Managed Money and Oil Convenience Yield Dynamics

Assiya Utzhanova and Tom Vinaimont
Additional contact information
Assiya Utzhanova: Eurasian National University
Tom Vinaimont: Nazarbayev University, Graduate School of Business

No 2026/05, Working Papers from Nazarbayev University, Graduate School of Business

Abstract: Financialization of commodity markets is the growing trend whereby participants treat commodities as financial assets. This paper examines whether managed money flows affect the convenience yield in crude oil markets. We employ a dataset that disaggregates the open interest between commercial participants and managed money. We find that changes in the net position of managed money have a significant negative effect on the net convenience yield, indicating that flows into long positions exert upward pressure on futures prices relative to spot prices. We show that this effect is significantly different from that of commercial participants, whose changes in positions do not seem to impact net convenience yields. We control for changes in inventories and volatility levels. Higher inventories, unsurprisingly, lead to a lower net convenience yield, consistent with the theory of storage. Volatility has heterogeneous effects: higher oil-specific volatility (OVIX) decreases net convenience yields, while higher financial volatility (MOVE) increases them. The latter effect, however, seems to be driven by a short but turbulent period with negative oil prices.

Pages: 15 pages
Date: 2026-04
References: Add references at CitEc
Citations:

Downloads: (external link)
https://drive.google.com/file/d/1RDXQIA9ECQrEDkaml7hDTVPWCBDXWToh/view First version, 2026 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asx:nugsbw:2026-05

Access Statistics for this paper

More papers in Working Papers from Nazarbayev University, Graduate School of Business Nazarbayev University Graduate School of Business 42 (C3) block 53 Kabanbay Batyr Ave Nur-Sultan city, Republic of Kazakhstan, 010000. Contact information at EDIRC.
Bibliographic data for series maintained by Aigerim Yergabulova ().