An Update on Weather Fear Premia Trades

11 Pages Posted: 21 Dec 2018

See all articles by Hilary Till

Hilary Till

Global Commodities Applied Research Digest; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; EDHEC-Risk Institute

Date Written: December 4, 2018

Abstract

This article reviews a class of trading strategies known as “weather fear premia” trades. It argues that these types of trades may comprise a type of risk premium and notes the extra diligence needed in their risk management. The article notes that both superior trade construction and an analysis of fundamentals are also critical for their successful implementation. It concludes with a cautionary note on a catastrophic trading blow-up that occurred in November 2018, illustrating the risk of such strategies.

Keywords: commodity futures, risk premium, natural gas, coffee, corn

JEL Classification: G1, G11

Suggested Citation

Till, Hilary and Till, Hilary, An Update on Weather Fear Premia Trades (December 4, 2018). Available at SSRN: https://ssrn.com/abstract=3295441 or http://dx.doi.org/10.2139/ssrn.3295441

Hilary Till (Contact Author)

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States
3125831137 (Phone)
3128733914 (Fax)

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States
3125831137 (Phone)
3128733914 (Fax)

HOME PAGE: http://www.business.ucdenver.edu/commodities

EDHEC-Risk Institute ( email )

Nice
France
3125831137 (Phone)
3128733914 (Fax)

HOME PAGE: http://risk.edhec.edu/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
105
Abstract Views
579
rank
351,465
PlumX Metrics