Crude Oil.
WTI crude oil — the world's most traded commodity
$
NYMEX WTI (dollars per barrel)
52-Week Range
55.27 — 115.58
607 trading days
Ann. Volatility
46.1%
MLE λ=0.901 (N=606)
VaR (95%)
5.24%
FHS
Regime
Turbulent
P(turb.) = 100%
Price History.
Daily closing prices with Bollinger Band overlay
Regime Detection.
Hamilton (1989) two-state Markov switching model
Calm State
σ = 23.4% ann.
Avg. duration: 4 days
Turbulent State
σ = 75.5% ann.
Avg. duration: 2 days
Regime Timeline
Transition Probabilities
P(calm → calm) = 72.7%
P(calm → turb.) = 27.3%
P(turb. → turb.) = 50.0%
P(turb. → calm) = 50.0%
Model Diagnostics
Converged: Yes
Observations: 606
Log-likelihood: 1390.8
Vol ratio (turb/calm): 3.2x
Returns Distribution.
Log return histogram with normal overlay
Mean
-0.0138%
Std Dev
2.9051%
Skewness
-0.034
Excess Kurtosis
14.644
Jarque-Bera
5415.05
JB p-value
0.0000
Normal?
No
Observations
606
Why this matters
Excess kurtosis (fat tails) means extreme moves occur more often than a normal distribution predicts. Gaussian risk models systematically understate tail risk for this asset.
Volatility.
EWMA volatility (λ = 0.901) — annualized
Seasonality.
Monthly return patterns across available history
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | — | — | — | +14.2% | -6.0% | +5.9% | -4.5% | -5.6% | -7.3% | — | -1.8% | +5.5% |
| 2025 | +6.4% | +21.5% | +2.5% | -18.6% | +4.4% | +7.1% | +6.4% | -7.6% | -2.6% | -15.9% | -2.2% | -3.7% |
| 2026 | +4.6% | +2.8% | +51.3% | +4.0% | -17.1% | -19.9% | +12.2% | — | — | — | — | — |
Average Monthly Return
Seasonal Context
US driving season (Memorial Day through Labor Day) lifts gasoline demand and refinery runs. Atlantic hurricane season (June–November) threatens Gulf Coast refining. OPEC+ meetings (typically June and December) are scheduled volatility events. Q4 builds toward winter heating demand.
Risk Metrics.
Value at Risk, Expected Shortfall, and drawdown analysis
Interpretation: On 95% of trading days, the loss is expected to be smaller than 5.24%. On the worst 5% of days, the average loss (CVaR) is estimated at 7.03%. The 99% VaR captures more extreme tail events at 8.78%.
Estimated from 606 daily returns. Tail risk estimates improve with longer history.
Maximum Drawdown: 41.15%
Related Markets.
Return correlations with economically linked assets
CL vs NG: 167 overlapping return observations
Note: Return correlations are unstable over time and do not imply causation. These pairs are shown because they share economic drivers (e.g., agricultural supply chains, energy complex), not because correlation alone is meaningful. Short-sample correlations (N < 250) should be treated as rough estimates.
Trend Analysis.
Hurst exponent and Bollinger Band bandwidth
Hurst Exponent
Estimated via R/S analysis from 606 return observations
Bollinger Bandwidth
Bandwidth is within normal range. No strong squeeze or expansion signal detected.
About Crude Oil.
Fundamentals, catalysts, and Ethiopian trade relevance
Ethiopian Trade Relevance
Ethiopia imports virtually all its petroleum, making crude oil the largest single import by value. Oil price swings directly impact the trade balance, forex reserves, and domestic fuel/transport costs. The ETB/USD exchange rate is partly a function of the oil import bill.
Supply & Demand Fundamentals
Global production ~100 million bbl/day. OPEC+ controls ~40% of supply. US shale (Permian Basin) is the marginal producer. Strategic Petroleum Reserve releases are a policy tool. Contango/backwardation in the futures curve signals storage economics. Crack spread (CL vs. gasoline + heating oil) measures refining margins.
Key Reports & Catalysts
Quote Convention
NYMEX WTI (dollars per barrel)
Unit
$/bbl
Trading Days/Year
252