The authors examine the behavior of US crude oil and natural gas futures options implied volatility–based measures as proxies for information leakage around news announcements between 2007 and 2017. In the five days preceding news releases, they find abnormal changes in the levels of futures options implied volatility spreads and skew. In addition, they report a statistically significant relationship between abnormal announcement date returns and abnormal changes in pre-announcement implied volatility spreads/skew. Their findings indicate that at least some investors are informed about the details of future crude oil and natural gas news. TOPICS: Options, derivatives Key Findings • The study offers a unique examination of information leakage in crude oil and natural gas futures options prior to commodity-specific news between 2007 to 2017. • We report abnormal changes in implied volatility spreads and skew in the five days prior to news announcements. • Pre-announcement abnormal options trading activity indicates that some traders have knowledge about the details of upcoming energy news.

中文翻译：

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新闻公告中能源衍生品的信息泄漏

作者研究了美国原油和天然气期货期权的行为，这些期权隐含了基于波动性的措施，作为2007年至2017年新闻公告周围信息泄漏的代理。在新闻发布前五天，他们发现期货期权水平出现了异常变化隐含波动率价差和偏斜。此外，他们报告了异常的公告日期收益和公告前的隐含波动率价差/偏斜的异常变化之间在统计上的显着关系。他们的发现表明，至少有一些投资者被告知有关未来原油和天然气新闻的细节。主题：期权，衍生工具主要研究结果•该研究对2007年至2017年特定商品新闻之前的原油和天然气期货期权信息泄漏进行了独特的研究。•我们在新闻发布前五天报告隐含波动率价差和偏斜的异常变化。•公告前的异常期权交易活动表明，一些交易员已了解即将到来的能源新闻的详细信息。