The use of futures prices to predict commodity cash prices is important both to practitioners and researchers yet the literature provides conflicting results on the ability of futures prices to predict cash prices. Brenner and Kroner [Journal of Financial and Quantitative Analysis 30 (1995) 23]...

We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...

The magnitude and sign of risk premiums provide relevant information on the structure of a given market. However, there is no consensus on commodity markets if there is a risk premium, and if so, if it is positive or negative. In addition, in recent years, there has been a discussion on the...

Skewness is one of the less-known but practical measures from statistics that can be used in trading. It is defined as a measure of the asymmetry of the probability distribution of a random variable around its mean. Financial mathematics and most quantitative models assume some kind of symmetric...

The flying condor is an exchange traded option trading pattern developed for dynamically changing patterns. It uses 3D logic, i.e. it is built with legs that are offset in time and space. It breaks with the tradition that the PnL pattern taken at market entry is the result at exit, as the...

We develop a model to study the impacts of speculative position limits in commodity futures market. In the spirit of Dodd-Frank Act, regulators believe that position limit on speculators would dampen futures price volatility and prevent market manipulation. We show that this is not true due to...

I write to provide public comment on the application of LedgerX LLC (d/b/a FTX US Derivatives) for an amended order of registration from the CFTC. The application requests permission to clear margined customer trades in derivatives directly—that is, without the need for additional layers of...

We examine the price discovery performance of China’s crude oil futures traded on the Shanghai International Energy Exchange (INE) for the spot prices of 19 types of deliverable and non-deliverable Asian crude oil. We find evidence for the INE crude oil futures price discovery function even at...

We study potential drivers for a large cross-section of commodity futures. Unlike previous studies, we examine the effect of monthly drivers on daily returns using mixed-frequency Granger causality tests. We find real economic activity as a main driver on a monthly basis, whereas financial...