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Table 2 Returns of near, next near and far month contracts of mentha oil maturing on 31st December, 2010

From: The volatility of returns from commodity futures: evidence from India

Col.1 Col.2 Col.3 Col.4 Col.5 Col.6 Col.7
Contract/expiry month Near month Returns Next near month Returns Far month Returns
31-Dec-10 1-Dec-10 0.018 1-Nov-10 0.039 1-Oct-10 0.012
31-Dec-10 2-Dec-10 0.017 2-Nov-10 0.039 4-Oct-10 −0.012
31-Dec-10 3-Dec-10 −0.009 3-Nov-10 0.003 5-Oct-10 0.016
31-Dec-10 4-Dec-10 0.005 4-Nov-10 −0.023 6-Oct-10 0.015
31-Dec-10 6-Dec-10 −0.030 5-Nov-10 0.018 7-Oct-10 0.039
31-Dec-10 7-Dec-10 −0.012 6-Nov-10 0.032 8-Oct-10 0.035
31-Dec-10 8-Dec-10 −0.019 8-Nov-10 −0.018 9-Oct-10 −0.004
31-Dec-10 9-Dec-10 −0.041 9-Nov-10 −0.029 11-Oct-10 −0.013
31-Dec-10 10-Dec-10 −0.028 10-Nov-10 −0.041 12-Oct-10 0.012
31-Dec-10 11-Dec-10 −0.041 11-Nov-10 −0.024 13-Oct-10 0.039
31-Dec-10 13-Dec-10 0.005 12-Nov-10 0.003 14-Oct-10 −0.017
31-Dec-10 14-Dec-10 0.032 13-Nov-10 0.022 15-Oct-10 −0.029
31-Dec-10 15-Dec-10 0.012 15-Nov-10 0.007 16-Oct-10 0.036
31-Dec-10 16-Dec-10 −0.006 16-Nov-10 0.011 18-Oct-10 −0.007
31-Dec-10 17-Dec-10 −0.035 17-Nov-10 0.000 19-Oct-10 −0.008
31-Dec-10 18-Dec-10 0.002 18-Nov-10 −0.004 20-Oct-10 −0.004
31-Dec-10 20-Dec-10 0.035 19-Nov-10 −0.030 21-Oct-10 0.038
31-Dec-10 21-Dec-10 −0.012 20-Nov-10 0.023 22-Oct-10 0.039
31-Dec-10 22-Dec-10 −0.011 22-Nov-10 0.015 23-Oct-10 −0.006
31-Dec-10 23-Dec-10 0.023 23-Nov-10 −0.033 25-Oct-10 0.039
31-Dec-10 24-Dec-10 0.000 24-Nov-10 0.001 26-Oct-10 0.039
31-Dec-10 27-Dec-10 0.013 25-Nov-10 0.011 27-Oct-10 0.011
31-Dec-10 28-Dec-10 0.008 26-Nov-10 −0.005 28-Oct-10 −0.004
31-Dec-10 29-Dec-10 0.009 27-Nov-10 0.014 29-Oct-10 0.006
31-Dec-10 30-Dec-10 0.024 29-Nov-10 0.011 30-Oct-10 0.011
31-Dec-10 31-Dec-10 0.100 30-Nov-10 −0.005
  Std. dev 0.029   0.022   0.021
  1. Source: MCX database and authors’ own calculation