4.2.2. 1 speculation
In international oil trading, the trading volume and volume of oil futures are very important, which has obvious price discovery function for the spot trading price of oil, so we will focus on the price fluctuation in oil futures trading. In recent years, international oil prices have fluctuated at a high level, and speculation in the oil market is considered to be one of the obvious reasons. Therefore, measuring the degree of speculation in the international oil market should be an important aspect of evaluating the systemic risk of the oil market.
The difference between speculative and non-speculative futures trading is generally based on the Trader Commitment (COT) published by CFTC once a week. Traders who hold future positions need to fill in a report describing their commercial nature, and CFTC distinguishes commercial traders from non-commercial traders according to the data. Commercial traders need to actually use the traded goods, thus mainly using the futures market for hedging to control risks, while non-commercial traders include all other traders. It is generally believed that speculators in the energy futures market refer to non-commercial traders, and their speculative transactions can be roughly divided into two categories: position trading and spread trading, including direct or long or short futures contract positions; Arbitrage trading includes long positions and short positions, which exist in different futures contracts of similar or related commodities. Because the futures contracts bought and sold by speculators in arbitrage transactions are highly correlated, there should be a reasonable relationship between their prices. When the market price deviates from the reasonable relative price, speculators can buy relatively cheap contracts and sell relatively expensive contracts; If the judgment is correct, speculators can profit from the price difference.
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Based on the characteristics of speculative trading, in order to measure the degree of speculation in the international oil futures market and grasp the trading situation of the oil futures market in general, especially the speculative pressure and hedging pressure in the oil futures market, according to Sanders et al. (2004), we define several quantitative indicators as follows:
Proportion of positions held by non-commercial traders:
Proportion of positions held by commercial traders:
Proportion of net positions of non-commercial dealers:,
The change rate of arbitrage position of non-commercial traders is:
Proportion of net positions of commercial dealers:,
Among them, NCL stands for long positions of non-commercial traders, NCS stands for short positions of non-commercial traders, NC SP stands for arbitrage positions of non-commercial traders, CL stands for long positions of commercial traders, CS stands for short positions of commercial traders and TOI stands for total positions (open contracts). According to Sanders et al. (2004) and DeRoon et al. (2000), the net position ratio of non-commercial traders indicates the speculative pressure of the market (more precisely, the speculative pressure of the position), while the net position ratio of commercial traders indicates the pressure of market hedging.
Therefore, it is necessary to obtain basic data from the weekly trader position report provided by CF TC. COT report provided by CFTC is a standard format data report, which involves some important professional concepts that need to be explained in the oil futures market, mainly including long positions, short positions, arbitrage transactions and arbitrage positions in oil futures trading. The position held after buying a futures contract is called a long position, and its profit comes from the rise in the price of oil futures contracts. The positions held after selling futures contracts are called short positions, and their profits come from the decline of futures contract prices. The difference between an open long contract and an open short contract is a net position. Arbitrage trading measures the intertemporal arbitrage part held by each non-commercial trader, and its position represents the equal long and short positions held by each non-commercial trader, but does not include the data of cross-market arbitrage trading. For example, if a non-commercial trader holds 2000 long positions and 1.500 short crude oil contracts, the long positions in the non-commercial positions are counted as 500 contracts, and the arbitrage positions are counted as 1.500 contracts.
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4.2.2.2 exchange rate fluctuation
The exchange rate fluctuation of petroleum-denominated currencies is also an important reason for the sharp fluctuation of oil prices. Considering that the US dollar is the main pricing and settlement currency in the international oil market at present, this section focuses on the fluctuation of the US dollar exchange rate and introduces the US dollar composite index weighted by international trade volume. In the dollar exchange rate transaction, the exchange rate of the dollar against the euro plays a leading role in the whole trend of the dollar exchange rate, so this book also increases the exchange rate of the dollar against the euro to evaluate the exchange rate risk of the oil market; In addition, with the continuous depreciation of the US dollar in recent years, its international position in the money market has aroused heated discussion, and the voice of advocating the settlement of oil trade with a basket of currencies is growing. Therefore, this section introduces the exchange rate fluctuation of the US dollar against the ruble, taking into account the trend of diversification of calculation currency, Russia's important position in international oil trade and its existing practice of changing settlement currency.
Table 4. 1 Index System and Description of International Oil Market System Risk Assessment
In addition to speculation and exchange rate fluctuations, the most basic law of the oil market, that is, the market supply and demand situation, can not be ignored. In recent years, geopolitics, weather changes, seasonal adjustment of consumption behavior and other factors have finally significantly affected international oil price fluctuations through the supply and demand situation of the oil market. Therefore, when evaluating the systemic risk of the oil market, the market supply and demand risk is essential.
Based on the above analysis, see Table 4. 1 It should be pointed out that due to the limitation of transaction data, we only evaluate the system risk of NYMEX exchange in the United States at present. Oil and gas varieties include crude oil, gasoline, heating oil and natural gas futures.