K-State AgManager.info website
  About     Contributors     Useful links     Site map      Feedback  

 
K-State AgManager.info website
Agribusiness
Crops
Energy
Farm Management
Livestock & Meat
Policy
Decision Tools
--------------------
Ag Econ News
Contributors
Programs
Sponsors
Upcoming Events
--------------------
KFMA
--------------------
Department Theses & Dissertations
--------------------
SIGN-UP for Weekly Email Updates
--------------------
--------------------
   Home / Crops / Insurance / Risk Management

 

 

 

 

 

Disclaimer: This web page is designed to aid farmers with their marketing and risk management decisions. The risk of loss in trading futures, options, forward contracts, and hedge-to-arrive can be substantial and no warranty is given or implied by the author or any other party. Each farmer must consider whether such marketing strategies are appropriate for his or her situation. This web page does not represent the views of Kansas State University. 
Estimated Implied Volatility for Revenue Assurance  
Note:  The estimated implied volatility listed below, is based on current option premiums.  The "official" implied volatility used to calculate Revenue Assurance premiums will not be released by RMA until after September 15, 2005.  The estimated implied volatility may be useful for farmers and insurance agents in calculating estimated RA premiums.  A special thanks to RMA for their help validating the KSU model used to estimate RA volatility.
             
No warranty for the implied volatility estimate is given or implied by the author or any other party.  The method for calculating volatility is subject to change without notice from RMA.  
             
          CBOT KCBOT Portland
          Wheat Wheat Wheat
2000's CRC High Price Factor… …….. ……..….. 0.2850 0.3040 0.4540
2000's CRC Low Price Factor…. …….. ……..….. 0.3120 0.3140 0.4430
2001's CRC High Price Factor… …….. ……..….. 0.2800 0.2980 0.4070
2001's CRC Low Price Factor…. …….. ……..….. 0.3150 0.3110 0.4490
2002's CRC High Price Factor… …….. ……..….. 0.2750 0.2920 0.4000
2002's CRC Low Price Factor…. …….. ……..….. 0.3100 0.3060 0.4400
2003's CRC High Price Factor… …….. ……..….. 0.2750 0.2920 0.4000
2003's CRC Low Price Factor…. …….. ……..….. 0.3100 0.3060 0.4400
2004's CRC High/Low Price Factor..… ……..….. 0.3100 0.3100 0.3500
2005's CRC High/Low Price Factor….. ……..….. 0.3730 0.3770 0.4400
2001's RA Volatility.. …….…..….. …….. ……..….. 0.20 0.20 N/A
2002's RA Volatility.. …….…..….. …….. ……..….. 0.18 0.18 N/A
2003's RA Volatility.. …….…..….. …….. ……..….. 0.22 0.22 N/A
2004's RA Volatility.. …….…..….. …….. ……..….. 0.19 0.19 N/A
2005's RA Volatility.. …….…..….. …….. ……..….. 0.21 0.19 N/A
Updated 9/14/05
Estimated CRC High/Low Factors1…………… ? ? ?
Est. 5 Day Current Moving Average Volatility2 18.85 18.39  
  CBOT KCBOT     CBOT KCBOT  
  WHEAT     WHEAT  
08/17/05 19.2260 19.6118   08/31/05 17.9410 18.1743  
08/18/05 19.3053 19.6125   09/01/05 19.2984 18.6355  
08/19/05 19.5581 19.5627   09/02/05 19.0066 18.5504  
08/22/05 19.4702 19.4929   09/06/05 18.9288 18.2004  
08/23/05 19.5749 19.4840   09/07/05 18.1515 18.3998  
08/24/05 18.7529 19.3795   09/08/05 19.2888 18.5983  
08/25/05 19.5913 19.3194   09/09/05 19.2808 18.5032  
08/26/05 19.3057 19.3962   09/12/05 18.9507 18.2739  
08/29/05 19.4880 19.2809   09/13/05 18.5315 18.2990  
08/30/05 18.3396 18.4385   09/14/05 18.2175 18.2613  
             
1CRC High/Low Price Factors are subject to change without notice.  H\L Factors are released after the RA premiums are set because CRC rates are set to duplicate RA premium rates.  
2Only the volatility for the 5 trading days before September 15 count in the final RA volatility value.  
 
 
Department of Agricultural Economics   K-State Research & Extension   College of Agriculture   Kansas State University