Policy Documents

Memorandum: Impact of Position Limits on Volatility in Energy Futures Markets

U.S. Commodity Futures Trading Commission –
August 21, 2009

The purpose of this memorandum is threefold: (1) to provide analysis of the impact of position limits on the volatility of the prices of energy commodities (crude oil, natural gas, heating oil and reformulated gasoline), (2) to compare long-run trends in the returns and volatilities of energy commodity futures to those of agricultural commodity futures (specifically corn, soybeans, and wheat contracts) and the S&P 500, and (3) to consider any differences in the volatility of the Brent crude oil futures contract and that of the West Texas Intermediate (WTI) crude oil futures contract.