Table 3 Description of soybean meal...

Table 3

Description of soybean meal futures options from January 4, 2021 to December 31, 2021

	Short (10–90 days)				Medium (91–180 days)				Long (>180 days)
	Price	$σ$ (%)	MN	Mat	Price	$σ$ (%)	MN	Mat	Price	$σ$ (%)	MN	Mat
A. Deep OTM put (Moneyness<0.85)
Mean	6.5	24.65	0.8235	78	9.4	22.41	0.8056	130	18.1	18.85	0.8124	229
Min	5.0	19.71	0.7342	41	5.0	17.27	0.6570	91	6.0	15.11	0.6910	181
Max	13.0	34.88	0.8499	90	29.0	37.67	0.8499	180	46.5	27.47	0.8498	304
SD	1.6	2.46	0.0231	10	3.9	3.38	0.0377	25	7.7	2.20	0.0317	35
N	158				697				300
B. OTM put (0.85<Moneyness<1)
Mean	31.5	18.82	0.9399	54	53.4	17.62	0.9246	132	74.3	16.69	0.9200	226
Min	5.0	11.76	0.8501	10	5.5	14.10	0.8500	91	10.0	7.97	0.8501	181
Max	146.5	33.39	0.9997	90	181.5	26.03	0.9997	180	221.5	20.77	0.9997	324
Std	26.4	2.43	0.0385	22	36.3	1.40	0.0422	26	40.7	0.98	0.0413	34
N	2,209				2,164				1,069
C. OTM call (1<Moneyness<1.15)
Mean	37.8	21.64	1.0687	51	73.1	19.67	1.0757	131	100.4	18.53	1.0789	222
Min	5.0	13.93	1.0003	10	13.0	14.87	1.0003	91	31.5	14.84	1.0003	181
Max	160.5	70.98	1.1499	90	181.5	37.01	1.1500	180	213.0	24.09	1.1500	324
SD	27.9	3.86	0.0413	22	34.8	2.22	0.0429	26	35.8	1.41	0.0416	34
N	2,643				2,245				1,031
D. Deep OTM call (Moneyness>1.15)
Mean	11.5	27.78	1.1852	59	24.5	23.26	1.1967	133	45.7	20.74	1.1810	222
Min	5.0	19.75	1.1501	22	5.0	17.96	1.1502	91	15.0	17.56	1.1503	181
Max	36.0	41.21	1.2861	90	66.5	30.49	1.3140	180	78.0	25.21	1.2620	297
SD	6.5	3.76	0.0277	17	10.7	2.20	0.0343	24	13.8	1.42	0.0251	29
N	436				884				238

	Short (10–90 days)				Medium (91–180 days)				Long (>180 days)
	Price	$σ$ (%)	MN	Mat	Price	$σ$ (%)	MN	Mat	Price	$σ$ (%)	MN	Mat
A. Deep OTM put (Moneyness<0.85)
Mean	6.5	24.65	0.8235	78	9.4	22.41	0.8056	130	18.1	18.85	0.8124	229
Min	5.0	19.71	0.7342	41	5.0	17.27	0.6570	91	6.0	15.11	0.6910	181
Max	13.0	34.88	0.8499	90	29.0	37.67	0.8499	180	46.5	27.47	0.8498	304
SD	1.6	2.46	0.0231	10	3.9	3.38	0.0377	25	7.7	2.20	0.0317	35
N	158				697				300
B. OTM put (0.85<Moneyness<1)
Mean	31.5	18.82	0.9399	54	53.4	17.62	0.9246	132	74.3	16.69	0.9200	226
Min	5.0	11.76	0.8501	10	5.5	14.10	0.8500	91	10.0	7.97	0.8501	181
Max	146.5	33.39	0.9997	90	181.5	26.03	0.9997	180	221.5	20.77	0.9997	324
Std	26.4	2.43	0.0385	22	36.3	1.40	0.0422	26	40.7	0.98	0.0413	34
N	2,209				2,164				1,069
C. OTM call (1<Moneyness<1.15)
Mean	37.8	21.64	1.0687	51	73.1	19.67	1.0757	131	100.4	18.53	1.0789	222
Min	5.0	13.93	1.0003	10	13.0	14.87	1.0003	91	31.5	14.84	1.0003	181
Max	160.5	70.98	1.1499	90	181.5	37.01	1.1500	180	213.0	24.09	1.1500	324
SD	27.9	3.86	0.0413	22	34.8	2.22	0.0429	26	35.8	1.41	0.0416	34
N	2,643				2,245				1,031
D. Deep OTM call (Moneyness>1.15)
Mean	11.5	27.78	1.1852	59	24.5	23.26	1.1967	133	45.7	20.74	1.1810	222
Min	5.0	19.75	1.1501	22	5.0	17.96	1.1502	91	15.0	17.56	1.1503	181
Max	36.0	41.21	1.2861	90	66.5	30.49	1.3140	180	78.0	25.21	1.2620	297
SD	6.5	3.76	0.0277	17	10.7	2.20	0.0343	24	13.8	1.42	0.0251	29
N	436				884				238

Note(s): OTM: out-of-the-money. MN: moneyness, the ratio of an option’s strike price to its underlying price. Mat: maturity (in calendar days). Max: maximum. Min: minimum. SD: standard deviation. N: number of options. Price: computed using the implied volatility from the Wind database via Black-Scholes-Merton formulas. $σ$ (%): the Black-Scholes-Merton-implied volatility of “Price” re-computed in this paper. The options data is filtered by nine criteria described in Section 3.1

Source(s): Authors’ own work

[ViewLarge]

Sharing Unavailable