Crude Oil Futures as an Indicator of Market Changes: A Graphical Analysis |
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| Authors: | Michael Ye John Zyren Joanne Shore Thomas Lee |
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| Institution: | (1) Department of Economics, St. Mary’s College of Maryland, St. Mary’s City, MD 20686, USA;(2) Petroleum Division, EI-42, Office of Oil and Gas, Energy Information Administration, U.S. Department of Energy, 1000 Independence Ave., SW, Washington, DC 20585, USA;(3) School of Business Administration, Marymount University, 2807 North Glebe Road, Arlington, VA 22201, USA |
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| Abstract: | This study investigates the changing relationship between price and volume traded of short- and long-maturity NYMEX light
sweet crude oil futures contracts and major changes in the physical crude oil market during the last decade. Monthly series
for the #1-month to 84-month out maturity contracts are generated from daily price and volume data for NYMEX West Texas Intermediate
(WTI) futures contracts for the period from January 2000 to the middle of 2009. 3-D graphical analysis of the futures prices,
contract volumes, maturity dates, and time is used to demonstrate the changing trading volume pattern and evolution of the
shape of futures price term structure across various contract maturities in different market regimes. The study observes the
impacts of both May 2004, when excess production capacity reached nearly zero, and September 2006, when electronic trading
was implemented on the NYMEX WTI futures markets. This analysis will be used to determine if futures contract information
can provide an early indication of market regime shifts and improve short-run crude oil spot price forecast models. |
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