Does Futures Price Volatility Differ Across Delivery Horizon?

We study the difference in the volatility dynamics of CBOT corn, soybeans, and oatsfutures prices across different delivery horizons via the smoothed Bayesian estimatorof Karali, Dorfman, and Thurman (2010). We show that the futures price volatilitiesin these markets are affected by the inventories, time to delivery, and the crop progressperiod. Some of these effects vary across delivery horizons. Further, it is shown thatthe price volatility is higher before the harvest starts in most of the cases compared tothe volatility during the planting period. These results have implications for hedging,options pricing, and the setting of margin requirements.