| Press the Back
button to go back to the text. Table 2. Average Return to Selling Put
Options at Selected Times before Harvest a,
Corn and Soybean September and Harvest Futures Options,
1985 - 1997.
| Year |
Return to Selling
Put Option by Date Before Harvest b
|
| September 1 |
July 1 |
May 1 |
March 1 |
| |
----------- Corn September Option (cents/bushel) -----------
|
| 1985
– 1997 |
NA
|
8.71
(2.28*)
|
7.40
(1.46)
|
8.77
(1.29)
|
| 1990
– 1997 |
NA
|
6.41
(1.01)
|
2.02
(0.31)
|
4.80
(0.53)
|
| |
----------- Corn December Option (cents/bushel) -----------
|
| 1985
– 1997 |
1.29
(0.29)
|
10.80
(1.35)
|
6.41
(1.16)
|
6.63
(1.24)
|
| 1990
– 1997 |
3.59
(0.54)
|
12.45
(1.05)
|
7.53
(0.93)
|
8.36
(1.10)
|
| |
--------- Soybean September Option (cents/bushel) ---------
|
| 1985
– 1997 |
NA
|
7.46
(1.02)
|
8.84
(0.82)
|
6.98 c
(0.62)
|
| 1990
– 1997 |
NA
|
-2.30
(-0.27)
|
-1.50
(-0.14)
|
1.08
(0.08)
|
| |
--------- Soybean November Option (cents/bushel) ---------
|
| 1985
– 1997 |
6.60
(0.89)
|
12.11
(1.00)
|
14.31
(1.05)
|
16.63
(1.19)
|
| 1990
– 1997 |
7.55
(0.68)
|
-0.13
(-0.01)
|
5.83
(0.47)
|
8.86
(0.62)
|
NA - not applicable
a The put option
position is closed on the 15th day of the
month before the delivery month of the futures
contract or the last day of trading, whichever came
first.
b The t-test is
reported in the parenthesis for the null hypothesis:
return to option position = 0.
* - indicates significance
at 5 percent test level using a two-tailed test.
c The soybean
September option price was not available for March 1,
1985.
SOURCE: original
calculations
|