WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic
The COVID-19 pandemic has caused turbulence in many areas of the global economy. It also contributed to an increase in volatility on the energy commodities market. This spilled over into the derivatives market, particularly the crude oil futures market. The aim of the article is to compare the cost...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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EconJournals
2023-03-01
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| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | https://econjournals.com/index.php/ijeep/article/view/13865 |
| _version_ | 1797860913924014080 |
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| author | Bartosz Łamasz Marek Michalski Radosław Puka |
| author_facet | Bartosz Łamasz Marek Michalski Radosław Puka |
| author_sort | Bartosz Łamasz |
| collection | DOAJ |
| description |
The COVID-19 pandemic has caused turbulence in many areas of the global economy. It also contributed to an increase in volatility on the energy commodities market. This spilled over into the derivatives market, particularly the crude oil futures market. The aim of the article is to compare the costs and effectiveness of using options on WTI oil from before and after the pandemic. The analyzes took into account the value of option premiums and final results obtained by buyers of call options from March 1, 2018 to April 14, 2022. The results showed that buyers of call options during the pandemic, despite paying much higher option premiums, experienced significantly higher payouts and rates of return. They were the highest for options with the longest expiry periods of 21-30 days. Research also showed that during the pandemic, options with strike prices set at a level higher than the price of oil on the contract date had particularly high rates of return, while the highest payout values were achieved by buyers of call options with low strike prices.
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| first_indexed | 2024-04-09T21:53:37Z |
| format | Article |
| id | doaj.art-e340468c15f642feb09da10a8c3b997d |
| institution | Directory Open Access Journal |
| issn | 2146-4553 |
| language | English |
| last_indexed | 2024-04-09T21:53:37Z |
| publishDate | 2023-03-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Energy Economics and Policy |
| spelling | doaj.art-e340468c15f642feb09da10a8c3b997d2023-03-24T10:14:17ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532023-03-0113210.32479/ijeep.13865WTI Crude Oil Options Market Prior to and During the COVID-19 PandemicBartosz Łamasz0Marek Michalski1Radosław Puka2Faculty of Management, AGH University of Science and Technology, Kraków, Poland.Faculty of Management, AGH University of Science and Technology, Kraków, Poland.Faculty of Management, AGH University of Science and Technology, Kraków, Poland. The COVID-19 pandemic has caused turbulence in many areas of the global economy. It also contributed to an increase in volatility on the energy commodities market. This spilled over into the derivatives market, particularly the crude oil futures market. The aim of the article is to compare the costs and effectiveness of using options on WTI oil from before and after the pandemic. The analyzes took into account the value of option premiums and final results obtained by buyers of call options from March 1, 2018 to April 14, 2022. The results showed that buyers of call options during the pandemic, despite paying much higher option premiums, experienced significantly higher payouts and rates of return. They were the highest for options with the longest expiry periods of 21-30 days. Research also showed that during the pandemic, options with strike prices set at a level higher than the price of oil on the contract date had particularly high rates of return, while the highest payout values were achieved by buyers of call options with low strike prices. https://econjournals.com/index.php/ijeep/article/view/13865Price Risk, Crude Oil, Options Market, Implied Volatility, COVID-19 |
| spellingShingle | Bartosz Łamasz Marek Michalski Radosław Puka WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic International Journal of Energy Economics and Policy Price Risk, Crude Oil, Options Market, Implied Volatility, COVID-19 |
| title | WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic |
| title_full | WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic |
| title_fullStr | WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic |
| title_full_unstemmed | WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic |
| title_short | WTI Crude Oil Options Market Prior to and During the COVID-19 Pandemic |
| title_sort | wti crude oil options market prior to and during the covid 19 pandemic |
| topic | Price Risk, Crude Oil, Options Market, Implied Volatility, COVID-19 |
| url | https://econjournals.com/index.php/ijeep/article/view/13865 |
| work_keys_str_mv | AT bartoszłamasz wticrudeoiloptionsmarketpriortoandduringthecovid19pandemic AT marekmichalski wticrudeoiloptionsmarketpriortoandduringthecovid19pandemic AT radosławpuka wticrudeoiloptionsmarketpriortoandduringthecovid19pandemic |