Predicting Implied Volatility in the Commodity Futures Options Markets

Authors

  • Stephen Ferris Universiti of Missouri-Columbia, Malaysia
  • Weiyu Guo Universiti of Nebraska- Omaha, Malaysia
  • Tie Su University of Miami, United States

DOI:

https://doi.org/10.32890/ijbf2003.1.1.4

Keywords:

commodity futures options, implied volatility

Abstract

Both academics and practitioners have a substantial interest in understanding interest in understanding patterns in implied volatility that are recoverable from commodity futures option. Such knowledge enhances their ability to accurately forecast volatility embedded in these high risk option. This paper examines option-implied volatility contained in the heavily traded September corn futures option contracts for ten-year period, 1991-2000. We also test whether a “weekend effect†exists in the market for this contacts. We evaluate the performance of various measures widely employed in the literature to estimate historical volatility. We further report the nature of profit from a short straddle strategy which seek to exploit differences between option-implied and historical volatility.

 

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Published

17-03-2003

Issue

Vol. 1 No. 1 (2003): International Journal of Banking and Finance (IJBF) Vol. 1, No.1, 2003

Section

Articles

How to Cite

Ferris, S., Guo, W., & Su, T. (2003). Predicting Implied Volatility in the Commodity Futures Options Markets. International Journal of Banking and Finance, 1(1), 73-94. https://doi.org/10.32890/ijbf2003.1.1.4

Research impact

Harvested 2026-09-07
4 citations, from OpenAlex — the highest of the sources checked

Counts differ between services because each indexes a different body of literature. None of them is the whole picture.

Identifiers DOI 10.32890/ijbf2003.1.1.4 OpenAlex W3007293110