This paper investigates the relation between risk-free rates and ex-ante market volatility. It derives a theoretical model implying a negative linear relation between risk-free rates and variance futures prices. The latter are employed as a direct market-based ex-ante estimate of risk-neutral...

Term premiums, defined as the excess return of long-dated contracts over short-dated contracts, in commodity futures are strongly predictable, both in the time series and in the cross section, by roll yield spreads. Strategies that exploit this predictability show sizable Sharpe ratios and are...

Using 10-year option and future data of global market, the risk-neutral skewness, estimated by model-free method has been found with the ability of pricing the average cross-sectional return in the global commodity future market, generating extra 8.3% return annually. The higher (lower) current...

The paper explores different portfolio structures for a passive commodity investment. It finds that an equally-weighted portfolio of up to 30 commodities delivers a Sharpe ratio similar to that of equity indexes and Treasury bonds, with much lower volatility than popular commodity indexes....

This paper is a supplement for Commodity Spot and Futures Prices under Supply, Demand, and Financial Trading'' which includes proof of Propositions of the main paper, Nakajima (2015).The paper "Commodity Spot and Futures Prices under Supply, Demand, and Financial Trading" to which this...

We review selectively some recent advances in the commodity futures literature. First, we discuss the literature on the diversification benefits of commodity futures and we highlight some common misconceptions. Next, we survey the commodity futures asset pricing literature. We explain why it is...

Using proprietary energy futures position data, we provide evidence that mean hedger profits are negative while speculator (especially hedge fund) profits are positive; that speculators and hedgers who hold long (short) positions when likely hedgers in aggregate are net short (long) have higher...

Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that are traded on US regulated exchanges like the Chicago Mercantile Exchange (CME) and unregulated exchanges like Binance. Prior research on which bitcoin markets lead in price...

A new measure of hedging pressure in commodity options markets—commercial hedgers’ net short option exposure—predicts option returns and changes in the slope of implied volatility curves. Puts are more expensive, and calls are cheaper, when values of option hedging pressure are greater....

Winter storm Uri impacted large swaths of the Continental United States, including the State of Texas, over the period Feb. 13 -- Feb. 17, 2021. This research attempts to discern what the natgas and power commodity markets are anticipating for Texas for the First Quarter of 2022. As of this...