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