Typically, daily settlement prices for options have been used to measure the effect of WASDE releases on commodity price volatility (Sumner and Mueller; Fortenberry and Sumner; Isengildina-Massa and others; and Adjemian).
Moreover, if the release of WASDE reports while markets are open has affected volatility, the impact is likely to be most noticeable immediately after the release.
One simple way to way to measure the effect of WASDE releases and extended trading hours on price volatility is to compare the difference in volatility on WASDE-release days with a baseline.
Including springtime months in the analysis might underestimate the effects of WASDE releases on volatility during the key summer growing season and subsequent harvest.
Baseline estimates of volatility on non-WASDE days are compared with actual volatility on WASDE days.
In every year, volatility was significantly higher on many WASDE release days although the frequency of this elevated volatility differed across years (Chart 4).
The extension of trading hours in 2012 appears to have led to a more pronounced period of elevated volatility in the minutes following WASDE releases.
In the minutes preceding WASDE releases, there is only slight evidence of elevated volatility.
Although the analysis points to higher volatility up to 60 minutes following WASDE releases, the information contained in the releases was largely incorporated thereafter.
on days when WASDE reports were released, and volumes were noticeably lower from 8:30 a.
Some anecdotal evidence suggests that individuals attempting to download WASDE precisely when it is released have faced significant delays, likely due to server congestion.