Spotlight On Wheat Prices

By Craig Bewick
NOV 15 2021

US Equity Indexes were little changed today as we begin the last full week of trading before Thanksgiving week.  Implied volatility in CME’s Equity Index options ticked up slightly.  In other CME Group markets:

  • WTI Crude Oil futures prices were lower earlier in the day but were trading slightly higher near in late afternoon action
  • Natural Gas futures prices, which we’ve showcased extensively here in the Key Takeaways section, were up by over 5%
  • According to the Micro Treasury Yield prices, US Treasury yields were higher in a bit of a curve steepening move:
    • 2-Year yield by about 1 basis point
    • 5-Year yield higher by about 2 basis points
    • 10-Year yield higher by about 4.5 basis points
    • 30-Year yield higher by about 6.5 basis points

On Friday, we mentioned that Wheat futures prices have risen to levels we last saw in 2012.  To illustrate how high the current prices are, we used QuikStrike data to graph the price and volatility of the December Wheat contract.  The graphs below show the current Price (upper) and Implied Volatility (lower) of Dec Wheat in the dotted red line with Days to Expiration on the horizontal axis.  The other lines on the graph represent December Wheat in each year since 2011.  As you can see, only in 2012 was the price as high as it currently is and only in 2011 was implied volatility as high. 

 

 

ABOUT THE AUTHOR

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. 

Connect with Craig at activetrader@cmegroup.com

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