Interim Staff Report

Trading in NYMEX WTI Crude Oil 

Futures Contract Leading up to, 

on, and around April 20, 2020 

Published November 23, 2020 

DISCLAIMER 

This is an interim report by certain staff of the Commodity Futures Trading Commission (“CFTC” or 

“Commission”). Any views expressed in this interim report are solely the views of staff, and do not 

necessarily represent the position or views of the CFTC, its five-member Commission, or any 

Commissioner. 
 

 

Contents 

I. Introduction.......................................................................................................................... 1 

II. Executive Summary............................................................................................................. 1 

III. Background.......................................................................................................................... 3 

A. Oil Market and Relationship to WTI Futures ...................................................................... 3 

B. NYMEX WTI Crude Oil Futures ........................................................................................ 6 

1. Settlement Process............................................................................................................ 7 

2. Execution Types............................................................................................................... 7 

C. Overview of April 20 Events ............................................................................................... 8 

IV. Fundamental Factors.......................................................................................................... 10 

A. Impact of Global Economic Slowdown, COVID-19, and Other Factors .......................... 10 

B. Storage Concerns ............................................................................................................... 11 

V. Trading Activity................................................................................................................. 15 

A. Open Interest in the May Contract..................................................................................... 15 

B. Starting Open Interest on April 20..................................................................................... 20 

C. Intraday Trading................................................................................................................. 23 

D. Liquidity & Order Book Analysis...................................................................................... 28 

E. Market Integrity Controls .................................................................................................. 35 

VI. Conclusion ......................................................................................................................... 36 

i 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

I. Introduction 

Division of Market Oversight (“DMO”) and Office of the Chief Economist (“OCE”) staff of the 

U.S. Commodity Futures Trading Commission (the “CFTC” or “Commission”) issue this 

interim report (the “Report”)1 to provide background, context, and observations regarding the 

trading activity leading up to, on, and around April 20, 2020 (“April 20”), for the West Texas 

Intermediate (“WTI”) Light Sweet Crude Oil futures contract (the “WTI Contract”), traded on 

the New York Mercantile Exchange (“NYMEX”).

2 

This Report focuses on the WTI Contract’s May 2020 expiration (the “May Contract”), which 

settled on April 20 at a price of -$37.63 per barrel. The May Contract’s April 20 negative 

settlement price was the first time the WTI Contract traded at a negative price since being listed 

for trading 37 years ago.

3 

This Report includes: (i) an executive summary; (ii) background on the WTI Contract; (iii) a 

discussion of fundamental factors that impacted supply and demand for domestic crude oil; and 

(iv) an interim analysis of trading activity in the WTI Contract on April 20. 

II. Executive Summary 

This Report outlines the events of the WTI Contract market between January 1, 2020, and April 

21, 2020. This Report also sets forth data on the geopolitical and fundamental economic drivers, 

as well as certain technical factors, preceding and coinciding with the negative settlement price 

of the WTI Contract on April 20.4 

1 Consistent with Section 8(a) of the Commodity Exchange Act (“CEA”), this Report does not contain data or 

information that would separately disclose (i) the business transactions or market positions of any person, or (ii) 

trade secrets or names of customers. In addition, this Report concerns only the observations by DMO and OCE staff 

and does not represent a legal conclusion with respect to the applicability of any provision of the CEA or the 

Commission’s regulations. Furthermore, this Report is based upon the information available to such staff at the time 

this Report was written, and any different, changed, or omitted facts or circumstances may require additional 

analysis and result in different observations. This report is interim as a result of the above and the proximity to the 

events. “Interim” does not suggest that any further reports will or will not be forthcoming. Commission Staff may 

identify additional information or conduct additional analysis over time, and the determination of next steps or 

reports, if any, will be made at that time in light of the facts and circumstances at that time. The Commission has not 

expressed any view regarding the observations contained herein. 2 NYMEX is a Designated Contract Market (“DCM”) regulated by the CFTC and is part of the Chicago Mercantile 

Exchange Group Inc. (“CME”). The trading day for WTI Contracts (and many other CME contracts) is nearly 24 

hours, Sunday through Friday. The April 20 trading session actually began at 6:00 p.m. Eastern Time (“ET”) on 

Sunday, April 19. Unless otherwise indicated, reference herein to trading on April 20 refers to the trading session 

beginning at 6:00 p.m. ET Sunday, April 19, ending at 2:30 p.m. ET Monday, April 20. Also, all times in this Report 

reference ET, unless otherwise indicated. 

3 This Report is limited to analysis of the NYMEX WTI Contract and does not include analysis of trading activity in 

the ICE Futures Europe WTI crude futures contract, a cash-settled contract. 4 This Report does not analyze the propriety of trading by any particular trader or group of traders. Additionally, to 

the extent any trading activity may have been abusive, manipulative, disruptive, or otherwise unlawful, an 

evaluation of that activity is beyond the scope of this Report. As such, this Report does not consider whether forces 

outside of supply and demand impacted prices leading up to, on, or around April 20, nor does this Report identify 

the root cause(s) of any price movement of the WTI Contract leading up to, on, or around April 20. Furthermore, as 

is customary, nothing in this Report should be interpreted to either confirm or deny the existence of an enforcement 

investigation by the Commission related to the matters addressed herein. 

1 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The negative settlement price of the WTI Contract occurred on the penultimate day of trading for 

the May Contract, which expired on April 21. For the WTI Contract May expiry, market 

participants who were not intending to make or take delivery of the crude oil underlying the 

futures contract were expected to close out of their positions by April 21 (the May Contract’s 

expiration date and last day of trading). As described in detail below, the process of reducing the 

amount of the total number of futures contracts that remain open without an offsetting position or 

fulfilled by delivery, or “open interest” (“OI”),

5 through trading or netting is known as 

“compression.” The level of compression for the May Contract on April 20, and the level of 

trading to achieve compression, was historically high, resulting in OI in the May Contract 

reducing markedly throughout the day. 

This Report reviews the fundamental factors of supply, demand, and storage as well as technical 

trading factors surrounding the May Contract as it traded on April 20. Fundamental factors that 

coincided in and around the May Contract’s trading and settlement at negative prices on April 20 

discussed in this Report include the following: 

• An already oversupplied global crude oil market was hit with an unprecedented reduction

in demand caused by the novel coronavirus pandemic (“COVID-19”).6 Uncertainty over

both the magnitude and duration of that loss of demand increased volatility to historic

levels.7 This Report observes how certain actions in response to the decline in demand by

the Organization of Petroleum Exporting Countries (“OPEC”), along with 10 non-OPEC

oil-exporting nations, colloquially referred to as “OPEC Plus,” impacted market

volatility.

• Concerns were growing in the marketplace about whether OPEC Plus or other global

producers could respond quickly to the reduction in demand. These concerns raised

questions about the availability of storage for excess production, and were particularly

pressing at the Cushing, Oklahoma, oil terminal, which serves as the delivery point for

the physically-settled WTI Contract.

• By March 2020, the working storage available at the Cushing facility was near capacity.

The scarcity in capacity raised procedural concerns related to the mechanics of pipeline

transportation and storage at the Cushing terminal, both of which are required to support

the physical delivery process for the WTI Contract. Procedural concerns about the

physical delivery process included questions about whether the WTI Contract would

trade at negative prices. In or about late March and early April, NYMEX and some

industry participants began preparing for the prospect of negative WTI crude oil prices,

5 OI refers to the total number of futures contracts long or short in a delivery month or market that has been entered 

into and not yet liquidated by an offsetting transaction or fulfilled by delivery. OI is also referred to as “open 

contracts” or “open commitments.” See CFTC Futures Glossary, https://www.cftc.gov/LearnAndProtect/ 

AdvisoriesAndArticles/CFTCGlossary/index.htm#O (last visited November 20, 2020). 6 See Scott Tong, ‘Suppliers are Sexy,’ But the Real Oil Collapse Story is Demand, MARKETPLACE (April 3, 2020), 

https://www.marketplace.org/2020/04/03/why-are-oil-prices-low-covid19/. The World Health Organization declared 

the coronavirus disease 2019 outbreak a global pandemic on March 11, 2020. See https://www.who.int/directorgeneral/speeches/detail/who-director-general-s-opening-remarks-at-the-media-briefing-on-covid-19---11-march2020. 7 See Figure 1, infra at p. 11. 

2 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

A. Oil Market and Relationship to WTI Futures

 

 

 

 

changing technology and pricing models to account for this contingency.8 As discussed 

below in Section III.A., while prices in futures contracts of other commodities (such as 

natural gas and interest rates) traded at negative levels at various points during the last 

decade, the WTI Contract had not. 

In addition to the fundamental factors summarized above, a number of technical factors related 

to market structure coincided with, and may have influenced, the April 20 negative settlement 

price. As discussed in more detail below, these factors included the following: 

• Generally, in the weeks prior to the expiration of the May Contract, and specifically at 

the start of the April 20 trading session, OI in the May Contract was much higher than 

usual. 

• The majority of traders holding positions in the May Contract had traded out of their 

positions prior to April 20. OI fell from 634,727 contracts at the start of the month of 

April to 108,593 contracts at the start of the April 20 trading session. 

• OI was high entering the April 20 trading session, but the number of reportable traders 

holding positions at expiry on April 21 was consistent with prior contract months. 

• Limit order book activity related to multiple products show a decrease in liquidity in the 

May Contract starting well before April 20. 

• During the April 20 trading session, exchange-based control mechanisms (such as 

dynamic circuit breakers (“DCBs”)9 designed to impose pauses in the event of rapid or 

large price moves) were triggered. Nevertheless, the speed and magnitude of the price 

moves observed on April 20 in the May Contract (particularly between 1:00 p.m. ET and 

the end-of-day settlement at 2:30 p.m. ET) were exceptional.

10 

In summary, a variety of factors coincided leading up to, on, and around April 20, when WTI 

Contract prices fell from $17.73 per barrel at the beginning of the trading session to finally settle 

at -$37.63 per barrel. An oversupplied global oil market faced an unprecedented reduction in 

demand due to COVID-19 slowdowns and shutdowns, and the uncertainty over supply, demand, 

and storage capacity coincided with price volatility in the WTI Contract observed at historic 

levels that day. 

