Corn options market predicts future volatility better than historical data.
The study looked at how corn futures options can predict future volatility. By analyzing data from 1987-2001, researchers found that implied forward volatilities from options can forecast future volatility better than historical data. They also discovered that early-year options are good at predicting volatility changes, while later-year options tend to overestimate volatility. Overall, the term structure of volatility implied by corn futures options contains valuable information about future volatility.