據OGJ網站3月27日報道，自今年年初以來，原油價格急劇下降，主要是由于疫情引起的經濟收縮和歐佩克及盟國暫停商定的削減后原油供應突然增加。根據美國能源信息署(EIA)的分析顯示，隨著需求下降和供應增加，美國基準西得克薩斯中質原油（WTI）的日價格變化極為不穩定。

隱含波動率衡量資產的短期價格變化的預期范圍。 OVX測量石油價格的隱含波動率，并使用WTI金融期權價格的變動來計算。VIX衡量標準普爾(S＆P)500指數的隱含波動率。原油的波動率通常高于標準普爾500指數的波動率，這主要是因為OVX代表一種商品的變化，而VIX代表500家不同公司的變化。

根據EIA的計算顯示，本月這兩種波動率都相對較高：3月16日，VIX指數為82.7，高于2008-09年金融危機期間的任何水平，這是全球經濟上次經歷嚴重衰退。原油市場的波動性甚至更高。3月20日，OVX達到190，是自2007年5月成立以來的最高值。

自1999年以來，每日WTI原油期貨價格大約在70％的時間內穩定在前一個交易日價格的2％之內。自1999年以來，幾乎所有（99.5%）的WTI日價格變化都在前一天價格的10%以內結算；較大的價格變化相對較少。今年3月有4天WTI價格下跌超過10％，有2天WTI價格上漲超過10％。3月9日的25％的跌幅和3月18日的24％的跌幅是WTI期貨價格至少自1999年以來的兩次最大跌幅。在這兩次大跌之后的幾天，WTI價格分別上漲了10％（3月10日）和24％（3月19日），或許是為了響應各國政府宣布的即將實施緊急財政和貨幣政策的計劃。

其他高度波動的時間段，例如2008-09年金融危機，也導致價格大幅度上升和快速下降。在2008-09年金融危機期間，單日漲幅最大是2008年9月22日增加了18％，緊接著單日跌幅最大，9月23日下降12％。

郝芬 譯自 OGJ

原文如下：

EIA: Oil market volatility at all-time high

Since the beginning of 2020 crude oil prices have fallen sharply, mainly due to economic contraction caused by the novel coronavirus (COVID-19) and the sudden increase in crude oil supply following suspension of the agreed reduction by the Organization of the Petroleum Exporting Countries (OPEC) and its partner countries. As demand declines and supplies increase, the daily price change of US benchmark crude West Texas Intermediate (WTI) has become extremely volatile, analysis from the US Energy Information Administration (EIA) shows.

Implied volatility measures an asset’s expected range of near-term price changes. OVX measures the implied volatility of oil prices and is calculated using movements in the prices of financial options for WTI. VIX measures the implied volatility of the Standard and Poor’s (S&P) 500. Crude oil volatility is typically higher than the S&P 500’s volatility, generally because OVX represents changes in one commodity and VIX represents changes across a diverse group of 500 companies.

According to the calculations by EIA, both volatility measures have been relatively high this month: on Mar. 16, the VIX index measured 82.7, a level higher than any point during the financial crisis of 2008-09, the last time the global economy experienced a significant recession. Crude oil market volatility has been even higher. On Mar. 20, OVX reached 190, the highest value since its inception in May 2007.

Since 1999, daily WTI crude oil futures prices have settled within 2% of the previous trading day’s price about 70% of the time. Nearly all (99.5%) of the daily WTI price changes since 1999 have settled within 10% of the previous day’s price; larger price changes are relatively rare. March 2020 has had 4 days where WTI prices decreased by more than 10% and 2 days where WTI prices increased by more than 10%.

The 25% decline on March 9 and the 24% decline on Mar. 18 were the two largest percentage declines in the WTI futures price since at least 1999. On the days following those declines, WTI prices rose by 10% (Mar. 10) and 24% (Mar. 19), likely in response to announced plans from various countries’ governments that emergency fiscal and monetary policy would be forthcoming.

Other highly volatile time periods, such as the 2008-09 financial crisis, also produced large price increases and decreases in quick succession. The largest single-day increase during the 2008-09 financial crisis—an 18% rise on Sept. 22, 2008—was followed by the largest single-day decrease, a 12% fall on Sept. 23.