Market Microstructure Factors in the Determination of Oil Prices

13 Pages Posted: 21 Jul 2020

Date Written: July 17, 2020


On 20 April 2020 the West Texas Intermediate (WTI) oil futures price for May delivery turned negative for the first time in history. Other crude prices also posted very low values and their volatility soared, far more than that on stock markets. This article analyses the differences between the spot and futures markets for crude, demonstrating the key role they played in the source and subsequent correction of this event, which affected above all WTI contracts more than Brent. The article also highlights the increasingly significant presence of oil exchange-traded funds (ETFs) and their growing use as a retail investment instrument.

Keywords: oil prices, COVID-19, volatility, ETFs, futures, spot prices

JEL Classification: Q41, G15, E44, Q43, G41

Suggested Citation

G. Pedraz, Carlos and Gonzalez-Perez, Maria T., Market Microstructure Factors in the Determination of Oil Prices (July 17, 2020). Banco de Espana Article 21/20, Available at SSRN:

Carlos G. Pedraz (Contact Author)

Banco de España ( email )

Alcala 50
Madrid 28014

Maria T. Gonzalez-Perez

Bank of Spain ( email )

Calle Alcala, 48
Madrid, 28014
+34 913388587 (Phone)

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