This index summarizes the implied volatility (anticipation of future volatility) of options on Euronext grain and oilseed markets. It consists of implied volatilities of wheat, corn and rapeseed, weighted by the sizes of the open positions [1].
Thus, the weighting of the implied volatility of wheat accounts for 83% of the total index, that of rapeseed 15% and 2% for corn. The AVI data goes back to June 2008.
Agritel Volatility Index was designed as a new measurement tool, dedicated to professionals in the food industry and the financial sector, in order to better anticipate changes in option prices on agricultural commodities.
Agritel Volatility Index, is :
The tool for measuring the market price risk in the agricultural sector
The indicator of the cost of options
An anticipation of the volatility of agricultural commodities traded on Euronext