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Summer Volatility in Corn and Soybeans

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Some markets, such as soybeans, corn, and natural gas tend to exhibit seasonality; certain times of year are more volatile than others. In this piece, the Research Team looks at the seasonal volatility in agriculture markets such as corn and soybeans.

The Study:
  • Corn (/ZC) and Soybeans (/ZS)
  • 2010 to Present
  • Calculated 1 month movement and compared 1 standard deviation ranges during busy and quiet seasons.
Results:

Implied Volatility for Corn and Soybeans tends to increase during the summer months, often inflating IV Rank. By looking at one standard deviation ranges we can better place our strikes for short option trades. During the off-season, corn and soybeans have monthly ranges of around 5-6%. However, during the summer months the ranges increase by 200 basis points thus we may consider setting wider ranges when trading corn and soybeans during the summer months.

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