Let it be F a forward contract and the underlying asset is a financial asset. Well, the volatility of this contract coverge to zero when maturity approach? I mean, if the assumption of theory of expectations is true, then the forward price converges to future expected spot price and the volatility decreases, is this correct? And in the case of consumption asset?Thanks in advance

This idea is very similar to the pull-to-par effect observed in bond price volatility. At t=T (ignoring defaults) the bond pays back par, £100 so as t-->T, sigma(bond price) --> 0.

In the case that the underlying asset will be a commodity,electricty for example, this phenomenon remains?

In the case that the underlying asset will be a commodity,electricty for example, this phenomenon remains?

It is true that as a forward contract approaches expiration the forward price will converge to the spot price. But since a spot price itself exhibits volatility, your conclusion that volatility approaches zero is incorrect.

Felpeyu - one other detail on the volatility of a forward price: imagine your forward is something like an equity (NOT like electricity!), so that you can describe the forward like this:F = S*exp[(r-mu)*T]The volatility of the forward will be approximately like the volatility of spot, except that the interest rate is also volatile. The volatility of something which is the product of two volatile things will depend upon the correlation between those things. So the volatility of an equity forward will depend upon the correlation between interest rates and the equity spot.Conventional wisdom is that bond and stock markets usually correlate positively, but when there is an equity correction, there is often a flight to quality, and the sign of the correlation reverses to -100%!Effectively, if you sell call options and delta hedge, this correlation effect will be slightly to your advantage. But when there is a correction, both stock and bond market moves will hurt you at the same time.