III. Background

In 2018 and 2019, the United States was the top producer of crude oil in the world.11 The U.S. 

assumed this role for the first time in decades primarily as a result of expanded use and 

development of hydraulic fracturing technology in the Permian region of western Texas and 

eastern New Mexico, the Federal Offshore Gulf of Mexico, and the Bakken region of North 

8 See Section III.C., infra. 9 DCBs define an upper and lower limit of how far an instrument is allowed to move in a configured time interval. 10 See Section V.E. Market Integrity Controls. 11 See U.S. ENERGY INFORMATION ADMINISTRATION (“EIA”), OIL AND PETROLEUM PRODUCTS EXPLAINED: WHERE 

OUR OIL COMES FROM (2020). 

3 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dakota and Montana.12 The increase since 2011 in U.S. production of light sweet crude oil 

grades has been particularly notable.

13 

Increases in national crude oil production coincided with growing export activity. In December 

2015, the U.S. ban on oil exports was lifted, propelling the U.S. to become a leading crude oil 

exporter.

14 These dynamics further strengthened the importance of the crude oil industry to the 

overall U.S. economy. 

The United States’ role as a top crude oil producer and exporter highlights the WTI Contract’s 

function as a global benchmark and the utilization of the oil facilities in Cushing, Oklahoma by 

domestic oil producers. Alongside the Brent Crude futures contract,15 the WTI Contract is one of 

the largest and most widely-traded crude oil futures contracts in the world. The WTI Contract is 

used by both commercial and non-commercial participants to hedge and manage risk. 

As a global benchmark for crude oil, the WTI Contract serves as a key reference rate for pricing 

physical and financial oil transactions. For example, in the physical oil commercial market, the 

WTI Contract is used as a reference rate for pricing U.S. domestic and regional crude oil 

production, which is generally priced at a differential to the WTI Contract price.

16 The WTI 

Contract is also utilized as a pricing reference rate for imports and exports of crude oil, both to 

and from the U.S., as well as regional markets in Canada, Mexico, and some Central and South 

American crude oil markets.

17 

Logistics, operational costs, and other constraints also play a role in setting crude oil futures 

contract prices. 18 In addition, the ability to standardize pricing of different grades of crude oil 

against a benchmark across various production, refining, and distribution regions allows the 

physical cash markets to operate more transparently.19 

The WTI Contract also serves as the basis for the calculation of a spot contract price, that is, the 

price at which crude oil or a commodity may be bought or sold for immediate delivery. Physical 

12 See EIA, THE UNITED STATES IS NOW THE LARGEST GLOBAL CRUDE OIL PRODUCER (2018). 13 Id. There are several types of crude oil, each priced according to various characteristics, two of which - density 

and sulfur content - are key. Density ranges from light to heavy. The level of sulfur content determines whether 

crude oil is graded sweet or sour. Generally, products such as gasoline and diesel fuel are more readily refined from 

light and sweet crude oil than from heavy and sour crude oil. See EIA, Crude Oils Have Different Quality 

Characteristics, (2012). 14 Consolidated Appropriations Act of 2016, Pub. L. No. 114-113, 129 Stat. 2242. President Obama signed the $1.15 

trillion Consolidated Appropriations Act into law, which, among other things, appropriated funds to renewable 

energy producers while repealing the crude oil export ban.

15 The Brent Crude futures contract is traded on Intercontinental Exchange (“ICE”) Futures Europe. Unlike WTI, 

Brent Crude oil refers to oil from the North Sea. 

16 Secondary benchmarks include WTI Houston, WTI Midland, LLS, Mars, Argus Sour Crude Index, and WCS 

Cushing/WCS Houston.

17 See EIA, BENCHMARKS PLAY AN IMPORTANT ROLE IN PRICING CRUDE OIL (2014). 

18 Bottlenecks, access to water, refinery, and export demand can have a marked effect on prices at different locations 

notwithstanding consistent crude oil quality. See generally EIA, PIPELINE CONSTRAINTS, REFINERY MAINTENANCE 

PUSH WESTERN CANADIAN CRUDE OIL PRICES LOWER (2018). 

19 Generally, commodities are traded in two separate but related markets: the cash market and the futures market. 

The cash market refers to the buying and selling of physical commodities where the price and exchange of product 

occurs in the present. In contrast, the futures market deals with the buying or selling of future obligations to make or 

take delivery of the commodities at some future date. Commodities can also be traded through swaps. Swaps are 

outside the focus of this Report. 

4 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

crude oil cash trades are generally structured either as a differential or a basis through an 

exchange of barrels (“barrel back”), whereby one grade of regional crude oil can be valued, 

assessed, or exchanged against another grade. Cushing, Oklahoma, is conveniently situated and 

used for these trades, allowing producers and refiners to leverage the physical cash market and 

the WTI Contract to price, hedge, transfer, and settle these trades. Outright (non-derivative) 

commercial transactions often use a calendar month average (“CMA”) pricing mechanism. This 

mechanism employs a volume-weighted average price (“VWAP”) of (i) a crude oil contract such 

as the WTI Contract, or (ii) a price differential to the WTI Contract across a range of days or a 

period (typically a calendar month). In the case of CMA contracts referencing WTI Contract 

prices, the futures contract expires prior to the actual calendar month end. As a result, the 

contract term for the commercial transaction determines the contract price by computing the 

VWAP of the remaining period with the following near month in the WTI Contract series. 

The WTI Contract also impacts financial markets, as a variety of transactions use the WTI 

Contract as a key reference price, including international derivative markets, crude oil swap 

transactions, commodity index transactions, and exchange traded funds (“ETFs”) in the U.S. and 

internationally.20 Many commodity index funds also include the WTI Contract as a component 

of their index funds. Canadian and Mexican grades of crude oil sold in the U.S. are reliant on the 

WTI Contract as a benchmark. The Bloomberg Sour Crude Index (“USCRSRIN”) and Argus 

Sour Crude Index (“ASCI”) are among the reference prices used by various nations, such as 

Saudi Arabia, Kuwait, and Iraq, to set the price of their exports to the U.S. These prices also bear 

a strong relationship to WTI prices, so much so that the USCRSRIN and ASCI also experienced 

negative prices on April 20.21

As indicated above, the WTI Contract’s benchmark status means that a negative price shock can 

have broad implications. While negative prices in energy markets are not common, they have 

occurred. For example, negative prices have transpired in a European electricity market, where 

market commentators concluded that a high renewable energy supply combined with low 

consumer demand on a Sunday in May 2019 caused electricity prices to go negative in the EPEX 

SPOT market.22 Negative prices have also been observed in a U.S. regional natural gas market, 

where market commentators noted that spot prices for natural gas dropped below zero in March 

2019 as increased supply outstripped pipeline capacity near the Waha hub in the Permian Basin 

of Western Texas.23

The robustness, reliability, price formation, and price discovery roles of the WTI Contract are 

relied upon not only to meet the risk-management and hedging needs of commercial and noncommercial participants in the crude oil markets, but also as part of a critical infrastructure that is 

20 An example of such an offering is the Bank of China’s wealth-management product issued to the Chinese high 

net-worth sector and linked to the WTI crude oil prices. This product is named “Yuányóu Bǎo” or “原油宝 ”). 21 See Bloomberg L.P. for USCRSRIN index, www.bloomberg.com/energy, and Argus Media.com for ASCI, 

https://www.argusmedia.com/-/media/Files/methodology/argus-sour-crude-index.ashx. 22 See AleaSoft Energy Forecasting, “Negative prices in some European power markets thanks to a high renewables 

production” (May 28, 2019), https://www.pv-magazine.com/press-releases/negative-prices-in-some-europeanpower-markets-thanks-to-a-high-renewables-production/. 23 See Scott DiSavino, Explainer: Why are U.S. Natural Gas Prices in Texas Below Zero? REUTERS, April 9, 2019, 

available at: https://www.reuters.com/article/us-natgas-pipelines-flaring-explainer/explainer-why-are-u-s-naturalgas-prices-in-texas-below-zero-idUSKCN1RL2NL. 

5 
 

 

 

 

 

 

B. NYMEX WTI Crude Oil Futures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

vital for the oil industry and the well-being of regional and state economies, as well as the 

economy of the U.S. and beyond.

24

As the main delivery and price settlement point for the WTI Contract, Cushing is a vital 

transshipment point with many intersecting pipelines and storage facilities, providing easy access 

to refiners and suppliers. Crude oil flows inbound to Cushing from a number of sources and 

outbound through dozens of pipelines.25 Cushing serves as a central hub and way-station 

allowing the exchange, transfer, or trade of various grades of crude oil and refined products. 

Cushing’s central location between the Gulf Coast, Midcontinent,26 and Midwest producing 

basins, and refineries, storage, and export hubs, serves to reduce regional price differences,

27

creating a more uniform pricing structure. As a result, the WTI Contract is the central benchmark 

for domestic crude oil.28

NYMEX’s WTI Contract is the most actively traded crude oil futures contract in the U.S. Each 

contract is for 1,000 barrels of physically-deliverable crude oil that meets specific standards set 

by NYMEX. The WTI Contract is priced in U.S. dollars and Cushing, Oklahoma is the delivery 

point. The WTI Contract series lists for trading monthly futures contracts for the current year, the 

subsequent 10 calendar years, and two additional months.29 The contract trades nearly 24 hours a 

day, Sunday through Friday ET. Daily traded volume averages approximately 1.2 million 

contracts per day.30

24 See U.S. DEPT. OF HOMELAND SECURITY & U.S. DEPT. OF ENERGY, CRITICAL INFRASTRUCTURE AND KEY 

RESOURCES SECTOR-SPECIFIC PLAN AS INPUT TO THE NATIONAL INFRASTRUCTURE PROTECTION PLAN (REDACTED) 

(2007). 25 Pipelines deliver the vast majority of domestic crude oil to U.S. refineries. The pipelines connect domestic 

production regions to Cushing, Oklahoma, reducing logistical constraints and expanding the utility of a large 

secondary physical market with local storage capability.

26 The Midcontinent region is a physiographic province that extends from northern Texas and covers portions 

of Nebraska, Kansas, and Oklahoma. 

27 The crude oil price differential among domestic producing regions has narrowed as a result of infrastructure 

spending. For example, the price difference between WTI Midland crude oil and WTI Cushing and Magellan East 

Houston crude oil has narrowed since 2018, as investments have removed most of the pipeline capacity constraints 

from the Permian region to Cushing. Conversely, WTI Midland prices still trade slightly lower than Houston crude 

oil prices, suggesting that the region still faces some takeaway constraints in shipping Permian crude oil to the U.S. 

