Since 2008, the usually negative crude oil futures spread has been positive for extended periods, raising doubts about conventional explanations. We re-examine the dynamics of the futures spread using monthly VARs on the CME WTI oil futures spread, OECD and U.S. oil and petroleum inventories and...

This paper presents an empirical study on hedging long-dated crude oil futures options with forward price models incorporating stochastic interest rates and stochastic volatility. Several hedging schemes are considered including delta, gamma, vega and interest rate hedge. Factor hedging is...