Current ENSO risk prices

Below is an option chain built around the risk of El Nino/La Nina. These prices tell you how to value insurance around El Nino/La Nina events of any severity based on current public information. 

In this case, public information means forecasts of sea surface temperatures compiled by Columbia University International Research Institute for Climate and Society (IRI). This option chain uses IRI's forecasts of ENSO SST anomalies (current as of March 2015) available via IRI's site. The anomalies are based on 3-month averages and a 1971-2000 base period, as suggested by IRI. The expiration is for the end of the 3 month period.

Given the historical accuracy and precision of these forecasts I've modeled the uncertainty around ENSO SST outcomes and used those to price on European call and put options. The method I use here is more sophisticated than the one in my dissertation, but if you want more intuition about how the pricing works, that dissertation is a good place to start.

Raw data are here: calls, puts