In Search of Liquidity, Hedging & Speculation in Oil Futures Markets
Contents
1. Introduction
2. The Analysis of Volume and Open Interest: a New Approach
2.1 Definitions
2.2 Open Interest, Interday Volume and the Position Trading Matrix
2.3 Estimating the Range of Interday Volume
2.4 Inter- and Intraday Volumes
3. Price Volatility
3.1 Introduction
3.2 Historical Volatility: the Traditional Construction Technique
3.3 Other Techniques
4. An Inter- Intraday Analysis of Oil Futures Markets
4.1 Introduction
4.2 Some Results Using the NYMEX WTI Data
4.3 The WTI Futures Contract and the Intra/InterVolume Ratio
4.4 The Average Liquidity and Day Trading Horizons
4.5 The NYMEX No. 2 Heating Oil Futures Contract
4.6 The Liquidity of Energy Futures: a Conclusion
5. The Characterization of Other Futures Markets
5.1 Introduction
5.2 Standard & Poor’s 500 Financial Index Futures
5.3 Japanese Yen and Deutsche Mark Futures
5.4 Gold Futures
5.5 Eurodollar Futures
5.6 Treasury Bills 90-day Futures
6. Conclusion