Backwardation in Oil Futures Markets: Theory and Empirical Evidence
解释石油期货价格常低于现货价格（强贴水）的现象，提出将油井视为看涨期权的理论，并实证发现美国石油产量与隐含波动率负相关、贴水与波动率正相关。
ABSTRACT Oil futures prices are often below spot prices. This phenomenon, known as strong backwardation, is inconsistent with Hotelling's theory under certainty that the net price of an exhaustible resource rises over time at the rate of interest. We introduce uncertainty and characterize oil wells as call options. We show that (1) production occurs only if discounted futures are below spot prices, (2) production is non‐increasing in the riskiness of future prices, and (3) strong backwardation emerges if the riskiness of future prices is sufficiently high. The empirical analysis indicates that U.S. oil production is inversely related and backwardation is directly related to implied volatility.