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We employ dynamic time warping, a nonparametric approach to examine price discovery in three ethanol markets in the United States: Chicago, Omaha, and Stockton. Focusing on the lead–lag relationships between ethanol spot prices and futures prices for ethanol, corn, and crude oil, we show that these associations varied significantly across regions and over time, reflecting the heterogeneity of market structures and the influence of both supply-side fundamentals and energy market volatility. Our approach allows us to identify quick reversals in price leadership across markets. The findings underscore the importance of tailoring policy and risk management strategies to regional market conditions.