Hedging pressure and liquidity provision in commodity options markets
利用美国商品期货交易委员会周度报告数据，研究发现商品期权市场中存在显著的对冲压力效应，且商业交易者（互换交易商）在短期内为非商业交易者（资金管理者）提供流动性。
Abstract This study examines hedging pressure and liquidity provision in commodity options markets using data from the weekly US Commodity Futures Trading Commission Commitments of Traders and Disaggregated Commitments of Traders reports. The “options‐only” reports are obtained from futures‐only and futures‐and‐options‐combined reports. We build the futures price series based on commodity options expiration dates. There are significant hedging pressure effects in commodity options markets. The empirical results indicate that commercials (swap dealers) provide liquidity to non‐commercials (money managers) in commodity options markets in the short run.