Crude Oil Seasonality
December 2, 2020 - Calendar Effects, Commodity Futures
Does crude oil (an important part of commodity indexes) exhibit an exploitable price seasonality? To check, we examine three monthly series: Spot prices for West Texas Intermediate (WTI) Cushing, Oklahoma crude oil since the beginning of 1986 (34+ years). Nearest expiration futures prices for crude oil since April 1983 (37+ years). Prices for United States… Keep Reading