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Quantitative Finance · Glossário

O que é Samuelson effect?

Definition 10.9 Markets III: Commodities, Energy and Crypto · Capítulo 10 — Forward Curves, Storage and Convenience Yield

The Samuelson effect is the tendency of futures prices to be more volatile the closer they are to delivery.

Annualised volatility of daily log changes of WTI contracts 1 to 4, January 1985 to April 2024, excluding the day each contract rolls and days with non-positive prices. Data: EIA.
Figure 10.4. Annualised volatility of daily log changes of WTI contracts 1 to 4, January 1985 to April 2024, excluding the day each contract rolls and days with non-positive prices. Data: EIA.
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