An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets

Article Abstract:

Price variability and trading volume in petroleum futures markets demonstrate a nonlinear causal relationship. A study using daily data on futures prices suggests that nonlinear dependence is being shown by the distribution of the returns and volumes, while a test on its linear causality relationship shows a negative predictive power for one another. The existence of nonlinear relationship between prices and trading volume in petroleum futures further strengthens the fact that knowledge of current trading volume is important in forecasting futures prices.

PETROLEUM AND COAL PRODUCTS, Petroleum, Petroleum and Coal Products Manufacturing, Petroleum industry, Futures

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The profitability of volatility spreads around information releases

Article Abstract:

Economic reports affect options prices and profits on interest rate futures. Traders often buy and sell options in anticipation of economic reports. The five option positions commonly applied for by traders are long straddle, long outstrangle, long instrangle, long call back spread and a long put back spread. Treasury bond futures illustrate how economic reports affect interest rates through the change in implied volatility futures options.

Security and commodity exchanges, Treasury securities, Interest rate futures

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Hedging under counterparty credit uncertainty

Article Abstract:

Optimal production and hedging decisions for firms facing price risk that can be hedged with vulnerable contracts are investigated. Optimal production levels of firms exposed to vulnerable forward contracts are lower than those without. A long put position is optimal when options on forward contracts are available.

United States, Management dynamics, Practice, Hedging (Finance), Report, Market risk

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