Gulf Coast. 

28 While WTI is the most widely-known U.S. crude oil stream, other crude oil streams do exist, including (i) Light 

Louisiana Sweet (LLS) crude, which has become the local benchmark for sweet crude oil in the U.S. Gulf Coast; (ii) 

US-Gulf Coast Sour and Medium crudes, such as Mars and Poseidon (produced offshore Louisiana); and (iii) 

Southern Green Canyon produced offshore Texas.

29 These forward periods are referred to as the “term structure” of the WTI Contract markets. The term structure of 

the WTI markets extends beyond 10 years, allowing participants to buy or sell futures contracts to hedge, risk 

manage, and invest. See https://www.cmegroup.com/trading/energy/crude-oil/light-sweetcrude_contractSpecs_futures.html for additional contract specifications.

30 The WTI Contract market for April 20 opened on Sunday, April 19 at 6:00 p.m. ET, as Asian markets opened for 

trading on April 20. NYMEX cycles through a number of pre-defined market states at the open. These include: (1) 

Pre-Opening: a predetermined time before the trading session opens when participants are able to enter, modify, and 

cancel orders for the trading day that is going to start shortly. However, no trades are executed at this time; (2) PreOpening/No-Cancel: During the Pre-Opening period, the last 30 seconds prior to transitioning to Open. This PreOpening/No-Cancel period allows participants to place orders, but it does not allow orders to be canceled or 

6 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

1. Settlement Process

Under NYMEX rules, the nearest of the contract months listed for trading is designated as the 

active month. However, the active month becomes a non-active month effective two business 

days prior to the spot month expiration.31 April 20 was the penultimate day of the May Contract, 

meaning the May Contract, as the near-month contract, was no longer the active month on April 

20. Instead, the June WTI Contract became the active contract on Friday, April 17, two business

days prior to the May Contract’s expiration day of April 21. As a result, under the NYMEX rule

the May Contract (and all months other than the designated active month of June) would settle

on April 20, based upon the VWAP of accumulated calendar spread transactions occurring

between 2:28 p.m. and 2:30 p.m. ET, the calendar spread settlement period (calendar spreads are

explained below).

2. Execution Types

There are many trade execution types available in the WTI Contract (see Table 1 for a full list of 

trade and execution types transacted on April 20).32 Three of the most commonly-used types are 

relevant to the intraday trading dynamics observed on April 20: outright trades, calendar spread 

trades, and Trade at Settlement (“TAS”) trades. Each is described in more detail in the following 

sections and formally defined on the CME’s website.33

a) Outright Trades

Outright trades are the most direct futures trading instrument available. They represent the single 

purchase or sale of a futures contract for delivery at a single future date. For example, if a trader 

thinks oil prices will rise, he or she will want to establish a long position in WTI Contracts and 

might place an outright trade to buy WTI Contracts to do so. This provides an immediate 

position in the market on a single expiration. The position’s profit or loss is calculated based on 

the movements of that single futures expiration (e.g., the May Contract). 

b) Calendar Spreads

Calendar spread trades are common in WTI Contracts and many other futures contracts. A 

calendar spread trade involves the simultaneous purchase and/or sale of two different expirations 

modified. Trades are also not executed during this period; and (3) Markets Open: the period of time when orders are 

sent and matched in real time, based on the product’s trading times.

31 CME Group Daily Settlement Procedures, Light Sweet Crude Oil (CL) Futures Daily Settlement Procedure, 

available at: 

https://www.cmegroup.com/confluence/display/EPICSANDBOX/NYMEX+Crude+Oil#NYMEXCrudeOilActiveMonth. CME Group Daily Settlement Procedures, Light Sweet Crude Oil (CL) Futures Daily Settlement 

Procedure, available at: 

https://www.cmegroup.com/confluence/display/EPICSANDBOX/NYMEX+Crude+Oil#NYMEXCrudeOilActiveMonth.

32 Table 1 is found on page 18, infra. 

33 For the instrument types available on CME’s Globex trading platform (“Globex”), see 

https://www.cmegroup.com/confluence/display/EPICSANDBOX/Instrument+Types+Available+on+CME+Globex. 

Globex is an electronic trading system providing global connectivity to derivatives, including the WTI Contract. 

CME technology facilitates electronic trading, providing global users with virtually 24-hour access to its markets. 

See https://www.cmegroup.com/globex.html. 

7 
 

 

 

 

 

 

C. Overview of April 20 Events 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

in the same contract. Individual positions in the spread are referred to as “legs.” Calendar spread 

trades generally involve buying one expiration and selling another in the same contract. 

Calendar spreads are priced off the differential between the two contracts. This means a trader 

holding a calendar spread is less interested in the price of each individual contract expiration 

than the difference between the two. 

c) Trading at Settlement (TAS) 

TAS trades are an order type that allows a participant to execute a trade at a spread, or defined 

number of tick increments, above or below that day’s settlement price, at any time during the 

trading session. TAS has been a trade type for crude oil contracts since 2001.34 TAS allows 

market participants to establish new, or adjust existing, positions using the trading day’s 

settlement prices, without actually trading in the market during the closing period. 

TAS prices are derived from the settlement price of the underlying futures contract after the 

settlement is complete. TAS contracts are bought and sold at a price differential from the daily 

settlement price, so the final price of the TAS contract is the settlement plus or minus a premium 

or discount. The allowable price increments and differential are defined by NYMEX. TAS trades 

provide a mechanism to access the markets for traders who want to capture the day’s settlement 

price. 

Spread TAS trades are also available in the WTI Contract, operating in a similar manner to 

outright TAS. Spread TAS trades are priced at a differential from the day’s settlement for the 

given spread. The spread TAS position is then converted into a calendar spread after the daily 

settlement. 

On Monday, April 20, between approximately 2:08 p.m. ET and the end of the daily settlement 

period at 2:30 p.m. ET, the May Contract traded at prices below $0 per barrel for the first time 

since the inception of the WTI Contract in 1983. On April 20, the May Contract recorded an alltime intraday trading low price of -$40.32 per barrel before a final settlement of -$37.63 per 

barrel.

35 All other expirations in the WTI Contract settled at positive prices on April 20.36 

As indicated above, April 20 was the May Contract’s penultimate day, one day before the 

contract’s expiration date.37 The April 20 trading session commenced the preceding Sunday 

evening at 6:00 p.m. ET, when WTI Contract markets opened in Asia. The May Contract opened 

34 See: NYMEX Notice to Members No. 41, 1/31/2001. Amendments to NYMEX Rule 6.40B (Trading at 

Settlement (Pilot Program)): Extension of Pilot Program. 35 Daily market information is widely available. See https://www.wsj.com/market-data/quotes/futures/ 

CRUDE%20OIL%20-%20ELECTRONIC?mg=prod/com-wsj. 36 Markets with an upward sloping futures curve are referred to as being in “contango.” See 

https://www.cmegroup.com/education/courses/introduction-to-ferrous-metals/what-is-contango-andbackwardation.html. 

37 Per the contract specifications, trading terminates three business days prior to the 25th calendar day of the month 

prior to the contract month, unless the 25th calendar day is not a business day, in which case trading terminates four 

business days prior. See https://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_contractSpecs 

_futures.html. 

8 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

the session on Sunday at a price of $17.73 per barrel. During the trading session from Sunday’s 

open to Monday’s intraday low, the May Contract price ultimately fell by $58.05 per barrel. The 

price drop was particularly pronounced during a 20-minute period between 2:08 p.m. and 2:28 

p.m. ET, when May Contract prices moved from $0 to -$39.55 per barrel, before reaching the

all-time low of -$40.32 at 2:29 p.m. ET.

Thus, the settlement price of the May Contract reflected the difference in price, or the “spread,” 

between the May Contract and the active38 June 2020 contract (“June Contract”) (the “MayJune Spread”).39 During the April 20 trading session, the May-June Spread widened from the 

previous trading day’s closing spread of -$6.76 to -$58.06 per barrel. 

The next trading session, which as is customary began the evening before, was the April 21 

trading session. The April 21 trading session began on the evening of April 20. During the April 

21 trading session, at approximately 8:04 p.m. ET on April 20, approximately six hours after 

prices dropped to negative prices during the April 20 trading session earlier that day, the May 

Contract traded above $0 per barrel.40 During the overnight session of April 20 to 21, May 

Contract prices dipped below zero again when the European markets opened, and remained at or 

near negative prices until U.S. markets opened the morning of April 21. The price settled at 

expiration on April 21 at a price of $10.01 per barrel. At the end of the April 21 trading session, 

the May-June spread settled at -$1.56 per barrel, consistent with levels seen in mid-March. 

As set forth in detail in the next section, coming into the penultimate trading day for the May 

Contract, the marketplace appeared to focus increasingly on the imbalance between supply and 

demand in the crude oil markets and the shortage of crude oil storage, particularly in light of the 

WTI Contract’s terms requiring physical delivery in Cushing.41 In the weeks prior to April 20, 

NYMEX announced it was preparing for negative prices in the WTI Contract, issuing a number 

of advisories and actions in preparation for such an event.42 On or about April 1, the CME 

38 The active month is the nearest of the contract months listed. Two business days prior to the spot month 

expiration, the active month becomes a non-active month. For example, if the spot month expires on a Friday, the 

next-listed contract will be considered the active month contract on the Wednesday prior to the spot month 

expiration. Here, the May Contract transitioned from active to non-active status at 6:00 p.m. ET on April 16, 2020 

(the start of the April 17, 2020 trade date).

