An average (price) futures contract is the one, whose expiration price is an average of its underlying asset prices on multiple reference dates. We examine two claims about its anti-manipulation effect and its volatility, which is known to be decreasing in the number of its reference dates. We prove that its anti-manipulation effect can become smaller than previously suggested, depending on manipulator’s behavior, and that its volatility might not be necessarily decreasing in the number of the reference dates under very general assumptions. We present the rationales for the findings, and, specifically, we show that what generally determines the volatility of any kind of average futures is the weight of remaining reference dates at a given time, not just the number of reference dates.

Keywords: Average futures; Volatility; Reference dates;

JEL classification: G13, G14