Are Corn and Soybean Options Too Expensive?

A growing body of recent evidence suggests that premiums for financial options might be too high. For agricultural options, market participants often make similar claims, however there is very limited scientific literature to prove or disprove such claims. This research investigates the efficiency of corn and soybean options markets by directly computing trading returns. Time effects on market efficiency are also investigated. When the sample period is considered as a whole, risk adjusted returns indicate that no profits can be made by taking either side of the corn or soybean options markets. However, when time effects are analyzed, corn calls appear to have provided excess returns during the 1998--2005 period. This result do not appear to be driven by movements in the underlying futures, since similar differences were not found for corn puts. Based on the evidence presented here, corn puts and soybean options would constitute fairly-well priced insurance tools. Further research should investigate the causes of corn call returns.corn, soybeans, options markets, mispricing, trading returns, market efficiency, Crop Production/Industries, Marketing,

Has the Performance of the Hog Options Market Changed?

The hog option contract has served as a risk management tool for the pork industry for more than 20 years. However, very limited information exists about how this market behaves and how it was affected by the contract redesign of 1996. This paper evaluates the efficiency of hog options markets comparing its pricing function during the live hog contract period to the lean hog contract period. Trading returns are computed and adjusted for risk using the Sharpe ratio and the Capital Asset Pricing Model. When the whole sample period is analyzed, results indicate that no profits can be made by taking either side of the hog options markets. However, analyzing the live and the lean hog contracts separately, some evidence suggest that opportunities for speculative profits existed during the live hog contract period. These conclusions are not driven by the extreme price movements in the futures price occurred during late 1998. Further research should investigate whether general futures price movements are responsible for these large returns.Marketing,

Large-signal stability conditions for semi-quasi-Z-source inverters: switched and averaged models

The recently introduced semi-quasi-Z-source in- verter can be interpreted as a DC-DC converter whose input- output voltage gain may take any value between minus infinity and 1 depending on the applied duty cycle. In order to generate a sinusoidal voltage waveform at the output of this converter, a time-varying duty cycle needs to be applied. Application of a time-varying duty cycle that produces large-signal behavior requires careful consideration of stability issues. This paper provides stability results for both the large-signal averaged and the switched models of the semi-quasi-Z-source inverter operating in continuous conduction mode. We show that if the load is linear and purely resistive then the boundedness and ultimate boundedness of the state trajectories is guaranteed provided some reasonable operation conditions are ensured. These conditions amount to keeping the duty cycle away from the extreme values 0 or 1 (averaged and switched models), and limiting the maximum PWM switching period (switched model). The results obtained can be used to give theoretical justification to the inverter operation strategy recently proposed by Cao et al. in [1].Comment: Submitted to the IEEE Conf. on Decision and Control, Florence, Italy, 201