39 See https://www.cmegroup.com/confluence/display/EPICSANDBOX/NYMEX+Crude+Oil. 40 Oil markets and trading that day were referenced in a White House press conference that began at 

approximately 5:39 p.m. ET, before the April 21 session opened at 6:00 p.m. ET on April 20. 

https://www.whitehouse.gov/briefings-statements/remarks-president-trump-vice-president-pence-memberscoronavirus-task-force-press-briefing-29/. 41 See International Energy Agency (“IEA”), IEA Oil Market Report (OMR), April 2020, available at: 

https://www.iea.org/reports/oil-market-report-april-2020. 42 On April 3, CME issued a notice entitled “Changes to Price and Strike Price Eligibility Flags for Certain Energy 

Products,” indicating that CME was flagging certain products, including WTI Contracts, for potential negative price 

trading. See https://www.cmegroup.com/notices/electronic-trading/2020/04/20200403.html. On April 8, CME issued 

a notice entitled “CME Clearing Plan to Address the Potential of a Negative Underlying in Certain Energy Options 

Contracts,” stating that the CME Clearinghouse would provide one day’s notice before allowing negative options 

pricing and strikes, in order to allow the clearing participants to switch to the Bachelier model. See 

https://www.cmegroup.com/notices/clearing/2020/04/Chadv20-152.html. The Black-Merton-Scholes options pricing 

model, among others, relies on logarithms in the calculations. As a result, models of this type cannot calculate a 

price for the option if the underlying asset has a negative price. As the Bachelier model does not rely on logarithms 

for its calculations, it is particularly useful in situations where the underlying asset on which the option is written 

may have a negative price. On April 13, CME issued a Globex notice announcing that firms wishing to test negative 

and zero trade, settlement, and strike prices for Crude Oil futures and options on Crude Oil futures could utilize the 

9 
 

 

 

 

A. Impact of Global Economic Slowdown, COVID-19, and Other Factors

 

 

 

 

 

 

 

 

 

 

 

 

 

 

advised CFTC staff that CME was taking operational steps toward supporting negative pricing, 

as needed, for futures and strikes for options for certain energy products traded on CME’s 

Globex, including the WTI Contract. On April 3, 8, 13, and 15, CME issued public notices and 

communications to its members in this regard.

43

IV. Fundamental Factors

This section describes fundamental factors that may have influenced the May WTI Contract 

price on April 20 based on reporting staff’s interim perspective. 

The COVID-19 pandemic significantly reduced demand for crude oil, driving prices lower and 

increasing the 90-day historical price volatility44 to extreme levels (see Figure 1 below). Between 

January 2 and February 6, 2020, WTI Contract price levels dropped steadily from $61.18 per 

barrel to $50.95 per barrel. By March 2, they had fallen to $41.28 per barrel. The price drop from 

January through February may be attributed, at least in part, to the reduction in crude oil demand 

in China45 and other Asian countries, in addition to the expanding concerns of a more 

widespread impact of the pandemic. 

180 80 OPEC+ reaches Mounting storage 

-40

-20

0 

20 

40 

60 

20 

40 

60 

80 

100 

120 

140 

160 

WTI Front Month Prices 

Historical Volatility

Saudi Arabia announces 

it is cutting prices, 

raising tensions with 

OPEC 

Meetings 

end without 

an 

agreement 

to cut 

supply 

U.S. Equity markets set 

lows due to COVID-19 

Increasing Russia – Saudi 

tensions 

agreement, although 

cuts don’t become 

effective until May 

concerns impact 

markets 

WTI front month sets a settlement price of - Russia 0 $37.63 -60

1-Mar 6-Mar 11-Mar 16-Mar 21-Mar 26-Mar 31-Mar 5-Apr 10-Apr 15-Apr 20-Apr 25-Apr 30-Apr

Figure 1: May Contract Performance during March and April 2020. Source: CFTC 

CME Group New Release testing environment. The April 13 notice also noted that “as an operational step toward 

potentially supporting negative pricing and strikes,” these energy outright futures and options were flagged as 

eligible to trade at negative prices on the CME market data platform. See https://www.cmegroup.com/notices/ 

electronic-trading/2020/04/20200413.html. On April 15, CME issued a further notice to its clearing members 

entitled “Testing Opportunities in CME’s ‘New Release’ Environment for Negative Prices and Strikes for Certain 

NYMEX Energy Contracts” about the possibility of negative prices. See https://www.cmegroup.com/ 

notices/clearing/2020/04/Chadv20-160.html. On April 20, before WTI Contracts went negative, the CME Global 

Command Center notified its NYMEX exchange members that certain energy futures contracts, including the WTI 

Contract, would have no low limits and could trade negative.

43 See supra n. 42. 44 This volatility measurement was calculated using the standard historical volatility calculation by measuring price 

dispersion in the May Contract on a 90-days rolling basis.

45 The International Energy Agency March Oil Market Report stated “Covid-19 (coronavirus) has spread beyond 

China and our 2020 base case global oil demand forecast is cut by 1.1 mb/d (million bpd). For the first time since 

2009, demand is expected to fall year-on-year, by 90 kb/d. In 1Q20, China’s demand falls by 1.8 mb/d y-o-y (yearon-year) with global demand down 2.5 mb/d....” See https://www.iea.org/reports/oil-market-report-march-2020. 

10 
 

 

 

 

 

 

 

 

 

 

 

 

 

B. Storage Concerns

 

 

 

 

 

 

 

 

 

 

 

 

In response to this decline in demand, OPEC Plus members sought to modify their existing 

agreement to reduce production in early March. However, they failed to do so and dissolved the 

agreement, further increasing downward pressure on WTI Contract prices.46

As the pandemic spread globally, global demand for crude oil fell further, and WTI Contract 

prices dropped to $28.70 per barrel by March 16. 

Subsequently, as WTI Contract prices and Brent futures prices fell to $22.76 per barrel and 

$31.48 per barrel, respectively,

47 OPEC Plus members reached a historic agreement to cut the 

world’s crude oil output by 9.7 million barrels per day (“bpd”), the largest single production cut 

in history.48 On April 13, 2020, OPEC Plus announced this agreement prior to crude oil markets 

opening. Under the agreement, the cuts were to begin on May 1 and extend through the end of 

June 2020. The cuts would then be tapered to 7.7 million bpd from July 2020 through the end of 

2020, and 5.8 million bpd from January 2021 through April 2022. OPEC Plus members planned 

to meet again in June 2020 to assess whether further actions would be needed.

49

The initial price response to the April 13, 2020 OPEC announcement of production cuts was 

muted, with the WTI Contract prices continuing to decline, although the Brent futures prices 

increased briefly on Monday, April 13. However, by the end of Friday, April 17, both the WTI 

Contract and Brent futures prices had further declined, as the production cuts were not slated to 

begin until May 1. In the near term, crude oil markets were still subject to unconstrained 

production at a time when global demand had been blunted by the COVID-19 pandemic. At the 

close on Friday, April 17, the May Contract price fell below $20 per barrel to $18.27 per barrel 

and Brent futures prices fell to $28.08 per barrel. 

The COVID-19 pandemic significantly reduced demand in a global crude oil market that was 

already over-supplied.50 Although OPEC Plus members had agreed to reduce supply, the 

production reductions were not expected to commence until May 2020. Accordingly, concerns 

continued to increase around oversupply of crude oil production and undersupply of crude oil 

storage availability in the near term. In the U.S., with production unabated, similar concerns 

arose in late March, becoming increasingly persistent and pertinent as the May Contract 

approached expiration.

51

46 See Sam Meredith, OPEC+ Fails to Agree on Massive Supply Cut, Sending Crude Prices to 2017 Lows, CNBC 

(March 6, 2020), https://www.cnbc.com/2020/03/06/opec-meeting-coronavirus-weighs-on-oil-demand-as-oil-pricesfall.html. 47 Near month futures prices at close of business April 9, 2020. 

48 See Pippa Stevens, OPEC and Allies Finalize Record Oil Production Cuts After Days of Discussion, CNBC (April 

12, 2020), https://www.cnbc.com/2020/04/12/opec-and-allies-finalize-record-oil-production-cut-after-days-ofdiscussion.html#:~:text=OPEC%20and%20its%20oil%20producing%20allies%20on%20Sunday%20finalized%20 

a,largest%20output%20cut%20in%20history. 49 At the June meeting, OPEC Plus members decided to extend the first level of production cuts for one month. 

Further meetings are scheduled for November 30, 2020 and December 1, 2020.

50 See Scott Tong, ‘Suppliers are Sexy,’ But the Real Oil Collapse Story is Demand, MARKETPLACE (April 3, 2020), 

https://www.marketplace.org/2020/04/03/why-are-oil-prices-low-covid19/. 51 See Stanley Reed, The World is Running Out of Places to Store Its Oil, THE NEW YORK TIMES March 26, 2020, 

https://www.nytimes.com/2020/03/26/business/energy-environment/oil-storage.html. 

11 
 

 

 

 

 

 

 

 

 

- >--

1-- - 1-- - 1-- 1-- - >--

At the start of 2020, there were approximately 49.4 million barrels of oil in floating storage 

worldwide.52 While the number fluctuated week-to-week based on economic conditions, global 

floating storage inflows exceeded 10 million barrels during the week ending March 8, following 

the collapse of the first OPEC Plus agreement.

53 During the first three weeks of April, when the 

OPEC Plus members were not subject to any production quotas, the amount of oil in floating 

storage rose by almost 69 million barrels to about 127 million barrels, a 117% percent increase 

from the March 29 level (see Figure 2). The bulk of that increase, about 40 million barrels, came 

during the week ending April 19. At this point in time, the May Contract had entered its last 

three days of trading, referred to as the “spot period.” 

0 

20,000 

40,000 

60,000 

80,000 

100,000 

120,000 

140,000 

1/5/2020 2/5/2020 3/5/2020 4/5/2020 

Thousand Barrels 

0% 

10% 

20% 

30% 

40% 

50% 

60% 

70% 

80% 

Note: Total barrels of crude oil observed Note: Net stocks as a percentage of 

in floating storage globally. working storage capacity. 

Figure 2: Global Floating Storage of Crude Oil. 

Source: Bloomberg Finance L.P. 

Figure 3: Weekly Crude Oil Storage at Cushing, OK. 

Source: EIA 

While U.S. crude oil stockpiles remained little changed in the early stages of the COVID-19 

pandemic, stockpiles began to escalate rapidly as the pandemic persisted through the first quarter 

of 2020. During the week of March 27, crude oil stocks swelled by 13.8 million barrels, 

compared to an average increase of just three million barrels per week in February and early 

March.

54 Over the next four weeks, U.S. crude oil stocks increased by 15.8 million barrels per 

week. By April 17, U.S. crude oil stockpiles were just 17 million barrels short of the all-time 

peak.

55

The buildup of oil in storage facilities significantly impacted available storage capacity. As 

Figure 3 indicates, data from the EIA shows that storage facilities at Cushing had increased from 

about 50% of capacity in mid-March to approximately 76% of capacity by April 17. Anecdotal 

press reports56 during the week leading up to the April 20 trade date suggested that crude oil 

52 Source: Bloomberg Finance L.P. 

53 Id. 54 For weekly information on U.S. crude oil stocks, see https://www.eia.gov/dnav/pet/pet_stoc_wstk_dcu_nus_w. 

htm. 

