The main purpose of this paper is to determine the relationships between various macroeconomic factors and oil futures, with underline commodity the WTI light sweet crude oil, trading in NYMEX. In this effort we use five oil futures’ maturities and specifically the generic form contracts of 1, 3, 6, 9 and 12 months. We try to determine the interdependencies of certain macroeconomic factors and the price of each one contract starting from January 1990 until May of 2010. We test for Granger causality and then apply VAR specification accompanied by impulse response analysis and variance decomposition. We find evidence that there is a solid relationship between certain macroeconomic factors and oil variables.