274 30 20.23Jan16 4800 115 112 227 23 19.70 | Mar11 4915 147 135 281 29 21.23Jan17 4790 110 100 209 22 1862 | Mar12 4830 150 122 270 28 21.09Jan18 4830 115 90 203 21 1832 | Mar13 4845 152 110 258 27 20.50Jan19 4872 «117 90 205 20 18.77 Mar 14 4805 132 127 259 26 21.11Jan22 4822 110 687 195 19 18.55 | Mar15 4722 135 117 250 25 21.22Jan 23 4922 110 87 195 18 18.67 | Mar18 4737 135 116 249 24 21.49Jan 24 4917 100 85 164 17 18.12 | Mar19 4692 127 117 243 23 21.61Jan25 4907 102 92 193 16 19.68 | Mar20 4810 125 115 239 22 21.20Jan 26 5067 115 87 199 15 20.32 | Mar 21 4807 125 (117) 241 21 21.91Jan 29 5205 14 Mar 22 4617 127 106 231 «20 -21.46Jan 30 5262 13 Mar 25 4907 120 112 231 19 21.63Jan31 5195 12 Mar 26 6030 140 110 247 18 23.17Feb1 5175 1 Mar 27 5007 (127. 120 246 «617 23.87Feb 2 5265 10 Mar 28 94976 «139 «110 246 «16 (24.76Feb 5 5177 9 Mar 29 4992 122 115 236 15 24.46Feb6 5225 8 Apr1 5115 14
 
LEGEND: fp = futures price, max = closest strike high option price, min= closeststrikelow option price, s = price corrected at-the-money-ktraddle, td = number oftrading days till expiry, iv = implied volatility.VOLATILITY PROFILES 235
WHEAT 1996
fo max mins td iv fp
            
    
Apr2 5120 13 May 29 5260 160 140 298 17 27.51Apr3 5230 12 May 30 5262 165 130 292 16 27.73Apr4 5225 1 May31 5287 140 122 260 15 25.44Apra 5252 9 Jun3 5210 14Apr 5297 8 Jun 4 5010 13Apr10 5497 7 Jun 5 4887 12Apr11 5635 6 Jun 6 4942 ailApri2 5825 5 Jun 7 5022 10Apr15 5867 4 Jun 10 5195 9Apri6é 5667 3 dun 11 5090 8Apr17 5710 2 Jun 12 4945 7Apr18 6005 1 Jun 13 5047 6Apr 19 6080 May 96 option expires Jun 14 = 4960 5Jun 17 4920 4Jub: option and July future dun 18 5025 3Jun 19 4935 2Apri 4825 235 205 437 59 23.61 Jun 20 4875 1Apr2 4830 235 205 437 58 23.78 Jun 21 4912 July 96 option expiresApr3 4940 227 210 436 57 23.36Apra 4985-235 205437 «56 23.69 September option and September future
Jun3 5250 280 255 533 59 26.43Jun 4 5050 292 237 524 58 27.25Jun5 4927 260 227 464 57 26.03Jun6é 4982 280 275 555 56 29.75Jun7 5062 300 270 567 55 30.23Juni0 5240 335 285 616 54 31.98Jun 11 5120 300 280 578 53 31.03duni2 4992 277, 267) «543 52 30.18dun13 5095 277 272 «549 51 30.15Juni4 = 5005-261 «255 516 50 29.13Juni7 4975 265 240 503 49 28.88dun18 =5045 282 230 507 48 29.03Juni9 4975 255 227 480 47 28.12Jun20 44922 240 217 455 46 27.26Jun 21 4940 247 210 454 45 27.39Jun 24 5030 245 220 463 44 27.75dun 25 = 5037 247 «217 «461 43 27.94Jun 26 4957-247 190 432 42 26.68Jun 27 4825-220: 195 413 41.26.73Jun 28 64825 220 195 413 40 27.06Jul 4890 220 210 429 39 28.11May8 5910 360 345 704 32 42.10 Jul2 4755 217 175 388 38 26.49May9 5970 365 325 677 31 4076 Jul3 4792. 197 190 386 37 26.51May 10 5800 297 295 592 30 37.26 Jul5 4735 200 167 364 35 26.00May 13 5880 300 280 578 29 36.53 Jul8 4775 202 177 377 34 27.07May 14 5832 292 257 546 28 35.39 Jul9 4910 200 190 389 33 27.60May 15 5822 275 2652 525 27 34.71 Jul10 4820 200 180 378 32 27.19May 16 5780 260 242 501 26 33.96 Jul11 5060 230 180 405 31 28.78May 17 5890 250 252 502 25 34.10 Jul 12 5010 205 197 401 30 29.25May 20 5850 257 210 463 24 3230 Jul15 4925 195 170 363 29 27.36May 21 5762 240 200 436 23 31.59 Jul 16 4832. 195 160 352 28 27.53May 22 5627 215 190 403 22 30.53 Jul17 4810 177 167 343 27 27.46May 23 5595 190 185 375 21 29.22 Jui18 4750 190 147 333 26 27.50
24 5610 182 175 356 20 28.41 Jul 19 4595 162 160 322 25 28.02May 28 5460 177 157 332 18 28.69 Jul 22 4605 150 142 291 24 25.83
Apr25 6285 430 410 838 41 41.66Apr26 6170. 450 425 873
 
