Centre county Pennsylvania, USA | Options based fear index = put premium for greatest put volume/ call premium for greatest call volume.
Dec 2020 corn options fear index is signaling improving bullish corn market ahead.
For ZCZ20 options on June 26 2020:
fear index = 268.75/368.75 = 0.73
For ZCZ20 options on July 2 2020:
fear index = 368.75/606.25 = 0.61
Edit to add: Options based fear index below 1.0 is considered bullish. |