The existence of a negative variance risk premium on agricultural futures contracts suggests that market participants pay to hedge unexpected increases in the volatility of these contracts. In this paper, we decompose the variance risk premium in corn and soybeans markets into jump and diffusive components using options and futures data from 2009 to 2021. We find that market participants on average only pay to hedge unexpected increases in jump volatility but not those in diffusive volatility. Furthermore, growing season uncertainty and the arrival of United States Department of Agriculture (USDA) announcements play important roles in driving the market’s fear of unexpectedly large price jumps.

中文翻译：

---

农产品期货市场方差风险的定价：跳跃重要吗？

农产品期货合约存在负方差风险溢价，表明市场参与者需要付费来对冲这些合约波动性的意外增加。在本文中，我们利用 2009 年至 2021 年的期权和期货数据，将玉米和大豆市场的方差风险溢价分解为跳跃和扩散成分。我们发现，市场参与者平均只支付对冲跳跃波动性意外增加的费用，而不是对冲波动性的意外增加。扩散波动性。此外，生长季节的不确定性和美国农业部（USDA）公告的到来在推动市场对价格意外大幅上涨的担忧方面发挥了重要作用。