Soybean Oil - 25 delta calls in relation to puts, saw a dramatic increase in implied volatility throughout July as the September contract rallied throughout the month.
Soybeans - Soybean calls experienced the opposite situation of Soybean Oil, as the calls decreased in implied volatility as the month of July went on.
Soybeans - Sep implied volatility decreased from 18% to ~12%, matching the historical 20-day average volatility.
Soybean Meal – Sep Soybean Meal implied volatility is sitting at 14-year lows with a month left until expiration.
Class III Milk - Aug implied volatility significantly decreased throughout July.
Steven A Stasys
Senior Director, Agricultural Options
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