This paper studies the behavior of copper future return volatility and its relationship with trading volume and market depth under different market conditions. Test results show that volatility was positively related to trading volume, but negatively to open interest. In a market characterized by low volume, open interest lowered volatility. The higher the open interest was, the lower the volatility was. Trading and non-trading hours had negative impact on volatility significantly. Low depth added to more market friction and increased volatility during heavy trading. Greater volatility for non-trading returns than trading returns in markets with deep depth and heavy trading may reveal market＇s use morn offshore information than domestic information in the pricing mechanism