It was another fairly quiet day in the financial markets as US Equity Indexes were mostly higher (though the Russell 2000 was slightly lower), prices in US Treasury futures rose a bit at the longer end of the curve, indicating slightly lower yields and the US Dollar fell versus most major currencies. Not surprisingly, implied volatility was lower in many CME Group products.
Corn futures prices rallied again and are trading at multi-year highs. In fact, we went all the way back to 2012 and looked at price and volatility in the June expiration currently and compared to the nine years in between. As you can see in the orange line in the graph below, June implied volatility is currently as high, at this point on the calendar, as it’s been in any year since 2014. And the price, while not at the highest level, is higher than it was at this time than in any year since 2014.