This article studies whether asymmetries in volatility help explain the cross section of commodity returns. We decompose realized variance into upside and downside components and construct a normalized difference measure, the relative signed jump (RSJ), following Bollerslev et al. (2020). A trading strategy that goes long the top tercile of commodities with the highest RSJ and shorts the bottom tercile delivers a statistically and economically significant annualized excess return of-6.29%. We also find that our tradable RSJ factor explains the cross section of commodity returns beyond well-established factors in a multivariate price setting context. Our results also show that the pricing ability of volatility asymmetries is distinct from other higher order moments such as realized skewness.