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The impact of crude oil inventory announcements on prices: evidence from derivatives markets

Date

2017-02-03

Authors

Miao, Hong, author
Ramchander, Sanjay, author
Wang, Tianyang, author
Yang, Jian, author
Journal of Futures Markets, publisher

Journal Title

Journal ISSN

Volume Title

Abstract

This study examines the impact of weekly crude oil storage announcements on oil futures and options prices. We document evidence of a strong announcement day effect on both markets, and find prices to move in anticipation of the inventory surprise. Futures returns significantly decrease with positive surprises and increase with negative surprises. There is no evidence of an asymmetric impact on futures prices. Near‐the‐money options exhibit the greatest price sensitivity, and the magnitude of the price response of both futures and options declines with maturity. The results remain robust even after controlling for various macroeconomic and other storage‐related news variables.

Description

Includes bibliographical references (pages 28-29).
Published as: Journal of Futures Markets, vol. 38, no. 1, January 2018, pp. 38-65, https://doi.org/10.1002/fut.21850.

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Subject

crude oil
futures
options
inventory

Citation

Associated Publications