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

Hong Miao, Sanjay Ramchander, Tianyang Wang () and Jian Yang ()

Journal of Futures Markets, 2018, vol. 38, issue 1, 38-65

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.

Date: 2018
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