FEEM working papers "Note di lavoro" series
2016 .070

Informed Trading in Oil-Futures Market


Authors: Olivier Rousse, Benoit Sévi
Series: Energy Scenarios and Policy
Editor: Manfred Hafner
Keywords: Insider Trading, WTI Crude Oil Futures, Intraday Data, Inventory Release
JEL n.: G13, G14, Q4

Abstract

The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures markets in days when the inventory level is released that are higher than economists’ forecasts: there are significantly more orders initiated by buyers in the two hours preceding the official release of the inventory level. We also show a clear drop in the average price of -0.25% ahead of the news release. This is consistent with informed trading. We also provide evidence of an asymmetric response of the oil price to the news, and highlight an over-reaction that is partly compensated in the hours following the announcement.

***

Suggested citation: Rousse, O., B. Sévi, (2016), 'Informed Trading in Oil-Futures Market', Nota di Lavoro 70.2016, Milan, Italy: Fondazione Eni Enrico Mattei

Download file
Download PDF file

FEEM Update

Subscribe to stay connected.

Your personal data will be processed by Fondazione Eni Enrico Mattei. – data Controller – with the aim of emailing the FEEM newsletter. The use of Your email address is necessary for the implementation of the newsletter service. You are invited to read the Privacy Policy in order to obtain additional information about the protection of Your rights.

This Website uses technical cookies and cookie analytics, as well as “third party” profiling cookies.
If you close this banner or you decide to continue navigating on this Website, you express consent to the use of cookies. If you need additional information or you wish to express selective choices on the use of cookies, please refer to the   Cookie PolicyI agree