Skip to main content

Main menu

  • Home
  • Latest Articles
  • Past Issues
  • About PA
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • Collections
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
Practical Applications
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • Collections
  • Sample our Content
  • Request a Demo
  • Log in
Practical Applications

Practical Applications

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Latest Articles
  • Past Issues
  • About PA
  • LinkedIn
  • Twitter

Practical Applications of Information Leakage in Energy Derivatives around News Announcements

Marc J. M. Bohmann and Vinay Patel
Practical Applications 9 (1) DOI: https://doi.org/10.3905/pa.9.1.434
Marc J. M. Bohmann
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Vinay Patel
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Report
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

In Information Leakage in Energy Derivatives around News Announcements, in the Summer 2020 issue of The Journal of Derivatives, authors Marc Bohmann and Vinay Patel (both of the University of Technology Sydney) investigate information leakage in commodity option markets, by taking a close look at abnormal changes in implied volatility spreads and skew that precede price-sensitive news releases. The growth of electronic trading platforms has made it easier to trade commodities, leading to an increase in futures and associated option contracts. These options in turn serve as a venue for information leakage.

Focusing on crude oil and natural gas futures, the most highly traded markets on the Chicago Mercantile Exchange (CME), the authors examine the implied volatility (IV) spread and skew. They show an increase in crude oil markets’ IV spread within the five days prior to positive and market-significant news releases, and in their IV skew within the days preceding negative news releases. They also find a statistically significant relationship between these abnormal pre-announcement IV measures and abnormal returns on the date of the official announcement. They report similar results in natural gas markets. These findings are relevant to regulators, investors, and firms in these energy markets, for example, in evaluating whether financial markets work properly.

TOPIC: Options

  • © 2020 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

Practical Applications
Vol. 9, Issue 1
31 Jul 2021
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on Practical Applications.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Practical Applications of Information Leakage in Energy Derivatives around News Announcements
(Your Name) has sent you a message from Practical Applications
(Your Name) thought you would like to see the Practical Applications web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Practical Applications of Information Leakage in Energy Derivatives around News Announcements
Marc J. M. Bohmann, Vinay Patel
Practical Applications Jul 2021, 9 (1) DOI: 10.3905/pa.9.1.434

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Practical Applications of Information Leakage in Energy Derivatives around News Announcements
Marc J. M. Bohmann, Vinay Patel
Practical Applications Jul 2021, 9 (1) DOI: 10.3905/pa.9.1.434
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • Overview
    • Practical Applications
    • Key Definitions
    • Discussion
    • DATA AND METHODOLOGY
    • RESULTS
    • CONCLUSION
    • Marc J. M. Bohmann
    • Vinay Patel
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
iprjournals@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN Print: 2329-0196 | E-ISSN: 2329-020X

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy