The article examines how volatility impacts the risk premium in crude oil futures using a term structure model. By analyzing data from 1990 to 2016, the researchers found a positive relationship between volatility and risk premia before May 2005, but a negative relationship after. This change aligns with shifts in commodity markets, particularly financialization. The study shows that short-term volatility plays a crucial role in determining futures risk premia, both before and after structural changes.