But if this were true, wouldn't we see a net close-out of futures positions on high-volatility days?

The second term is the return on the futures position.

If the long position makes a profit on his futures position.

If the short makes a loss on his futures position.

If the expectations hypothesis is valid, the expected return from the futures position is zero for both the long and the short (see (8.17)).

Suppose that, on average, hedgers hold long cash market positions and short futures positions.

For traders who want a low-risk futures position, an intracommodity spread may be attractive.

"Margin systems should be reviewed to assure they adequately address increased risk created by futures positions concentrated in one market," the report said.

Initial margin is the equity required to initiate a futures position.

As a result of this arbitrage activity, hedgers can open and close futures positions at prices better than those they would have otherwise obtained.