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Another options based fear index
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Don Smith
Posted 6/28/2020 20:35 (#8342287)
Subject: Another options based fear index

Central Pennsylvania, USA
fear index = put premium for greatest put volume/ call premium for greatest call volume

For ZCZ20 options on Jun 26 2020:

Corn fear index = 268.75/368.75 = 0.73

For ZSX20 options on Jun 26 2020:

Soybean fear index = 337.5/587.5 = 0.57

(1) Options based fear index below 1.0 is considered bullish.
(2) Options based fear index above 1.0 is considered bearish.
(3) 2020 Soybean fear index is more bullish that 2020 Corn fear index.
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