One objective of this study is to present the first known empirical application of the event induced trading strategy approach with respect to an agricultural commodity futures options market. The second objective of the study is to demonstrate a method for decomposing returns to a portfolio of options in such a manner that allows the researcher to distinguish between returns attributable to changes in volatility, changes in underlying futures prices, or any of
several other factors that affect options returns. The conclusion reached was that options markets could be inaccurately reflecting a combination of both futures price changes and volatility changes. The empirical evidence suggests that small but unidirectional price moves occurring in anticipation of the reports was also making a significant contribution to the long straddle returns.