The Jump Size Distribution of the Commodity Spot Price and Its Effect on Futures and Option Prices

Figure 2

Natural gas futures prices (January–July 2015) with maturities: 6, 18, and 44 months. The NYMEX futures prices are the red solid line, the DM is the green dashed dotted line, the JDMN is the blue dash line, and the JDMExp is the black dotted line.