Many studies have analysed agricultural market instability under different perspectives, but little attention has been given to the effect of climate oscillations on agricultural price volatility. Climate variability, and in particular the extreme events, can alter agricultural yields and stocks, causing relevant effects on prices. In this paper we used a Volatility Impulse Response Function (VIRF) from a multivariate GARCH model (Hafner and Herwartz, 2006) to investigate the effects of climate shocks variability (El Niño/Southern Oscillation - ENSO) on corn and soybeans prices volatility from 1960 to 2014. Results highlighted how extreme ENSO events influence price volatility with different dynamic between corn and soybeans.