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

Hong Miao, Sanjay Ramchander, Tianyang Wang, Jian Yang
Journal of Futures Markets,In Press

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 …
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