Exploring Commodity Trading Activity: An Integrated Analysis of Swaps and Futures

40 Pages Posted: 23 Dec 2016

See all articles by Scott Mixon

Scott Mixon

Commodity Futures Trading Commission

Esen Onur

Commodity Futures Trading Commission (CFTC)

Lynn Riggs

Commodity Futures Trading Commission (CFTC)

Date Written: November 2016

Abstract

This paper presents an analysis of new, regulatory data on commodity swaps, focused on West Texas Intermediate (WTI) crude oil. We find that commercial end-users have a much larger footprint in the WTI swaps space than financial end-users do. Commercials have a much larger exposure in swaps than in futures and are net short in both markets. Financial end-users are smaller in swaps than in futures and are net long in both markets. Swap Dealers perform a substantial amount of intermediation among WTI longs, WTI shorts, and index investors; consequently, net dealer exposure to hedge in futures markets is far less than the gross swap exposure.

Keywords: swaps market, futures market, WTI crude derivatives

JEL Classification: G13, L71, Q41

Suggested Citation

Mixon, Scott and Onur, Esen and Riggs, Lynn, Exploring Commodity Trading Activity: An Integrated Analysis of Swaps and Futures (November 2016). Available at SSRN: https://ssrn.com/abstract=2888993 or http://dx.doi.org/10.2139/ssrn.2888993

Scott Mixon (Contact Author)

Commodity Futures Trading Commission ( email )

1155 21st Street NW
Washington, DC 20581
United States

Esen Onur

Commodity Futures Trading Commission (CFTC) ( email )

1155 21st Street NW
Washington, DC 20581
United States

Lynn Riggs

Commodity Futures Trading Commission (CFTC) ( email )

1155 21st Street NW
Washington, DC 20581
United States

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