Volatility in Crude Oil Markets: Trading and Risk Management
The most important crude oil grades (Brent and WTI) are quite volatile so all market players, from financials to producers, have to hedge themselves against unwanted market risk. Hedging is always tricky and often done with financial derivatives such as options, futures and swaps. This particular quantitative research adopts the implied volatility extracted from Average […]
Commodity Portfolio Management: Strategy Structuring Considerations
Commodity Portfolio Management: Strategy Structuring Considerations is the first part of a larger study whose second part is called Commodity Portfolio Management: Hedging Market Risk. This deliberately simple quantitative research shows how different the statistical IDs of each commodity markets can be. The focus in the first part of this HyperVolatility research is not going […]
Commodity Portfolio Management
As far as commodity portfolio management is concerned, several managers tend to adopt techniques which are usually borrowed from other markets such as equities, currencies or bonds. Nevertheless, effective portfolio management has to be based on solid, applied quantitative research and, given the high volatility and seasonality effect characterising commodity markets, a portfolio based on […]
Commodity Portfolio Management: Hedging Market Risk
__________________________________________________________________________________________________ This is the second part of an extended research whose first part, entitled Commodity Portfolio Management: Structuring Considerations, was previously published on the J.P. Morgan Global Commodities Applied Research Digest journal. It is worth reminding that the main goal of the present research is to identify the most efficient way to structure and manage […]
Oil Fundamentals: Crude Oil Grades and Refining Process
Oil fundamentals is a series of research articles which will go through the how the oil market is structured, what the most important refined products are and what their use is. The present research article will also explore the most relevant chemical aspects of oil markets such as API gravity and sulphur content. This research […]
Commodities and Currencies: Inter-Market Analysis
Commodities are very idiosyncratic markets. Their price fluctuations can depend on multiple factors such as supply/demand dynamics, seasonality, geopolitics, financial markets, interest rates and, last but not least, currency markets. That’s right, the foreign exchange market plays a crucial role when it comes to commodity markets but in some countries the influence can be reversed: […]
Commodity Volatility Indices: OVX and GVZ
In the research called Equity Volatility Indices: VIX, VXN, VXD, RVX we examined equity volatility indices. The research presented a series of calculation showing how and how much the aforementioned indices were moving. The present research, instead, will repeat the same examination but this time it is going to be focused on commodities markets and […]
The January Barometer
January barometer or January effect is a theory which states that the equity market performance during the month of January will set the tone for the rest of the year. In other words, a negative return in January, according to the theory, would imply a bearish year while a positive performance should indicate a financial […]
The Crack Spread
Crude oil and petroleum products remain a key commodity as far as energy production is concerned. The refining industry uses crude oil to produce petroleum products such as gasoline, diesel/gasoil, jet fuel oil, kerosene, fuel oil, residual fuel oil, etc. However, refiners will have to sell petroleum products to a price which is, in terms […]
The Baltic Dry Index
Commodity markets would not function without the shipping industry. Shipping is a huge, complex, sophisticated and fascinating market which has its own economy, dynamics and balances. The Baltic Dry is a highly monitored and particularly popular index among market participants in both commodities and shipping industries as it provides a good approximation about the shipping […]
