CORN VOLATILITY: WHERE ARE WE

Let see how the volatility affects prices during the last months, and figure out if we should consider some issues prior to operate keeping that in mind.

We can get the data from sveral sources. One I visit many often is this: QUANDL.COM

We set the data in an excel table and extrat the daily variation off each day vs it previous one. Then, we take out the ABS function, giving us the absolute value of the %, that is what we need. MM200 and MM30 (more useful for shorter periods) from that ABS (%) will tell us which point (lower or upper) we are.

For the last semester, we can see that upper than MM30 volatily lead prices to rise:



If we check prices far into the past, we better use the moving average for 200 days, for example -so we can reduce the "noise"-. It seems something like this:


Once again, and contrary to stocks markets, rising in volatility antedates the rising of prices. May this respond to fear reasons? Fear of running out os stocks? Rallies then would soar the prices up, instead of dip them down. Again, contrary to stocks.

Wich are the most volatilty active months?

If we create a table ordering by the MM30, then by the MM200, and taking different number of elements (60, 90, 250), we see that the summer months are more active months regaring to movements. At the end, the sumatory of the total accounts of each month, gives us wich months appears most.


Summer-to-fall months, before the harvest, during the weaning, are the months with more movement per day activity. 

Conclussions: stadistcally, we are on the top average range for the MM200, so if it cannot stand up there for too long, maybe we have a rest for the last months rally. Maybe to face the summer months with more energy?



















 

No hay comentarios :

Publicar un comentario

Nota: solo los miembros de este blog pueden publicar comentarios.

.Image { text-align:center; }