  This paper examines the determinants of the volatility of futures prices and
basis for three commodities: gold, oil and bitcoin -- often dubbed solid,
liquid and digital gold -- by using contract-by-contract analysis which has
been previously applied to crude oil futures volatility investigations. By
extracting the spot and futures daily prices as well as the maturity, trading
volume and open interest data for the three assets from 18th December 2017 to
30th November 2021, we find a positive and significant role for trading volume
and a possible negative influence of open interest, when significant, in
shaping the volatility in all three assets, supporting earlier findings in the
context of oil futures. Additionally, we find maturity has a relatively
positive significance for bitcoin and oil futures price volatility.
Furthermore, our analysis demonstrates that maturity affects the basis of
bitcoin and gold positively -- confirming the general theory that the basis
converges to zero as maturity nears for bitcoin and gold -- while oil is
affected in both directions.
