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Stats › Currencies and commodities › Grain volatility

Corn volatility is 69% higher in June than in February

Corn|Feb to JunTrough month: 19.99%Peak month: 33.71%33.71%Soybeans|Feb to SepTrough month: 18.67%Peak month: 28.28%28.28%Wheat|Dec to MarTrough month: 27.29%Peak month: 35.87%35.87%Cotton|Jan to JulTrough month: 23.96%Peak month: 33.99%33.99%Sugar|Nov to OctTrough month: 30.65%Peak month: 38.25%38.25%Trough monthPeak month

Average annualised front-contract volatility at each market's published peak and trough month, 1 November 2007 to 13 November 2017. Only the peak and trough are plotted because those are the figures the source states; the intermediate months are not quoted there and are not invented here.

Grain return seasonality does not survive testing, but grain volatility seasonality clearly does. Corn front-month volatility averages 33.71% in June against 19.99% in February, and the summer peak replicates across two independent samples two decades apart.

33.71%Average annualised corn front-month volatility in June
19.99%The same in February
28.28%Soybean peak in September, against 18.67% in February
35.87%Wheat peak in March, against 27.29% in December

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