Are Agricultural Options Overpriced?
As agricultural options markets grow, perceptions of overpricing persist among market participants. This study tests the efficiency of corn, soybean, and wheat options by computing trading returns. Several call and put option strategies yield significant profits, but returns are influenced by moveme...
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| Format: | Article |
| Language: | English |
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Western Agricultural Economics Association
2011-04-01
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| Series: | Journal of Agricultural and Resource Economics |
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| Online Access: | https://ageconsearch.umn.edu/record/105525 |
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doaj-95c708c987814372b0b0c063bfac2a3e2020-11-25T00:29:23ZengWestern Agricultural Economics AssociationJournal of Agricultural and Resource Economics1068-55022327-82852011-04-01361637710.22004/ag.econ.105525105525Are Agricultural Options Overpriced?Hernan A. UrcolaScott H. IrwinAs agricultural options markets grow, perceptions of overpricing persist among market participants. This study tests the efficiency of corn, soybean, and wheat options by computing trading returns. Several call and put option strategies yield significant profits, but returns are influenced by movements in the futures price, and straddle trading does not lead to significant returns. The combined analysis of put, call, and straddle returns indicates that significant returns can be attributed to drifts in the underlying futures, and that the corn, soybean, and wheat options markets are efficient.https://ageconsearch.umn.edu/record/105525agricultural optionsmispricing perceptionstrading returns |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Hernan A. Urcola Scott H. Irwin |
| spellingShingle |
Hernan A. Urcola Scott H. Irwin Are Agricultural Options Overpriced? Journal of Agricultural and Resource Economics agricultural options mispricing perceptions trading returns |
| author_facet |
Hernan A. Urcola Scott H. Irwin |
| author_sort |
Hernan A. Urcola |
| title |
Are Agricultural Options Overpriced? |
| title_short |
Are Agricultural Options Overpriced? |
| title_full |
Are Agricultural Options Overpriced? |
| title_fullStr |
Are Agricultural Options Overpriced? |
| title_full_unstemmed |
Are Agricultural Options Overpriced? |
| title_sort |
are agricultural options overpriced? |
| publisher |
Western Agricultural Economics Association |
| series |
Journal of Agricultural and Resource Economics |
| issn |
1068-5502 2327-8285 |
| publishDate |
2011-04-01 |
| description |
As agricultural options markets grow, perceptions of overpricing persist among market participants. This study tests the efficiency of corn, soybean, and wheat options by computing trading returns. Several call and put option strategies yield significant profits, but returns are influenced by movements in the futures price, and straddle trading does not lead to significant returns. The combined analysis of put, call, and straddle returns indicates that significant returns can be attributed to drifts in the underlying futures, and that the corn, soybean, and wheat options markets are efficient. |
| topic |
agricultural options mispricing perceptions trading returns |
| url |
https://ageconsearch.umn.edu/record/105525 |
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AT hernanaurcola areagriculturaloptionsoverpriced AT scotthirwin areagriculturaloptionsoverpriced |
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