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option priie, s = price corrected at-themoney-straddle, td = number oftrading days till expiry, iv = implied volatility.   
236 REFERENCEWHEAT 1996fp max mins td iv fp max min s td WMJul24 4410-130 120 249 22 24.09 | Sop17 4185 157 142 298 43 21.70Jul25 4437-137 102-236 21 23.19 | Sep18 4242 172 125 293 42 21.28Jul26 4345 «1350-95 226 «20 23.27 | Sepi9 4167 160 130 287 41 21.54Jul29 4437. «13295-22319 23.11 | Sep20 4210 147 137 283 40 21.27Jul30 4382-115 «97-210 18 22.64 | Sep23 4265 162 127 286 39 21.46Jul31 4400-102 100 202 17 22.25 | Sep24 4205 145 140 285 38 21.50Auy1 4460 125 85 206 16 23.10 | Sep25 4205 147 142 289 37 22.09Aug2 4490 100 90 189 15 21.75 | Sep26 4202 142 135 276 36 21.47Ag5 4435 14 Sep27 4315 142 127 268 35 20.98Aug6 4485 13 Sep30 4360 152 115 264 34 20.73Aug7 4537 12 Oct 1 4937 147 112-266 33 20.53Aug8 4597 1 Oct2 4225 135 110 243 32 20.32Aug9 4627 10 Oct3 4200-122 122-244 «31 «20.87Aug 12 4745 9 Oct4 4210 120 110 229 30 19.88Aug 13 4602 8 Oct? 4225 122) «97-217 29 «19.05Aug 14 4560 7 Oct8 4285 «117 101-217 28 19.11Aug 15 4572 6 Oct9 4270 120 90 207 27 18.68Aug16 4545 5 Oct10 4240 120 80 198 26 18.13Aug 19 4595 4 Octi1 4245 120 75 190 25 17.93Aug 20 4545 3 Oct14 4208 95 90 185 24 17.55Aug 21 4510 2 Octi5 4217 97 «80 175 23 17.36Aug 22 4505 1 Oct16 4172 102 75 174 22 17.83Aug 23 4527 September 96 option expires Oct17 4110 87 = 82169 «2117.90Oct18 4047 110 62 167 20 18.42December option and December future Oct21 4005 19Oct22 3995 18Ag5 4485 200 187 386 74 20.01 | Oct23 3985 17Ag6 4530 207 177 381 73 19.71 | Oct24 3840 16Aug7 4602 197 195 392 72 20.07 | Oct25 3897 15Aug8 4685 222 187 406 71 20.65 | Oct28 3822 14Augg 4690 207 200 406 70 20.72 | Oct29 3845 13Aug 12 4830 240 210 447 69 22.30 | Oct30 3810 12Aug 13 4680 225 205 428 68 22.20 | Oct31 3712 "1Aug 14 4630 215 187 400 67 21.09 | Nw1 = 3747 10Aug15 4620 210 190 398 68 21.22 | Nov4 3797 9Aug16 4570 215 187 400 65 21.69 | NW5 3687 8Augi9 4645 222 177 395 64 21.26 | Nov6 3695 7Aug 20 4597 200 200 400 63 21.93 | Nov7 3750 8Aug21 4555 220 167 382 62 21.31 | Nov8 3787 5Aug 22 4562 215 180 392 61 22.00 | NW11 3835 4Aug 23 4585 205 192 398 60 22.30 | Novi2 3915 3Aug 26 4650 225 185 406 59 22.76 | Nov13 4007 2Aug 27 4640 227 «185 408 58 23.11 | No 14 3967 +Aug28 4550 227 170 392 57 22.80 | Nov15 3972 December 96 option expiresAug29 4560 220 180 398 56 23.24Aug30 4532 202 167 366 55 21.77 March option and March futureSep3 4522 192 170 360 53 21.88 .Sep4 4472 187 160 345 52 21.38 Oct21 3950 175 145 317 88 17.13Sep5 4460 195 157 349 51 21.89 Oct22 3940 167 155 321 87 17.47Sep6 4425 182 155 335 50 21.39 Oct23 3930 162 150 311 86 17.07Sepo 4467 180 16