We build an index of abnormal weather conditions to study the short-run response of wheat and maize futures prices following a weather shock in Europe. As weather disruptions are not contemporaneous to the ensuing supply shock, there exist several price impact channels stemming from crop yield losses through which a climate anomaly can affect market prices. The formation and updating process of expectations of future spot prices is a key channel linking weather news and futures contract prices. Spot prices might not react contemporaneously due to contracts' rigidity and existing buffer stocks. However, advanced information on future availability can rapidly be priced in futures contracts. We estimate the average change in LIFFE wheat and maize futures contracts returns for a set of European weather events. Results suggest that later stages of the growing cycles of both wheat and maize are the most affected by abnormal weather and such impact is reflected with greater emphasis on contracts with maturities that are further away in time.