The effect of maturity, trading volume, and open interest on crude oil futures price range-based volatility

The determinants of the volatility of crude oil futures prices are examined using an intra-day range-based measure of volatility. The paper employs two distinct approaches: one is to present a contract-by-contract analysis within the sample period, and the second is based on constructed series for the near-month and next-to-near-month contracts over the entire sample period. The contract-by-contract analysis reveals that trading volume and open interest are significant determinants of volatility that dominate the Samuelson maturity effect. The results support earlier findings of a positive and significant role for trading volume, and they also show the importance of open interest in determining volatility, exerting a significant negative effect. The full-period time series analysis also demonstrates the significant role played by open interest in the determination of futures price volatility, further confirming the importance of trading volume.