Just a thought but you may want to start with corn. More volume than beans. Beans can move pretty fast.
I'm interested to hear about how thin volumes, speed, and limit down days can affect the options. Will look at corn over the weekend. Thanks for your reply.
If futures lock-limit, look to the at-the money & out-of-the-money strike prices to get an idea of where the market is trading. You can use the options to initiate or offset a position instead of hoping/waiting for the futures to come off of the limit.
If you go into the options market (during a limit up/down move), and you want to hedge your futures position (which is locked limit)....how do you know if your actually going to be delta hedged with options; since the options are trading while the underlying is locked. If ATM options are increasing in price, how can you tell if thats from the underlying price (which is theoritcally still moving even though its locked limit), or if an increase in volitility is being priced into the options. Basically, when the mkt is locked limit, how do you adjust your option pricing models (specifically the underlying price and volitility inputs)...so you can figure out the greeks and actually get yourself properly hedged? Do you look to the cash market, then try to estimate the basis and come up with a theoritical price/volitilty input?
Thank you for your replies js and nazz A bit busy with option expiry but will review in order to ask good questions and will post back. Good info. I did not know ag options kept trading while futures are locked !?! (Trying to keep the posts to a minimum (with my stuff) since this is not a thread started by me) Pretty excited to learn about a new product completely outside of my "domain". Thanks
JSMOOTH------- The options will reveal how far the market is synthetically trading away from the lock-limit price. A volatility explosion will be reflected in the option premiums. It's a good bet to expect that because there can be panic-related trading activity from futures traders who don't want to get "trapped & crushed" if the futures lock-limit for multiple consecutive days.