CME Market Sentiment Meter Historical Market Analyses – September 14, 2019 Abqaiq-Khurais Attack

By Anish Verma

In the year 2019, daily settlement prices (most active expiry) for WTI Crude Oil futures (CL1) rose as tensions with China and Iran grew from January to April. During this period, the Market Sentiment Meter (MSM) indicated Balanced market states.
Following a period of Conflicted market states in May, CL fell from 63.21 USD/bbl to 51.14 USD/bbl. The market state became Anxious and CL began to rise. In August, the prospect of trade talks diminished and the market state was Balanced. The MSM indicated that the market state remained Balanced for the rest of 2019.

On September 14th, 2019, there was a drone attack on the Saudi Aramco facilities located in Abqaiq and Khurais, Saudi Arabia. There was a rise in CL from 54.85 USD/bbl to 62.9 USD/bbl. The market state was Balanced prior to the attack. The risk-return the curve became skewed immediately after the attack. However, the market state remained Balanced. This rise in price was short-lived and fell the following day, a period of Balanced market states.

WHITE PAPER

Most Recent Papers

Market Reactions to COVID-19

A review of Q1 2020 as seen in the CME Market Sentiment Meter By Anish R. Verma, Andrew Milne The COVID-19 pandemic had a notable effect on the eight futures and options products tracked by 1QBit’s CME Market Sentiment Meter. In some markets, such as U.S. equity index...

Quantum-Inspired Hierarchical Risk Parity

By Elham Alipour, Clemens Adolphs, Arman Zaribafiyan, & Maxwell Rounds
Posted on November 14, 2016

We present a quantum-inspired approach to portfolio optimization that is based on an optimization problem that can be solved using a quantum annealer. The proposed algorithm utilizes a hierarchical clustering tree that is based on the covariance matrix of the asset returns. We use real market data to benchmark our approach against other common portfolio optimization methods and demonstrate its strong performance in terms of a variety of risk measures and lower susceptibility to inaccuracies in the input data.

Swap Netting Using a Quantum Annealer

By Gili Rosenberg, Clemens Adolphs, Andrew Milne, & Andrew Lee Swap trades that are cleared through a clearing house may be netted against each other. By doing this, the clearing house reduces its risk exposure, and the counterparties regain the use of capital...

Pin It on Pinterest