55 See EIA, WTI CRUDE OIL FUTURES PRICES FELL BELOW ZERO BECAUSE OF LOW LIQUIDITY AND LIMITED 

AVAILABLE STORAGE (2020). 

56 See Laila Kearney and Devika Krishna Kumar, No Vacancy: Main U.S. Oil Storage in Cushing is All Booked, 

REUTERS, April 21, 2020, https://www.reuters.com/article/us-global-oil-usa-storage/no-vacancy-main-u-s-oilstorage-in-cushing-is-all-booked-idUSKCN22332W, and Myra P. Saefong, The Oil Market is Running Out of 

Storage Space and Production Cuts Loom, MARKETWATCH April 21, 2020, https://www.marketwatch.com/ 

story/the-oil-market-is-running-out-of-storage-options-2020-04-21. 

12 
 

 

 

 

 

 

 

 

-

storage was in particularly short supply. Some reports indicated that most, if not all, of the empty 

storage space had already been committed.

57 

Storage levels at Cushing (see Figure 3) are important not only because Cushing serves as the 

delivery point for the WTI Contract, but also because Cushing is a critical hub in the U.S. 

network of crude oil pipelines and accounts for a significant percentage of U.S. storage capacity. 

According to EIA, the 75.8 million barrels of storage capacity in Cushing represents about 44% 

of all crude oil working storage capacity in the Midwest (as defined by Petroleum Administration 

for Defense District 2), and about 11% of all commercial crude oil storage in the U.S. as a whole. 

0 

10 

20 

30 

40 

50 

60 

70 

80 

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 

Million barrels 

5-Year Range Calendar week 2020 

2019 Prior 5-Year Average 

-8 

-7 

-6 

-5 

-4 

-3 

-2 

-1 

0 

1 

2-Jan 17-Jan 1-Feb 16-Feb 2-Mar 17-Mar 1-Apr 16-A 

Dollars per barrel

Note: Weekly Cushing, OK Ending Stocks 

excluding SPR of Crude Oil 

Note: The spread between the May-June Contract 

excluding April 20th 

Figure 4: Weekly Cushing, OK Ending Stocks. 

Source: EIA 

 Figure 5: WTI May-June Spread January to April 2020. 

Source: CFTC 

As the May Contract approached expiration on April 21, spreads between the May and June 

Contracts widened, consistent with an increase in storage capacity concerns (see Figure 5).58 On 

January 6, 2020, the May-June Spread closed at $0.55 per barrel, indicating the May Contract 

was trading at a slight premium to the June Contract. The spread later widened, consistent with 

increasing concerns about the impact on demand of the COVID-19 pandemic. The May-June 

Spread declined below zero on January 31, hovering between $-0.04 per barrel and -$0.24 per 

barrel until early March, at which point the spread began to widen rapidly, indicating the May 

Contract was trading at significantly lower levels than its June counterpart. By the close of 

trading on Friday April 17, the trading day prior to the April 20 trading session, the spread 

settled at -$6.76 per barrel, perhaps reflecting market concerns about the lack of available storage 

for barrels scheduled to be delivered in May, among other factors. 

The crude oil industry’s demand response to COVID-19 was faster than its supply response, 

leading to an increase in the oversupply problem in the crude oil markets. Consumption of 

refined production and crude oil fell at a rapid pace as the global economy slowed while attempts 

to curtail production lagged behind the dramatic demand loss. This created a buildup of oil that 

would be available for immediate use, pushing nearby prices lower. At the same time, the 

expectation that demand would recover in the future kept forward prices elevated. As more oil 

flowed into storage, particularly at Cushing, near-term prices continued falling, in part to 

57 See EIA, LOW LIQUIDITY AND LIMITED AVAILABLE STORAGE PUSHED WTI CRUDE OIL FUTURES PRICES BELOW 

ZERO (2020). 

58 The widening of spreads meant the price of the May Contract traded at a lower price point to the June Contract. 

13 
 

 

discourage the continued flow of oil into facilities that were reaching their maximum operational 

capacity, further widening the spread between the May and June Contracts. 

In summary, a wide-ranging set of fundamental factors coincided as crude oil fell over 70% in 

the days leading up to the April 20 trade date. An oversupplied global crude oil market was hit 

with an unprecedented reduction in demand, and the uncertainty over both the magnitude and 

duration of that loss helped push volatility to historic levels. The dissolution of the OPEC Plus 

agreement in March, coupled with the delay in resuming the production cuts until May, further 

exacerbated crude oil oversupply concerns, ultimately raising fears about the market’s ability to 

store excess production. These concerns were particularly pressing at the Cushing storage 

facilities that serve as the delivery point for the physically-settled WTI Contract. 

14 
 

 

 

 

 

 

 

 

 

 

 

V. Trading Activity 

This section reviews trading activity in the WTI Contract market leading up to, on, and around 

April 20. This section covers four main areas: (1) OI in the May Contract and related position 

changes; (2) aggregated intraday trading activity; (3) liquidity and related order book analysis; 

and (4) market integrity controls. 

Multiple sources of information, collected and maintained by the CFTC, are incorporated into 

this analysis covering end-of-day positions, aggregated intraday transactions, and market depth 

information from the electronic central limit order book. DMO and OCE staff sought to review 

all relevant, reported derivative transactions involving the May Contract during the spot period, 

April 17 to 21. Staff of those divisions analyzed approximately 500,000 futures transactions (see 

Table 1). Staff also reviewed the use of commodity swaps hedged with WTI Contracts.59 

Table 1: April 20 All Traded Sides of May 2020 NYMEX WTI Contract. Source: CFTC 

Trade Category Description Buy Volume Sell Volume % of Total 

Outright Regular 

Outright Implied 

Regular Spread Trade 

Spread Implied Trade 

Outright TAS 

Spread TAS 

Exchange for Physical 

Both the Buyer and Seller are transacting an outright 

transaction (OR). 

Outright trade for one participant is part of a spread 

trade by the other (OI). 

Both buyer and seller are executing a spread trade 

(SR). 

These trades face another leg that is either an outright 

or another spread (SI). 

A type of outright trade that is assigned a price after 

the settlement price is determined (OT). 

Spread trade that is assigned a value after the 

settlement window (ST). 

Futures positions exchanged for a physical position 

(EP). 

45,292 

13,401 

49,056 

46,303 

51,867 

25,209 

11,300 

45,292 

46,093 

49,056 

13,611 

51,867 

25,209 

11,300 

18.3% 

12.0% 

19.8% 

12.1% 

20.9% 

10.2% 

4.6% 

Block Trades Privately-negotiated trades ex-pit (PB). 4,143 4,143 1.7% 

Undetermined Undetermined, usually a block trade (UM). 1,376 1,376 0.6% 

Overall Total Sides 247,947 247,947 100% 

A. Open Interest in the May Contract 

During the weeks prior to the May Contract’s expiration through its penultimate trading day of 

April 20, OI was higher than in previous periods. As Figure 6 shows, the previous 12-month 

average OI in expiring WTI Contracts peaked around 430,000 contracts. In contrast, OI for the 

May Contract peaked at 634,727 contracts on April 2. 

59 DMO and OCE staff reviewed: reportable futures positions by significant market participants; large trader 

reporting obtained through Form 40 filings required under CFTC Regulation 18.04; Part 20 information for large 

traders for physical commodity swaps; Parts 45 and 46 swap data recordkeeping and reporting submissions made by 

various market participants in swaps and options; and trade information provided by DCMs under Part 16. 

15 
 

 

 

 

 

 

 

 

 

 

 

Ill 

!!!!!!!1111111 

.,111111111111111,!II 

~ 111111111 I I I I I I I I I I I I I I I I I I I I I I 1 ! 

11111111111111111111111111111111111111111; 

lllllllllllllllllllll 111111111111111111111111111 

-

Figure 6 also shows that OI continued to increase until about 10 days prior to expiry of the May 

Contract. OI generally begins to decline around four weeks prior to expiry, when participants 

traditionally shift their focus away from the front month (here, May) to the next listed futures 

expiration month (here, June). Participants do so as the expiring contract market shifts to 

physical settlement and non-commercial participants shift to the more actively traded contract.

60 

The need to roll contracts periodically is a common feature of all futures trading due to the 

expiration cycle. 

Figure 7 shows the transition from May to June, with OI reduction observed in the expiring 

contract. Market participants, including those trading for commodity index funds or ETFs rolled 

their positions from the May to June Contract during the month of April. By the open of April 

20, almost all of the OI in the May Contract was closed out or rolled to future expirations. 

 700 

700 

50 40 30 20 10 0 

Thousands

Open Interest (Thousands) 600

 500

 400

600 

500 

400 

 300 300 

 200 200 

 100 100 

- 0 

1-Apr 5-Apr 9-Apr 13-Apr 17-Apr 21-Apr 

Days to Expiry 

May-20 June Contract May Contract 12 Month Average 

Note: OI transition from the near Note: OI is the number of WTI Contracts out- month May Contract to the June Contract. standing (1 contrract = 1,000 barrels of crude) 

Figure 7: May vs. June Contract OI Transition. 

Source: CFTC Figure 6: May Contract OI vs. 12-Month Average. 

Source: CFTC 

60 By contrast to futures contracts that settle in cash, this physical settlement feature is unique and important to the 

futures markets, as it provides the basis for commercial participants to hedge their exposures directly to a physicallydelivered commodity.

16 
 

 

 

 

Money Other Reportable 

200,000 

r~ Ill · 100,000 

· 200,000 

Producer/Merchant Swap Dealer 

200,000 

100,000 

1.~ 11111,11 

-200,000 

- - 03/01/2020 03/15/2020 03/29/2020 04/12/2020 03/01/2020 03/15/2020 03/29/2020 04/12/2020 

Repon Date 

• Long • shon 

Figure 8: Market Participation of May Contract, March to April 2020 by DCOT Trader Classification. Source: CFTC 

Figure 8 shows the reportable positions held by traders in the May Contract from March to until 

expiration on April 21.61 Each panel displays the positions of an aggregated trader type, as 

reported in the Disaggregated Commitments of Traders report (“DCOT”). Traders from all four 

categories increased positions in aggregate in the contract through the beginning of April before 

reducing their positions in the second week of April consistent with Figure 8 above. While 

overall non-commercial participants’ share of OI as a percentage of the overall OI decreased 

throughout April, ‘Other Reportable’ increased their share of reportable OI from 23.3% to 

27.9%. As the May Contract expiration neared, most traders had closed their positions or rolled 

positions into contracts expiring at a later date, exiting their May Contract positions. OI at the 

end of the month was a small fraction of peak OI in the beginning of April. 

