EIA：石油市场波动创历史新高

据OGJ网站3月27日报道，自今年年初以来，原油价格急剧下降，主要是由于疫情引起的经济收缩和欧佩克及盟国暂停商定的削减后原油供应突然增加。根据美国能源信息署(EIA)的分析显示，随着需求下降和供应增加，美国基准西得克萨斯中质原油（WTI）的日价格变化极为不稳定。

隐含波动率衡量资产的短期价格变化的预期范围。 OVX测量石油价格的隐含波动率，并使用WTI金融期权价格的变动来计算。VIX衡量标准普尔(S＆P)500指数的隐含波动率。原油的波动率通常高于标准普尔500指数的波动率，这主要是因为OVX代表一种商品的变化，而VIX代表500家不同公司的变化。

根据EIA的计算显示，本月这两种波动率都相对较高：3月16日，VIX指数为82.7，高于2008-09年金融危机期间的任何水平，这是全球经济上次经历严重衰退。原油市场的波动性甚至更高。3月20日，OVX达到190，是自2007年5月成立以来的最高值。

自1999年以来，每日WTI原油期货价格大约在70％的时间内稳定在前一个交易日价格的2％之内。自1999年以来，几乎所有（99.5%）的WTI日价格变化都在前一天价格的10%以内结算；较大的价格变化相对较少。今年3月有4天WTI价格下跌超过10％，有2天WTI价格上涨超过10％。3月9日的25％的跌幅和3月18日的24％的跌幅是WTI期货价格至少自1999年以来的两次最大跌幅。在这两次大跌之后的几天，WTI价格分别上涨了10％（3月10日）和24％（3月19日），或许是为了响应各国政府宣布的即将实施紧急财政和货币政策的计划。

其他高度波动的时间段，例如2008-09年金融危机，也导致价格大幅度上升和快速下降。在2008-09年金融危机期间，单日涨幅最大是2008年9月22日增加了18％，紧接着单日跌幅最大，9月23日下降12％。

郝芬 译自 OGJ

原文如下：

EIA: Oil market volatility at all-time high

Since the beginning of 2020 crude oil prices have fallen sharply, mainly due to economic contraction caused by the novel coronavirus (COVID-19) and the sudden increase in crude oil supply following suspension of the agreed reduction by the Organization of the Petroleum Exporting Countries (OPEC) and its partner countries. As demand declines and supplies increase, the daily price change of US benchmark crude West Texas Intermediate (WTI) has become extremely volatile, analysis from the US Energy Information Administration (EIA) shows.

Implied volatility measures an asset’s expected range of near-term price changes. OVX measures the implied volatility of oil prices and is calculated using movements in the prices of financial options for WTI. VIX measures the implied volatility of the Standard and Poor’s (S&P) 500. Crude oil volatility is typically higher than the S&P 500’s volatility, generally because OVX represents changes in one commodity and VIX represents changes across a diverse group of 500 companies.

According to the calculations by EIA, both volatility measures have been relatively high this month: on Mar. 16, the VIX index measured 82.7, a level higher than any point during the financial crisis of 2008-09, the last time the global economy experienced a significant recession. Crude oil market volatility has been even higher. On Mar. 20, OVX reached 190, the highest value since its inception in May 2007.

Since 1999, daily WTI crude oil futures prices have settled within 2% of the previous trading day’s price about 70% of the time. Nearly all (99.5%) of the daily WTI price changes since 1999 have settled within 10% of the previous day’s price; larger price changes are relatively rare. March 2020 has had 4 days where WTI prices decreased by more than 10% and 2 days where WTI prices increased by more than 10%.

The 25% decline on March 9 and the 24% decline on Mar. 18 were the two largest percentage declines in the WTI futures price since at least 1999. On the days following those declines, WTI prices rose by 10% (Mar. 10) and 24% (Mar. 19), likely in response to announced plans from various countries’ governments that emergency fiscal and monetary policy would be forthcoming.

Other highly volatile time periods, such as the 2008-09 financial crisis, also produced large price increases and decreases in quick succession. The largest single-day increase during the 2008-09 financial crisis—an 18% rise on Sept. 22, 2008—was followed by the largest single-day decrease, a 12% fall on Sept. 23.