Indeed, the pathetic trading volume, gaping bid/ask spreads and ridiculously short contract maturities (rarely stretching beyond 7 days) are enough to make any intelligent investors hair curl.
In particular, we analyze whether the price variability of a future increases or decreases when the contract approaches maturity.
We also make the following natural assumption regarding the value of the margin account at the contract's maturity date.
Samuelson (1965) argued that the volatility of the change in futures price increases as the contract approaches maturity.
We consider general contracts with cash flow streams, rather than simple contingent claims with a single payoff either at the contract's maturity or upon early exercise.
In other words, A represents cash flows that would be realized in case none of the two parties has defaulted prior to or at the contract's maturity.
Leaseholds are temporary, pre-paid, and tradable ownership contracts with maturities between 99 and 999 years, while freeholds are perpetual ownership contracts.
However, for the contracts with maturities which are longer than three years, the prices using constant correlation are higher than the prices using stochastic correlation.
The commission's proposal for spot-month position limits, or limits on a contract closest to maturity, would prohibit traders from acquiring more than 25 percent of deliverable supply for a given commodity.
He likes to think of his players as a bond portfolio, with their skills as interest rates and their contract lengths as maturities.
