Do scheduled announcements affect market uncertainty in energy derivative markets?
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We examine the impact of inventory and macroeconomic news releases on market uncertainty, as measured by volatility of futures returns and volatility implied by options prices, in crude oil, heating oil, and natural gas derivative markets. We document strong inventory announcements effects in all three markets, with an increase in return volatility and a drop in implied volatility on the day of inventory report releases. There is little evidence of macroeconomic announcements impacting these energy markets. We also find existence of the day-of-the-week pattern in crude oil options and natural gas futures markets.