Abstract: This article applies onefactor model and seasonality model tostudy the term structure and seasonality of Chinas natural rubber futures prices. The Kalman filter methodology is used to estimate the parameters. Resultsshow positive expected appreciation rate of natural rubber futures prices in the long term and strong mean-reversion in the short term. Contango exists innatural rubber futures most of time. Seasonality model shows strong seasonal effects on Chinas natural rubber futures prices by international markets.