Table 2: Reportable Trader Positions in May Contract. Source: CFTC 

Reportable Positions 

Trader Count Commercial Non-Commercial 

Date Commercial Non-Commercial Long Short Long Short 

61 See https://www.cftc.gov/MarketReports/CommitmentsofTraders/index.htm. 

17 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

April 1 (Open) 122 217 211,217 298,944 356,553 304,975 

April 20 (Open) 95 78 49,430 68,482 42,601 36,782 

April 20 (Close) 59 16 9,715 12,845 2,473 90 

Table 2 depicts the number of reportable62 commercial and non-commercial traders in the May 

Contract at various points in April, along with their long and short positions. From April 1 to the 

opening of the April 20 trading session, commercial traders reduced their short positions in the 

May Contract by 77.1%, while the long positions of non-commercial traders fell by 88.1%. 

Similarly, 64.1% of non-commercial traders had left the May Contract by the session opening of 

April 20, the penultimate day of trading. 

Table 3: Beginning OI, Trading Volume and Reportable Initial Trader Counts on April 20, 2020. Source: CFTC 

Beginning OI Initial Trader Counts Trading Volume 

Contrac 

t 

May 108,593 

Distinct Trader 

IDs 

Percent of 

Total Contracts Percent Contracts Percent 

4.5% 173 38.6% 247,947 10.4% 

1,319,92 

6 June 538,038 22.5% 352 78.6% 55.2% 

1,744,30 

4 Other 73.0% 367 81.9% 823,247 34.4% 

2,390,93 

5

100.0 

% 

2,391,12 

0

100.0 

% Total 448 100.0% 

Table 3 shows the breakdown of OI at the opening of the April 20 trading session, across 

different expirations for the WTI Contract. At the start of session trading, most traders had 

already rolled their positions into the following contracts, and only 4.5% of WTI Contract OI 

was still held in the May Contract versus all other expirations. Similarly, most of the trading 

volume on this date occurred in the June Contract. On April 20, out of the 448 distinct traders 

with reportable positions, 173 held positions in the May Contract. This is roughly half the 

number of traders who held reportable positions in WTI Contracts for June or later months. 

In summary, over the first three weeks of April, and before the May Contract’s penultimate 

trading day, 76.9% of commercial positions, and 88.0% of reportable non-commercial positions 

were closed out. Consistent with orderly rolls in previous periods, at the start of the April 20 

trading session, the vast majority of reportable positions were in later contract months. Similarly, 

89.6% of volume on April 20, was in June or later contracts. 

62 Reportable and non-reportable positions refer to data collected under the CFTC’s Large Trader Reporting 

Program. At the time of this Report, any trader with a position of 350 contracts or larger in any single futures or 

option expiration month must report all their positions to the CFTC. Such traders are referred to as “reportable” 

traders, and traders below the 350-contract threshold are “non-reportable.” See https://www.cftc.gov/ 

IndustryOversight/MarketSurveillance/LargeTraderReportingProgram/ltrp.html. 

18 
 

 

 

 

 

 

 

 

 

 

1.5% 

5 

0 

e 

2 10% 

"' 

5% 

0% lllllll d ni~ 

02/29/2020 03/14/2020 03/28/2020 

Repo Dae 

• long Non-Reportobles • shortNon-Reporrables 

04/11/2020 

Table 4: Reportable and Non-Reportable Trader Positions on April 20, 2020. Source: CFTC 

Beginning OI Reportable Non-Reportable CFTC Coverage 

Contract Contracts Long Short Long Short Long Short 

May 108,593 92,031 105,264 16,562 3,329 84.7% 96.9% 

June 538,038 506,125 504,095 31,913 33,943 94.1% 93.7% 

Other 1,744,304 1,683,633 1,701,498 60,671 42,806 96.5% 97.5% 

Total 2,390,935 2,281,789 2,310,857 109,146 80,078 95.4% 96.7% 

In addition to the reportable positions described above, the May Contract also had non-reportable 

traders holding positions. Table 4 shows the breakdown of OI at the start of the April 20 trading 

session, between reportable and non-reportable positions. Across all of the WTI Contract month 

expirations, 95.4% of long interest and 96.7% of short positions were held by traders whose 

positions were reported to the CFTC. At the beginning of the April 20 trading session, for the 

May Contract, 84.7% of the longs and 96.9% of the short positions were held by traders 

registered with the CFTC. CFTC coverage is the percent of total positions reported to the CFTC 

by large traders. Between the May 2019 and April 2020 contracts, average CFTC coverage was 

89.7% for the long positions, and 91.4% for the short positions on the penultimate day of the 

maturing WTI Contract. 

In addition to the reportable positions described above, non-reportable traders held positions the 

May Contract approaching April 20. Figure 9 and Figure 10 depict the non-reportable positions 

in the May Contract over the course of March to April 20. While the magnitude of open nonreportable positions decreased in the second and third weeks of April, the proportion of total 

May Contract OI in non-reportable positions increased from 4.8% at the beginning of March to a 

peak of 21.2% of OI in the third week of April. 

Figure 9: Long and Short Non-Reportable Positions as a Percentage of Positions in the May Contract. Source: CFTC 

19 
B. Starting Open Interest on April 20 

 

 

 

ZI 

V 

I! 

c 

0 

u 

0 

t 

.ll 

E 

:, 

z 

70,000 

60,000 

50,000 

40,000 

30,000 

20,000 

10,000 

0 Ul~JIII~ I 

0~9/2020 03/1 4/2020 03/28/2020 

Report Date 

04/11/2020 

L~ • Long Non-Reportables • short Non-Reportables 

120.000 

100.000 

! S0.000 

8 

·;, ro.ooo 

1 

i 40,UUO 

0 

0S/2019 071?019 09/2019 11/2019 01/2020 0)

I 

/2020 0S/2020 

Contract Mont, 

0 

-20.000 -

-00.000 

·l;'IO.():Xl 

111 1111111 

'.l5/2019 01;2019 '.l'J/2019 11/2019 01/2020 '.l?/2020 0S/2020 

Contract Month 

Figure 10: Long and Short Non-Reportable Positions in the May Contract. Source: CFTC 

This section of the Report reviews the significant reduction, or compression, of OI during the 

April 20 trading session. Relative to recent prior contract months, the amount of OI was 

significantly higher at the start of the April 20 trading session. 

Figure 11: Penultimate Day Starting OI by Contract. 

Source: CFTC 

Figure 12: Penultimate Day OI Reduction by Contract. 

Source: CFTC 

As Figure 11 shows, the May Contract’s OI at the start of the April 20 trading session was 

108,593 contracts, approximately 69.4% higher than the trailing 12-month average penultimate 

day OI of 64,101 contracts. Figure 12 shows the OI reduction on April 20, of approximately 95 

thousand contracts, was more than double the average penultimate day reduction of 41,096 

contracts observed during the prior 12-month period. NYMEX rules require any contract that 

remains open after the last day of trading be either settled by delivery or liquidated by an 

20 
 

 

 

 

 

5 60% 

0 

~ 

..c 

VI 

40% 

20% 

0% Short Futures Long Futures 

• swap Dealer 

Prod u c;er/M er cha n 

Other Reportable 

• Non-Reportable 

• Managed Money 

Exchange for Physical Related Product, or “EFRP.”63 As such, Figure 13 shows almost all long 

non-commercial participants, or 54.2% of OI, needed to either exit or roll their contracts prior to 

the expiry. Of these positions, 15.3% were held by non-reportable traders and 23.6% belonged to 

the “Other Reportable” category. 

Figure 13: Starting OI on April 20, 2020 for May Contract, by DCOT Trader Type. Source: CFTC 

63 See NYMEX Rulebook 200102.F. Termination of Trading, available at https://www.cmegroup.com/content/ 

dam/cmegroup/rulebook/NYMEX/2/200.pdf at “200102.F.” See also https://www.cmegroup.com/education/ 

courses/market-regulation/efrp/what-is-an-efrp.html. An EFRP is a transaction that involves a privately negotiated, 

off-exchange execution of an exchange futures or options contract and, on the opposite side of the market, the 

simultaneous execution of an equivalent quantity of the cash product, by-product, related product, or OTC derivative 

instrument corresponding to the asset underlying the exchange contract. Futures and options on futures must be 

executed openly and competitively on the exchange. EFRPs are one of the permitted exceptions to this general 

requirement, as they are privately negotiated away from the exchange and subsequently submitted to CME Clearing 

for clearing purposes. 

21 
 

 

100,000 

50,000 

j 

0 0 

.8 

§ 

z 

0 

'E 

~ ~ 

.5; 

-50.000 

-100,000 

20% 

15% --1 

10% 

5% 

0% 

05/2019 

05/2019 

07/2019 

• Managed Money Long 

- Managed Money Short 

07/2019 

-

09/2019 

Other Reportable long 

Other Reportable Short 

11/2019 

Contract Month 

01/2020 Ol/2020 

• Producer/Merchant Long • swap Dealer long 

- Producer/Merchant Short - Swap OealerShort 

0, / 2019 11/2019 

: ontract Month 

01/ 2020 03/2020 

• Long Non-Reportatles • short Non-Reportables 

 

05/ 2020 

05/ 2020 

Figure 14: Penultimate Day Reportable Starting OI by Contract Month and DCOT Trader Type from May 2019 to May 

2020. Source: CFTC 

At the opening of the April 20 trading session, 27.9% of long reportable OI was held by traders 

in the “Other Reportable” DCOT category. Figure 14 shows the comparison of opening OI on 

the penultimate day trading session for contracts for reportable positions expiring May 2019 to 

May 2020. Compared to previous months, April 2020 observed an above-average portion of OI 

held by this category whose trailing 12-month average was 14.3%. 

Traders in the “Producer/Merchant” DCOT category held below average long positions in the 

May Contract. This group held 14.7% of reportable OI compared to the 52.5% trailing 12-month 

average. With respect to short positions, commercial trader positions are in line with their 12-

month averages while “Other Reportables” have below average positions. 

