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Integrating swaps and futures: A new direction for commodity research

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  • Mixon, Scott
  • Onur, Esen
  • Riggs, Lynn

Abstract

This paper introduces new regulatory data that provides unprecedented visibility into swaps positions of dealers and their counterparties. Our analysis suggests that, contrary to common perception, commercial end-users have a larger footprint in the WTI crude oil swaps space than financial end-users do. Commercial end-users’ swaps exposure is larger than their futures exposure, and they are net short in both markets. Financial end-users are smaller in swaps than in futures and are net long in both. Dealers perform a substantial amount of intermediation among market participants. We conclude that joint examination of swaps and futures data facilitates many new directions for commodity research.

Suggested Citation

  • Mixon, Scott & Onur, Esen & Riggs, Lynn, 2018. "Integrating swaps and futures: A new direction for commodity research," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 3-21.
    • Handle: RePEc:eee:jocoma:v:10:y:2018:i:c:p:3-21
    DOI: 10.1016/j.jcomm.2017.06.001
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    References listed on IDEAS

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    Cited by:

    1. Dedi, Valentina & Mandilaras, Alex, 2022. "Trader positions and the price of oil in the futures market," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 448-460.
    2. Pankaj K. Jain & Ayla Kayhan & Esen Onur, 2024. "Determinants of commodity market liquidity," The Financial Review, Eastern Finance Association, vol. 59(1), pages 9-30, February.
    3. Filippo Natoli, 2021. "Financialization Of Commodities Before And After The Great Financial Crisis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 488-511, April.
    4. Fishe, Raymond P.H. & Smith, Aaron, 2019. "Do speculators drive commodity prices away from supply and demand fundamentals?," Journal of Commodity Markets, Elsevier, vol. 15(C), pages 1-1.

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    More about this item

    Keywords

    G13; L71; Q41; Swaps market; Futures market; WTI crude derivatives;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • L71 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Hydrocarbon Fuels
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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