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Weekly Corn Market Update and this week's price and volatility chart
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qrmllc
Posted 4/1/2021 21:09 (#8929582)
Subject: Weekly Corn Market Update and this week's price and volatility chart


Fort Collins, CO
As usual, here's the link to this week's update:

https://www.quartziteriskmanagement.com/weekly-corn-market-update/04...

And as the new usual seems to be, below you'll find an updated price and volatility correlation chart. While Dec21 vol was higher on the week, it was below the regression line. Despite that, short volatility players likely had a tough week if they hedged the deltas from their short gamma (even if they hedged against the vol/price correlation). And then there is next week's WASDE - all bets are off on where next week's dot lands.

I'm thinking of changing the bonus chart up next week to a new chart showing the correlation (negative as it may be) of the change in normalized 5-day option skew and the following week's price change. Let me know your thoughts or questions - I'm always happy to discuss markets. I'll be away from my computer a fair amount over the next three days, so I might be slow to respond. Have a happy Easter!

Thanks,
James



(20210401 vol and price (full).jpg)



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Attachments 20210401 vol and price (full).jpg (110KB - 9 downloads)
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