Abstract
We extract implied price densities from wheat options and futures pricesduring the first 17 months of the Ukrainian war. Changing differencesbetween short‐and long‐term densities indicate that market expectationsabout the dynamics of the underlying changed over time. Before the signing ofthe Black Sea Grain Initiative, wheat derivatives prices showed predictivepower for the further development of the conflict, and implied volatilities fromwheat options were highly correlated with geopolitical risk (GPR). Afterwards,wheat prices lost their predictive power for the conflict, but instead reflectedthe market's opinion regarding the viability of the Black Sea Grain Initiative.By that time, correlations between wheat price risk and GPR dropped sharply.