Figure 15: Long and Short Non-Reportable Positions on the Penultimate Trading Day by Contract Month, May 2019 to 

May 2020 Contracts. Source: CFTC 

On the penultimate day of trading, 15.3% of long WTI Contract OI belonged to the nonreportable group. Figure 15 plots the percentage of non-reportable positions at the beginning of 

the penultimate day of trading, for contracts maturing from May 2019 to May 2020. The trailing 

12-month average non-reportable percent is 10.3% for long positions and 8.6% for short 

positions. The percentage of non-reportable positions is above average, but similar in magnitude 

to the March 2020 contract. 

22 
 

 

 

 

 

C. Intraday Trading 

 

 

 

 

 

 

 

4,000 

ti 2.000 

~ 0 

u 

0 0 

] 

§ -2,000 z 

-4,000 

·6,000 

05/2019 07/2019 

- Managed Money long 

• Managed Money Short 

09/2019 

Other Reportable Long 

Other Reportable Short 

11/2019 

Contract Month 

01/2020 03/2020 

Producer/Merchant Long • swap Oealerlong 

- Producer/Merchant Short Swap Dealer Short 

05/2020 

Figure 16: Reportable OI by DCOT Trader Type at Expiration. Source: CFTC 

At expiration, positions left open are typically held by commercial producers and merchants, 

swap dealers, and a few other reportable traders. On April 21, the proportion of reportable OI 

held by different DCOT trader groups remained largely in line with the contracts that expired in 

the past 12 months.64 While the number of open contracts was 69.4% higher than the prior 12-

month average on the penultimate day, most of these open positions were closed during the April 

20 trading session, reflecting an above average level of compression. At the expiry of the May 

Contract on April 21, the number of contracts that remained open was 2,427, below the prior 12-

month average of 2,815, or less than 1% of the peak OI during that period. 

This section analyzes aggregated intraday trading activity using a comprehensive transaction 

dataset collected by the CFTC.65 The examination starts with a study of intraday prices, followed 

by volume, and finally, specific facts conditioning on customer account details. Unlike the endof-day position data, the transaction data can be linked to specific product descriptions within a 

single expiration. This allows for the option to break down activity within the May Contract into 

the outright, spread, and TAS components – all of which are considered as distinct instruments 

on the exchange. 

The study begins by looking into realized transaction prices within the day to help guide the 

analysis of volume and account participation. Figure 17 shows prices corresponding to all 

outright trades on April 17 and 20 and shows markets declined the day prior to April 20. 

Furthermore, the downward pressure in the market following the increased volatility and volume 

in late February and March pushed down the front month contracts, which resulted in a contango 

market with significant differences between individual expirations. The activity on April 20 

64 According to CFTC data, as displayed in Figure 16, market participants classified as commercial producers 

accounted for 100% of the long OI at the end of April 21 and approximately 57% of the short OI. The remaining 

43% of short OI was held by commercial participants classified as swap dealers intermediating commercial interests.

65 The CFTC collects daily files from trading exchanges for each transaction. While the information covers all 

trades, the majority are trades executed on an electronic venue. 

23 
ll 

lO 

✓ ......... .:- - - - , .... "oyo,.~ ............. ~_,,_ .. ~ a ·. : :: =~ -···;::.=:-::-:=~:::, .,.~-::-:-.. :-::.-=-=====~= 

!' . ··, , ...... .... ' . .... -. ,.._•"•'--•~ .,-·....._..~~ .. ..,c-r ...... ---..~ !--~ "'-.. . ·.....,~ ·m t _ .. _...;:;..... ;.. - -

1!. 

:lS 

·1'J 

., 

.. ---

1 

·:I~ 

' f 

I 

~ '~i ' _, 

~ B ~ U ~ ~ M U • ~ ~ ~ 

1:akT• (!Sll 

11111 Ml !1111 otm lllll 11:111 11&111 U IOIII ll:11) 11111 IHI 

!DloT"'l!.ll) 

10 

01 

• 5 

-10 

-15 _. 

-20 

-

. 

- ' -~-

,; 

...... _,,... 

... ... __ _ -

-

---· 

. -. ""'~ ___ ,.__.,,.-,..."""-- .... - . ~ 

: =f:•..:-:: .: •• - •• • c.-.1 . : 1, !'•:-=-

•,• .·- . . 

• ~i:=::=- ~ 

~ '\ . . 

~~-:-~-::-:-: . ___ 

~ : -·-· -. ::::-,:-;::_-._-¥ · 1: ' , -; ~-•--- -- ::~ . • • --· :. • !' etr,.=- e-, , • - • •• -- .,. _. - . ..., 

.,,. .. -~ -25 

I 

l 

\ a.. 

-30 

-35 

-40 ... 

-45 -1 

-50 

.55 

-60 

12:30 PM 12:45 PM 1:00 PM 1:15 PM 1:30 PM 1:45 PM 2:00PM 2:15PM 

. . 

~ \ 

' 

' \ r 

.-" A 

• 

2:30PM 

.. 

2:4 5PM 

shows how only the May Contract exhibited negative prices while the remaining expirations held 

relatively stable. 

Figure 17: Intraday Prices for all Contracts on April 17, 2020 (Left) and April 20, 2020 (Right). Source: CFTC 

The May Contract opened the April 20 trading session at $17.73 per barrel, fell $58.05 to reach 

an intraday low of -$40.32, before rebounding slightly to settle at -$37.63 per barrel. Prices in the 

May Contract fell below zero at 2:08 p.m. ET, close to the end of the trading day. Prices trended 

down for most of the April 20 trading session but the speed of price declines began to accelerate 

around noon ET. This also impacted the May-June spread, which widened from the previous 

trading day’s closing spread of -$6.76 to settle at -$58.06 per barrel. 

Figure 18 and Figure 19 focus on the afternoon of April 20 on the specific products with extreme 

price movements. This shows that TAS products (the May TAS, June TAS, and the May-June 

TAS Spread) all displayed extreme prices all hitting their exchange defined limit of 10 ticks and 

20 ticks from the settlement price, for outright and spread, respectively. 

Figure 18: Intraday Prices for May Contract (Blue), May-June Spread (Red), May-June TAS Spread (Green); April 20, 

2020 12:30 p.m. to 2:45 p.m. ET. Source: CFTC 

24 
 

 

 

.oo f..~ .. :;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;_;;;;;;;;.;;;.;;.:;.;:;;;;;;;;;;;;;;._~;;;;;;;;;;:-;_;;;:;_;;:: ..:: ..~ .. ::;._;;;~.~--~--::.:: ..~ .. ~ .. ~ .. ::.:: .. :: ..~ .. ~ .. ~ .. ::.:: ..~ .. ~ .. ~.:;.::.:;_;;:: _;;;;;~ _ .~--~--::.:: ..~ .. ~ .. ~ .. ::.:: ..~ .. ~ .. r.:: .. ::.:: ..~ .. ~ .. ~ .. ::.:: ..~ .. ~ .. ~ .. ::.:: ..1. 

-0,01 . . - ·-. -. -· -· ... -.... --·--·--- -·-- •• 

-0,02 • .. -·- --- ----·---- ·- . -· -0.03 

- . ·--- ·- .. -0,04 ·-- .... -.. "' V -0,05 ~ ·--·--- . -- -0.06 

-- • • 

-0,07 • • -- • . --· -0,08 --· ·- -0,09 • - • • --- -0,10 • --------- ---···- 12:30 PM 12:4 5 PM 1:00 PM 1:15 PM 1:30 PM 1:4 5 PM 2:00 PM 2:15 PM 2:30 PM 2:4 5 PM 

Figure 19: Intraday Prices for May TAS Contract (Blue), June TAS Contract (Red); April 20, 2020 12:30 p.m. to 2:45 

p.m. ET. Source: CFTC 

TAS contracts trade at a differential to the settlement price and are quoted as a premium/discount 

from the settlement price (e.g., settlement price +0.02). Each contract has established limits for 

TAS pricing and in the case of the WTI Contract, the TAS limits are +/- 0.10 for outright TAS 

and +/- 0.20 for spread TAS. Figure 18 and Figure 19 show outright and spread TAS began 

trading at their minimum limits before prices in the May Contract went negative at 2:08 p.m. ET 

(2:30 p.m. ET is marked on the charts by the vertical red line). 

TAS contracts do not trade at their price limits very often, and the number of TAS contracts 

traded at the maximum price differentials during the April 20 session in all contract months were 

well above average. During the April 20 trading session, the number of outright TAS contracts 

traded at the maximum price limit was more than 70 times higher than all of 2019. Spread TAS 

did not trade at its price limits at all in 2019 or any other day from January through May 2020, 

aside from April 20 (see Table 5). 

Table 5: Summary of NYMEX WTI TAS Trades Executed at Maximum Price Differentials, January 2019 to May 2020. 

Source: CFTC 

Time Period TAS Type Trade Count Volume 

All 2019 Limit Outright TAS 49 164 

All 2019 Other TAS 234,432 8,106,679 

2020, Jan 31- Apr 17 Limit Outright TAS 264 941 

2020, Jan 31- Apr 17 Other TAS 104,552 4,255,584 

April 20th Limit Outright TAS 1,101 11,568 

April 20th Limit Spread TAS 41 241 

April 20th Other TAS 9,978 255,491 

2020, Apr 21 - May 31 Limit Outright TAS 412 851 

2020, Apr 21 - May 31 Other TAS 58,519 2,252,190 

Moving to observed volume, Panel A of Table 6 presents a summary of volume and trades for 

the six futures products of interest based on the study of observed transaction prices. Comparing 

volume on April 20, the May TAS Contract has half the volume of the June TAS Contract. The 

25 
 

 

 

 

 

 

 

 

 

 

 

 

 

table shows TAS trades tend to have larger trade sizes – a fact that will be explored later in this 

section. 

Table 6: Overview of Transaction Data by Product on April 20, 202066. Source: CFTC 

Panel A: Market Activity Information: 

Volume 

Volume Volume After 

Full Avg Before After 2:00 p.m. 

