Securing persistent returns through agricultural commodity options

Konstantinos Vafeidis, Associate (London)

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Investors are increasingly turning to commodity derivatives as a means to hedge risk and ensure high returns. For agricultural commodities, however, academics have not historically examined the persistent nature of the returns that can be generated. In this report, we summarise a study that examines the performance persistence of agricultural commodity trading strategies using market data from the CME.


This report summarises the study “Performance Persistence and the implied Volatility Smile of the Commodity Options Contracts” by Dr Michel Zaki Guirguis, published on 17 March 2023.

The report examines hedge fund contracts of wheat, corn, live cattle, soybean oil and lean hog through the use of monthly futures and options pricing data by the CME Group from 2010-2020.

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