The volatility of commodity futures prices is affected by
A.
the volatility of the convenience yields
B.
the volatility of spot prices
C.
the volatility of interest rates that drive the funding cost of the futures positions
D.
all of the above
The Answer Is:
D
This question includes an explanation.
Explanation:
All the choices list inputs into the determination of futures prices. Therefore volatility in any of them affects the volatility of futures prices. Of course, the largest contributor to the volatility is the volatility of the spot price of the underlying. Choice 'd' is the correct answer.
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