We show the importance of accounting for political risk to understand forward-looking price volatility in agricultural markets. We propose a theoretical model that shows uncertainty about the future world price of staple foods is positively related to the likelihood (and, counterintuitively, is...

We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we investigate the links between the term structure of oil option-implied volatilities (IVs) and global macroeconomic conditions, physical market fundamentals (OPEC surplus output...

We analyze empirically what drives market expectations of crude oil price volatility. Between 2000 and 2014, we investigate the links between the term structure of oil option-implied volatilities (IVs) and global macroeconomic conditions, physical market fundamentals (OPEC surplus output...

We examine empirically the impact of scheduled USDA information releases on uncertainty and sentiment in grains and oil-seeds markets. We document that, for up to five trading days after the release of a scheduled USDA report (WASDE, stocks, prospective plantings, and acreage), agricultural...

We investigate forward-looking commodity price volatility expectations (proxied by option-implied volatilities or IVols) around scheduled US Department of Agriculture (USDA) reports. We show that corn and soybean IVols are significantly lower for several trading days after a report. The IVol...