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Weekly Corn Market Update *BONUS CHART*
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qrmllc
Posted 5/20/2022 21:37 (#9668533)
Subject: Weekly Corn Market Update *BONUS CHART*


Fort Collins, CO
Here's the link to this week's update:

https://www.quartziteriskmanagement.com/weekly-corn-market-update/05...

In the options section of this week's update, we mention that our model volatilities rose into this week's down move - an occurrence we've only seen one other time for the Dec22 expiration this year, and that was when the war in Ukraine was starting. Below is a scatter plot of the weekly change in our at-the-money Dec22 model volatility versus the percentage change in Dec22 futures with this week's dot circled in red.

As always, I look forward to your comments and questions.

Thanks,
James



Edited by qrmllc 5/20/2022 21:39




(20220520 vol and price correlation for socials (full).png)



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Attachments 20220520 vol and price correlation for socials (full).png (104KB - 151 downloads)
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