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September 14, 2016
Mandatory Price Reporting
Agricultural and Applied
Economics at the University
of Missouri … and Ph.D.
in agricultural economics
and BA in mathematics,
respectively … Columbia, Missouri, is an
economic consultancy group
committed …
June 1, 2000
Section 1: What's Value-Added?
Department of Agricultural Economics, Kansas State University … Department of Agricultural Economics, Kansas State University … Department of Agricultural Economics, Kansas State University …
December 1, 2016
KFMA Research
Department Of Agricultural Economics Extension Publication 11/30/2016 … Department of Agricultural Economics – November 2016
In … largest year-to-year drops in economic returns in the
past 41 years …
January 2, 2018
Beef Cattle, KFMA Research
… Department of Agricultural Economics – January 2018
In … experienced slightly lower economic returns when compared to …
February 1, 2015
Food Safety
Applied Economics/2015-01pr
Costs of Meat … can generate substantial
economic losses.
As a preventive … even more, their
probable economic impact is unknown.
Assessing …
September 14, 2016
KFMA Research
Department Of Agricultural Economics Extension Publication 09/08/2016 … Department of Agricultural Economics
Ignacio Ciampitti (ciampitti@ksu.edu … Department Of Agricultural Economics Extension Publication 09/08/2016 …
January 26, 2018
Price Risk Management
… 1
PROSPECTIVE FED CATTLE MARKET RISK
Justin Bina and Ted C. Schroeder1
Kansas State University, Department of Agricultural Economics – January 2018
Live Cattle Risk
Cattle feeding involves substantial risk that includes animal performance, production cost, and output price
risk. Over time, the most prominent risk is fed cattle selling price. The purpose of this fact sheet is to develop a way to
measure and monitor the magnitude of prospective fed cattle price risk present over time. Prospective risk here
refers to the risk fed cattle option market traders bid into the price of options on fed cattle futures. The risk measure
used here serves as a forecast of price risk cattle feeders face in fed cattle prices. In particular, we summarize how
risk in fed cattle markets can be measured by implied volatility from the options market and we document how
volatility has changed over time.
What is Implied Volatility?
One way of measuring expected futures market price risk is to calculate implied volatility. Implied volatility is
a measure of future price risk option traders price into option premiums. Option premiums, all else constant, are
driven by market price risk; greater risk implies higher option premiums because options function similar to insurance
products. To calibrate volatility from option market traded premiums, an option pricing formula is used. We use what
is referred to as the Black‐Scholes option pricing formula to calculate forward looking market implied volatility. The
option pricing model uses five parameters to price an option: 1) price of the underlying asset (in this case—live cattle
futures prices), 2) strike price, 3) time to expiration, 4) interest rate, and 5) market price volatility. Volatility is the only
variable in the Black‐Scholes model that cannot be directly observed in the market and, therefore, must be imputed
from the option pricing model. Since supply and demand in the option market discover the option’s price, the pricing
model can be solved backwards to determine the implied volatility being priced into option market premiums. The
implied volatility is generally quoted as an annualized percentage variation in price.
Options are used to determine future volatility because investors are able to incorporate knowledge of past
price movements and all relevant market information into the price of an option. Options on futures derive their
value from futures contracts, which, in turn, derive their value from underlying cash prices. Therefore, information
regarding cash price volatility is incorporated into discovered option prices, or premiums. As such, implied volatilities
obtained from futures options provide a reasonable, market‐based assessment of future price volatility for a
commodity.
…
February 12, 2018
Farm Machinery Papers
Department Of Agricultural Economics Extension Publication 02/09/2018 … Department of Agricultural Economics – February 2018
Understanding …
September 14, 2020
Ag Law Issues
Department Of Agricultural Economics Extension Publication 09/14/2020 … Department Of Agricultural Economics … is to create a legal and
economic climate in which farm operations …
July 1, 2021
Beef Cattle
Department Of Agricultural Economics Extension Publication 07/01/2021 … Department of Agricultural Economics
July 2021
Dustin … Department Of Agricultural Economics Extension Publication 07/01/2021 …