Volatility in grain futures trading has ramped up sharply since mid-May. A Gro analysis shows the past month’s volatility rate for corn futures is nearly double the rate from the past year, and nearly triple the five-year pace.
The recent whipsaw action on the CBOT comes as global grain supplies are extremely tight amid heightened demand, mainly from China. US corn and soybeans stocks-to-use ratios are at the lowest levels in years and a rebound in US domestic biofuel consumption has further drawn down available supply.
Gro’s analysis of historical volatility shows CBOT corn realized volatility was 57.4% in the past month on an annualized basis. That compares with realized volatility for the rolling front-month futures contract of 29.8% in the past year, and 22.2% over five years.
For soybean futures, volatility was 46.8% in the past month, compared with 17.8% over five years.
Soybean oil futures have shown even greater deviation, with one-month volatility at 65% versus a five-year rate of 21.2%. Vegetable oil prices have risen sharply, contributing to worldwide food inflation, amid tight supplies and rebounding demand.
For insight into the current high-price environment, join Gro on July 15 or July 20 for our webinar “What is Driving Global Food Inflation?” where we will also highlight the Gro analytics and forecast models you can use to predict how long it will last.
The Gro volatility series are calculated by taking the annualized standard deviation of daily price changes over the prior one and five-year periods. The degree of variation, not the level of prices, defines a volatile market. Volatility is a double-edged sword as it can bring healthy profits, but it also poses an abundance of risk.
Lowered estimates for Brazilian corn production recently have increased pressure for the US to produce a sizable crop to ease tight supplies globally. Gro users can track US growing conditions by selecting a region and specific crop in Gro’s Climate Risk Navigator app, and by following Gro’s US Corn and Soybean Yield Forecast Models for daily updates of corn and soybean yield estimates at the county, state, and national levels.
This insight was powered by the Gro platform, which enables better and faster decisions about factors affecting the entire global agricultural ecosystem. Gro organizes over 40,000 datasets from sources around the world into a unified ontology, which allows users to derive valuable insights such as this one. You can explore the data available on Gro with a free account, or please get in touch if you would like to learn more about a specific crop, region, or business issue.