@article{244dc731c873450f907b772e879fcfa3,
title = "Market uncertainty and sentiment around USDA announcements",
abstract = "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 response to a release depends on agricultural market experts' disagreement and sentiment before the USDA report, and on the extent to which the USDA information surprises the market. Whereas commodity IVols are generally positively related to financial-market sentiment and macroeconomic uncertainty (jointly captured by the volatility index [VIX]), this comovement breaks down on report days—with the VIX and commodity IVols moving in opposite directions.",
author = "Cao, {An N.Q.} and Robe, {Michel A.}",
note = "Funding Information: We are grateful to Mike Adjemian (our CEMA discussant), Siyu Bian, Annabelle Couleau, Adrian Fernandez, Todd Hubbs, Scott Irwin, Olga Isengildina‐Massa, Kris Jacobs, Mark Jekanowski, Andy McKenzie, Hong Miao (our JPMCC discussant), Esen Onur, Dan Prager, and especially to Scott Mixon, Thomas Heckelei, and Hyun‐Soo Choi (our APAD discussant), for helpful discussions and suggestions. We thank online conference participants at the 2020 Meeting of the Agricultural and Applied Economics Association (AAEA), the 2021 Meeting of the Commodity and Energy Markets Association (CEMA), the 2021 Meeting of the Asian Pacific Derivatives Association (APAD), the 2021 Research Symposium of the JP Morgan Center for Commodities (JPMCC), and online seminar participants at the US Commodity Futures Trading Commission (CFTC), the USDA's Economic Research Service (ERS), the CME Group, Centrec Consulting Group (Urbana, IL), and the Universities of Wisconsin, Arkansas, and Illinois, for helpful comments. This paper was partly supported by a NIFA grant under Multistate Project Number S1072. Michel A. Robe also gratefully acknowledges the financial support received in his capacity as The Clearing Corporation Foundation Professor in Derivatives Trading at the University of Illinois. While this paper was written, Michel A. Robe also served as a part‐time consulting senior economist at the CFTC; no CFTC resources or confidential information were used for this project. The views expressed in this article are those of the authors only and may not be attributed to the CFTC, the Commissioners, or other CFTC staff. The authors are solely responsible for any error or omission. Open Access funding enabled and organized by Projekt DEAL. Funding Information: We are grateful to Mike Adjemian (our CEMA discussant), Siyu Bian, Annabelle Couleau, Adrian Fernandez, Todd Hubbs, Scott Irwin, Olga Isengildina-Massa, Kris Jacobs, Mark Jekanowski, Andy McKenzie, Hong Miao (our JPMCC discussant), Esen Onur, Dan Prager, and especially to Scott Mixon, Thomas Heckelei, and Hyun-Soo Choi (our APAD discussant), for helpful discussions and suggestions. We thank online conference participants at the 2020 Meeting of the Agricultural and Applied Economics Association (AAEA), the 2021 Meeting of the Commodity and Energy Markets Association (CEMA), the 2021 Meeting of the Asian Pacific Derivatives Association (APAD), the 2021 Research Symposium of the JP Morgan Center for Commodities (JPMCC), and online seminar participants at the US Commodity Futures Trading Commission (CFTC), the USDA's Economic Research Service (ERS), the CME Group, Centrec Consulting Group (Urbana, IL), and the Universities of Wisconsin, Arkansas, and Illinois, for helpful comments. This paper was partly supported by a NIFA grant under Multistate Project Number S1072. Michel A. Robe also gratefully acknowledges the financial support received in his capacity as The Clearing Corporation Foundation Professor in Derivatives Trading at the University of Illinois. While this paper was written, Michel A. Robe also served as a part-time consulting senior economist at the CFTC; no CFTC resources or confidential information were used for this project. The views expressed in this article are those of the authors only and may not be attributed to the CFTC, the Commissioners, or other CFTC staff. The authors are solely responsible for any error or omission. Open Access funding enabled and organized by Projekt DEAL. Publisher Copyright: {\textcopyright} 2021 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC",
year = "2022",
month = feb,
doi = "10.1002/fut.22283",
language = "English (US)",
volume = "42",
pages = "250--275",
journal = "Journal of Futures Markets",
issn = "0270-7314",
publisher = "Wiley-Liss Inc.",
number = "2",
}