A Closer Look At Wheat Volatility

By Craig Bewick
OCT 07 2020

After US Equities sold off yesterday following a tweet from President Trump that he would cease stimulus negotiations, stocks screamed higher today, presumably on hopes that agreements on more targeted aid packages could be reached.  Ultimately, all four major US Indexes were trading about 2% higher on the day as we head into a much-anticipated Vice Presidential debate tonight. 

Elsewhere at CME Group, US Treasury Futures prices were down throughout the yield curve with the US Bond down by over a point and the Ultra T-Bond down by over 2.5 points, indicating higher yields.  In commodity markets, WTI Crude Oil and Gold futures prices were down by about 1.65% and 1% respectively, while Wheat futures prices were up by over 2.5%. 

For the second day in a row, we’re going to showcase a CME Group grain product in our QuikStrike image, this time Wheat futures.  As you can see in the upper graph, both the price and volatility in Wheat futures and options have risen substantially over the last couple of weeks.  In fact, if we go back to 2013, December volatility is higher right now than it was at this time in October in any year, as you can see in the lower graph.    


Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

After 8.5 years with WH Trading LLC, Craig returned to CME Group as the Director, Client Development and Sales, working to educate and promote futures trading. Craig currently writes for InFocus Options Corner.

Connect with Craig at activetrader@cmegroup.com

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