The intense summer drought has brought about a high volatility rally in nearly every US-based grain contract. Of greatest note is the price of corn, which leads the U.S. market in terms of planted acres, revenue, and therefore sensitivity to drought conditions. Second to the corn crop are soybeans, which have also experienced dramatic moves to the upside in the last several weeks.
Presented below is a rolling 90-day realized volatility chart for spot Corn, from May 1, 2012 to present day:
Here are the current 90-day realized volatility values for Corn, Wheat, and Soybeans:
For comparison purposes, the current 90-day realized volatility of the S&P500 Index is a mere 15.28%.
All calculations are as of 8/20/2012, executed on daily data since 5/1/2012.
The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.