Q: Why do the buds on my peony sometimes turn black and dry up early in the season?

A: Likely the buds have been damaged by frost or a fungal infection.

What you describe is often called bud blast. It can be caused by environmental conditions at a critical stage of development such as frost or drought. It can also be caused by a fungal attack, usually during cold wet periods. In these cases the problem is unlikely to be repeated the following year and the plant will likely continue to thrive.

If the problem happens next year you might also suspect a nutritional problem, likely not enough potassium, too much shade or that the plant is planted too deeply. All of these are correctable by either adding fertilizer or moving the plant to a more suitable location in the case of shade or planting to deeply.

Bud blast often occurs in newly planted peonies. Peonies form their buds in the autumn. If a plant is divided and replanted in the autumn (as it should be) the previously formed buds will continue their growth in the spring on a much-reduced root system. Often the newly divided plant does not have the "strength" to fully develop all the buds and they just dry up. As the plant matures this problem disappears.
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