Information Leakage in Energy Derivatives around News Announcements

Pageant Media US
Publication Type:
Journal Article
The Journal of Derivatives, 2020, 27, (4), pp. 13-28
Issue Date:
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10.3905 jod.2020.1.095 .pdfPublished version1.02 MB
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The authors examine the behavior of US crude oil and natural gas futures options implied volatility–based measures as proxies for information leakage around news announcements between 2007 and 2017. In the five days preceding news releases, they find abnormal changes in the levels of futures options implied volatility spreads and skew. In addition, they report a statistically significant relationship between abnormal announcement date returns and abnormal changes in pre-announcement implied volatility spreads/skew. Their findings indicate that at least some investors are informed about the details of future crude oil and natural gas news.
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