This paper uses the information implicit in commodity futures and options prices to infer market beliefs about the impact of early‐stages COVID‐19 on commodity market fundamentals. The particular commodity examined is soft red winter (SRW) wheat, and the timeframe is early February to late March 2020. The analysis highlights various adjustments in the cash and futures price of SRW wheat in light of surging short‐run demand from consumer hoarding of staple food products, and a weakening long‐run market from growing wheat stocks and an emerging global recession. This split is causing the forward curve to flatten and basis levels to invert. The change over time in the price of options on wheat futures reveals increased price volatility in response to growing uncertainty about the COVID‐19 impacts. Similarly, changes in the skewness of the option's volatility smile illustrate a shift in traders’ perception about risk in the right versus left tail of the price distribution.

中文翻译：

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COVID-19初期的信息丰富的小麦市场

本文使用商品期货和期权价格中隐含的信息来推断市场对早期COVID-19对商品市场基本面的影响的看法。检验的特定商品是软红冬小麦，时间范围是2020年2月初至2020年3月下旬。分析强调，鉴于消费者of积小麦的短期需求激增，SRW小麦的现金和期货价格进行了各种调整。主食产品，以及由于小麦库存增加和新兴的全球衰退而导致的长期市场疲软。这种分裂会导致正向曲线变平，基准水平反转。小麦期货期权价格随时间的变化表明，随着对COVID-19影响的不确定性增加，价格波动性增加。同样，选项的偏度变化