  In commodity markets the convergence of futures towards spot prices, at the
expiration of the contract, is usually justified by no-arbitrage arguments. In
this article, we propose an alternative approach that relies on the expected
profit maximization problem of an agent, producing and storing a commodity
while trading in the associated futures contracts. In this framework, the
relation between the spot and the futures prices holds through the
well-posedness of the maximization problem. We show that the futures price can
still be seen as the risk-neutral expectation of the spot price at maturity and
we propose an explicit formula for the forward volatility. Moreover, we provide
an heuristic analysis of the optimal solution for the
production/storage/trading problem, in a Markovian setting. This approach is
particularly interesting in the case of energy commodities, like electricity:
this framework indeed remains suitable for commodities characterized by
storability constraints, when standard no-arbitrage arguments cannot be safely
applied.
