How do you straddle hogs and pigs? Ask the Greeks!

References

• Black , F and Scholes , M . 1972 . The valuation of option contracts and a test of market efficiency . Journal of Finance , 27 : 399 – 418 .
   Web of Science ®Google Scholar
• Carter , CA and Galopin , CA . 1993 . Informational content of government Hogs and Pigs Reports . American Journal of Agricultural Economics , 75 : 711 – 8 .
   Web of Science ®Google Scholar
• Chen , A and Leung , MT . 2003 . Option straddle trading: financial performance and economic significance of direct profit forecast and conventional strategies . Applied Economic Letters , 10 : 493 – 8 .
   Web of Science ®Google Scholar
• Chong , J . 2004 . Options trading profits from correlation forecasts . Applied Financial Economics , 14 : 1075 – 85 .
   Google Scholar
• Colling , PR and Irwin , SH . 1990 . The reaction of live hog futures prices to USDA Hogs and Pigs Reports . American Journal of Agricultural Economics , 72 : 84 – 94 .
   Web of Science ®Google Scholar
• Corredor , P and Santamaria , R . 2004 . Forecasting volatility in the Spanish option market . Applied Financial Economics , 14 : 1 – 11 .
   Google Scholar
• Ederington , LH and Lee , JH . 1996 . The creation and resolution of market uncertainty: The impact of information releases on implied volatility . Journal of Financial and Quantitative Analysis , 31 : 513 – 39 .
   Web of Science ®Google Scholar
• Fornari , F and Mele , A . 2001 . Volatility smiles and the information content of news . Applied Financial Economics , 11 : 179 – 86 .
   Google Scholar
• Galai , D . 1977 . Tests of market efficiency and the Chicago Board Options Exchange . Journal of Business , 50 : 167 – 97 .
   Web of Science ®Google Scholar
• Gemmill , G and Dickins , P . 1986 . An examination of the efficiency of the London Traded Options market . Applied Economics , 18 : 995 – 1010 .
   Web of Science ®Google Scholar
• Harvey , C and Whaley , RE . 1992 . Market volatility prediction and the efficiency of the S&P 100 Index Option Market . Journal of Financial Economics , 31 : 43 – 73 .
   Web of Science ®Google Scholar
• Hauser , RJ and Neff , D . 1985 . Pricing options on agricultural futures: Departures from traditional theory . The Journal of Futures Markets , 5 : 539 – 77 .
   Web of Science ®Google Scholar
• Hauser , RJ and Liu , Y . 1992 . Evaluating pricing models for options on futures . Review of Agricultural Economics , 14 : 23 – 32 .
   Google Scholar
• Hemler , ML and Miller , TW . 1997 . Box spread arbitrage profits following the 1987 market crash: Real or illusory? . Journal of Financial and Quantitative Analysis , 32 : 71 – 90 .
   Web of Science ®Google Scholar
• Joo , TW and Dickinson , JP . 1993 . A test of the efficiency of the European Options Exchange . Applied Financial Economics , 3 : 175 – 81 .
   Google Scholar
• Koontz , SR , Hudson , MA and Purcell , WD . 1984 . The impacts of Hog and Pig Reports on live hog futures prices: An event study of market efficiency, Staff Paper SP-84-11, Department of Agricultural Economics, Virginia Polytechnic Institute and State University
   Google Scholar
• Mann , TL and Dowen , RJ . 1996 . Are Hog and Pig Reports informative? . The Journal of Futures Markets , 16 : 273 – 87 .
   Web of Science ®Google Scholar
• Mann , TL and Dowen , RJ . 1997 . The impact of proprietary-public information on pork futures . The Journal of Futures Markets , 17 : 417 – 32 .
   Web of Science ®Google Scholar
• McNew , KP and Espinsosa , JA . 1994 . The informational content of USDA crop reports: Impacts on uncertainty and expectations in grain futures markets . The Journal of Futures Markets , 14 : 475 – 92 .
   Web of Science ®Google Scholar
• Monroe , AM . 1992 . The profitability of volatility spreads around information releases . The Journal of Futures Markets , 12 : 1 – 9 .
   Web of Science ®Google Scholar
• Noh , J , Engle , R and Kane , A . 1994 . Forecasting volatility and option prices of the S&P 500 Index . Journal of Derivatives , 2 : 17 – 30 .
   Google Scholar
• Schroeder , T , Blair , J and Mintert , J . 1990 . Abnormal returns in livestock futures prices around USDA Inventory Report releases . North Central Journal of Agricultural Economics , 12 : 293 – 304 .
   Google Scholar
• Simon , DP . 2002 . Implied volatility forecasts in the grains complex . The Journal of Futures Markets , 22 : 959 – 81 .
   Web of Science ®Google Scholar
• Tomek , WG and Peterson , HH . 2001 . Risk management in agricultural markets: a review . Journal of Futures Markets , 21 : 953 – 85 .
   Web of Science ®Google Scholar
• Whaley , RE . 1982 . Valuation of American call options on dividend-paying stocks: Empirical tests . Journal of Financial Economics , 10 : 29 – 58 .
   Web of Science ®Google Scholar