August WASDE Study — 1min microstructure and fundamentals

Private Dataset 53 Events Panel
1,256,807
1-Min CME Futures Bars
52 Reports
2006–2025 WASDE Archive
20 Years
USDA NASS Crop Progress
2,238,977
MBP-10 Order Flow Updates

Core Research Questions & Empirical Findings

RQ1: Is information incorporated instantaneously at 12:00:00 ET, and is there any pre-release price anticipation?

Zero price anticipation. Across 43 releases (40 liquid), no bar strictly before 12:00 ET exceeds the post-release max |1-min r| in 11:50–12:10 ET (Spike Law 2a). Pre-noon drift sign-agrees with the release direction in only 6/11 Augusts (54.5% ≈ chance).

RQ2: Does the options market ex-ante expected move forecast shock magnitude? How large is the Variance Risk Premium (VRP)?

ATM straddles price a 4.04% average expected move on event eve. The initial 1-min shock |r₀| consumes only ~33% of the straddle value (median |r0| / implied_move = 0.328), proving a strong ~3:1 VRP cushion. Linear correlation between expected move and |r₀| is zero (r = -0.068). IV crush ≤ -15% occurs in 4/11 Augusts (median crush = +0.9%).

RQ3: Do market makers pull liquidity before release? How does follow-through differ by typology?

Quotes pull back dramatically even though prices show zero pre-event drift. Top-of-book depth collapses by 85.8% at 11:59:59 ET (≤ 50% remaining depth in 10/11 Augusts). Thinner pre-event depth correlates (r = -0.385) with higher price impact per unit surprise. In stair-step absorption events, post-release trade volume (+1 to +10 min) is 2.86× the 12:00 bar volume, compared to 1.51× in spike-hold events.

RQ4: Is the August WASDE shock corn-isolated or common-ag co-moving?

August WASDE shocks are heavily common-ag co-moving (R² = 91.0%) across corn, soybeans (ZS), and wheat (ZW), because August releases first survey estimates for both corn and soybeans simultaneously. In non-August months, R² drops to 24.9% (corn idiosyncratic variance = 75.1%).

RQ5: How strongly do pre-event crop condition ratings predict WASDE yield revisions?

Early August NASS Crop Progress condition ratings (Good + Excellent %) correlate strongly (r = +0.860) with the August WASDE yield revision across 2006–2025.

RQ6: Why does 1-min direction persist at +60 min while daily returns resemble a coin flip?

At the 1-min scale, 6/7 strong Augusts hold spike sign at +60 min (median |P₆₀| / |P₁₀| = 1.37). At the daily close-to-close scale, hit rate is 55% (11/20, coin flip), and neither move size nor yield revision z-score separates daily continuations from reversals. Structural trading edges live intraday, not daily.