Day Trade Trade 2:00 2:00 % of 

Product Type Month Volume Count Size p.m. ET p.m. ET Total 

CLK0 Outright May 58,693 40,098 1.5 50,672 8,021 13.7% 

CLTKO Outright 

TAS May 51,867 1,949 26.6 48,871 2,996 5.8% 

CLM0 Outright June 914,148 724,999 1.3 692,440 221,708 24.3% 

CLTM0 Outright 

TAS June 104,270 2,645 39.4 83,911 20,359 19.5% 

CLK0-CLM0 Spread May-June 142,667 71,310 2.0 125,247 17,420 12.2% 

CLTK0-CLTM0 Spread TAS May-June 41,836 3,616 11.6 36,188 5,648 13.5% 

Panel B: Trader/Account Information: 

Active Active 

Avg Only Only 

# of Avg Trade Before after Active 

Active Qty per Size per 2:00 2:00 During 

Product Type Month Accts Acct Acct p.m. ET p.m. ET Full Day 

CLK0 Outright May 1,911 78.5 1.5 1,021 400 490 

CLTKO Outright 

TAS May 269 385.6 34.2 172 36 61 

CLM0 Outright June 5,888 305.5 1.2 1,934 1,493 2,461 

CLTM0 Outright 

TAS June 241 865.3 46.0 105 69 67 

CLK0-CLM0 Spread May-June 490 582.3 2.2 245 66 179 

CLTK0-CLTM0 Spread TAS May-June 99 845.2 34.0 42 9 48 

The majority of the volume traded in the May and June Contracts, including outrights, spreads, 

and TAS was traded prior to 2:00 p.m. ET, meaning most of the volume was traded when prices 

were positive. The composition of trading accounts and volume in the May Contract on April 20 

differed from the June Contract and May-June spread (see Table 6). The May Contract saw 

similar outright and outright TAS volume totals for the full day session, which is not the case for 

the June Contract or the May-June spread and spread TAS – those products show much higher 

volumes in non-TAS trading. In terms of magnitude, the June Contract traded over 15 times 

more volume than the May Contract. 

The composition of active accounts in each contract on April 20 reflects the roll period having 

already largely occurred – over 5,000 accounts actively traded in the June Contract while about 

66 CME product codes are used to differentiate products in this table (e.g., “CLK0”). The product types and contract 

months associated with each code are defined in this table not repeated in subsequent tables. Spread numbers 

include the volume for each leg and also include each leg as a trade. For example, a 200-lot CLTK0-CLTM0 trade 

would appear in the table as 400 contracts for volume (200 for each leg) and 2 trades (one trade for each leg). 

26 
,800 

1,500 

1,200 

900 

600 

300 

0 

1,800 

1,500 

1,200 

900 

600 

300 

0 

1,800 

1,500 

1,200 

900 

600 

300 

0 

1,800 

1,500 

1,200 

900 

600 

300 

W.....-- •. l _.J.JL ........... J .... ....J...L.c.J,.L,LW .. .i~..o.L. ~ A,,J.,,,J,iUi., j ,]d,.li!] ,Jj;1.,l~JL.Jlll:i.11,.,,L_ .. -"-'-~-

.1 I I ,I l L 

o_j_~-~-~~-~-~-L--+-.,.......l~.L~-..L~.LJ,_.J..l~-l--.1.....l..j_,_~ U J.,JmlUJLl~III.-~-~~ 6:00 PM 8:00 PM 10:00 PM 12:00AM 2:00AM 4:00AM 6:00AM 8:00 AM 10:00 AM 12:00 PM 2:00 PM 4:00PM 

p 

~ 

n 

;i 

0 

1 

 

1,900 traded in the May Contract (see Table 6). The May Contract had a higher proportion of 

accounts active only before 2:00 p.m. ET compared with the June Contract, which had more 

accounts active during both the pre- and post-2:00 p.m. ET periods. The number of accounts 

actively trading TAS was also much smaller than the number of accounts trading outrights. 

Figure 20 and Figure 21 show intraday volume aggregated at one-minute intervals for the six 

futures contracts of interest. These figures demonstrate several things. For example, the figures 

demonstrate the importance of the settlement period for the active June Contract, relative 

differences between the TAS contracts, volume in the June TAS Contract being concentrated 

closer to the settlement window, and very little activity over the day in the May Contract. 

Figure 20: Volume of Futures Linked to the May Contract on April 20, 2020. Source: CFTC 

27 
D. Liquidity & Order Book Analysis 

 

 

 

 

 

 

 

6,000 

14,000 

l'J 12,000 

E 

g 10,000 u 

0 8,000 

D " § 6,000 z 

4,000 

2,000 

0 

6:00 PM 8:00 PM 10:00 PM 12:00AM 

6,000 

5,000 

tl 

~ 4,000 0 

u 

0 3,000 

D " § 

z 2,000 

1,000 

0 

6:00 PM 8:00 PM 10:00 PM 12:00 AM 2:00AM 4:00AM 6:00AM 8:00AM 10:00AM 12:00 PM 2:00 PM 4:00 PM 

1 

Figure 21: Volume of Futures Linked to the June Contract on April 20, 2020. Source: CFTC 

Panel B of Table 6 provides a summary of account level activity by product. Most accounts are 

in the June Contract relative to the May Contract. Accounts in TAS tended to have larger 

quantity and larger average trade sizes. 

This section considers market depth information from the central limit order book.67 DMO and 

OCE staff utilized the information made available by the CME to market participants to test 

trading models and feed into near real-time trading algorithms. This data is useful in exploring 

market liquidity because the electronic limit order book represents all available liquidity (visible 

resting limit orders) and provides multiple price levels on both sides of the market. 

For this analysis, daily market depth files, for dates April 13-20, 2020, are collected from Vertex 

Analytics for the May Contract, the June Contract, the July Contract, the May-June Spread, the 

June-July Spread, the May TAS Contract, the June TAS Contract, the May-June TAS Spread, 

and the June-July TAS Spread.

68 The raw data from Vertex is a collection of updates to the limit 

67 A limit order book is a collection of open limit orders sequenced by market side (buy vs. sell), entry time, and 

price level. For example, focusing on the best quotes, each will have a depth reflecting the number of contracts 

available at the price to buy or sell. The “market” is commonly defined by the best bid and ask price level and often 

the difference between these, in the most actively traded markets, is equal to the minimum tick size. Market 

participants use this information to assist with trading decisions as well as back-test trading strategies and trading 

algorithms. See https://www.cmegroup.com/market-data/datamine-historical-data/. This information is commonly 

used to study market liquidity. A limit order book with lots of depth at both best quotes is considered liquid as a 

market participant can buy or sell with no price impact. During times of elevated volatility, depth often decreases 

and the bid-ask spread is expected to widen, reflecting reduced liquidity.

68 Vertex is a technology company focused on providing easy access and interactive visualizations of every message 

from the CME. The subscription allows for direct download of daily files across all the products traded on the CME. 

Once downloaded, raw message data is processed to rebuild the top ten levels of the limit order book. See 

https://vertex-analytics.com/. 

28 
 

 

 

 

 

 

 

 

order book and are then used to construct the full 10-deep book of resting depth at all 20 price 

levels.69 Once the book is constructed, it is possible to select any point during the day and 

observe the current price levels and how many contracts are available for trade. 

Table 7 provides total counts on the number of updates to the limit order book conditional on 

trade date and product. Each time a new limit order arrives, or an existing limit order is canceled 

or modified, an update message is created and made available for market participants to pick up 

and process. Therefore, the number of updates can serve as a proxy for activity in the limit order 

book. To provide additional details, counts are provided for the full day (Panel A), an hourly 

average (Panel B), an interval prior to the settlement window (Panel C), and during the 2-minute 

settlement period (Panel D). 

Focusing on outrights, there was a general decreasing trend in activity in the May Contract, 

while there was an increasing trend in activity in the June Contract between April 13 and April 

20. This is a common pattern in the market during roll periods as the nearby contract approaches 

expiration and traders migrate to the next contract with the most trading activity. The update 

counts, during our short sample of dates, show the TAS order book was updated less frequently 

than outright and spread markets, which is in line with observed transactions and the number of 

market participants (see Table 6). 

Table 7: Activity in the Limit Order Book by Date and Product. Source: CFTC 

Number of Book Updates 

CLTM 

0 

CLK0-

CLM0 

CLTK0-

Trade Date CLK0 CLTK0 CLM0 CLTM0 

Panel A: Full Day 

4/13/2020 

4/14/2020 

2,471,378 

2,356,864 

27,070 

24,649 

2,081,08 

4 

1,823,57 

0 

24,233 

25,566 

748,602 

862,084 

9,924 

9,165 

69 There are approximately 41 million observations in the sample. 

29 
 

Panel C: 2:00 p.m. - 2:28 p.m. ET 

 

2,266,73 

4/15/2020 2,009,674 24,143 7 20,145 849,938 10,241 

2,208,73 

4/16/2020 1,491,536 19,608 8 17,983 858,685 7,506 

3,198,93 

4/17/2020 970,846 16,083 7 26,954 890,589 5,971 

4,746,61 

4/20/2020 409,676 4,281 1 11,123 536,066 3,166 

Panel B: Average/Hour (9:00 a.m. to 2:00 p.m. 

ET) 

173,028. 

4/13/2020 197,614.0 154.8 4 98.2 54,407.2 46.6 

182,269. 

4/14/2020 212,473.2 119.8 4 79.0 84,011.8 67.2 

219,473. 

4/15/2020 178,575.8 625.6 4 64.8 71,390.0 16.4 

203,114. 

4/16/2020 141,525.0 53.8 0 137.0 64,216.2 19.4 

270,470. 

4/17/2020 88,869.2 42.0 2 122.8 63,594.4 19.6 

397,187. 

4/20/2020 39,207.0 495.0 0 547.0 40,648.4 377.8 

4/13/2020 113,657 448 103,783 297 59,462 153 

4/14/2020 164,756 930 141,796 317 80,075 323 

4/15/2020 107,712 396 149,885 302 66,078 178 

4/16/2020 77,959 181 127,724 432 38,719 85 

4/17/2020 33,996 146 202,658 449 54,627 127 

4/20/2020 17,344 499 328,506 2,033 11,942 1,058 

Panel D: 2:28 p.m. - 2:30 p.m. ET 

4/13/2020 47,554 25,485 33,242 23,231 17,645 9,345 

4/14/2020 55,394 22,633 38,835 24,490 18,612 8,209 

4/15/2020 26,599 17,379 27,131 19,293 18,432 9,933 

4/16/2020 28,410 18,928 29,741 16,553 10,157 7,251 

4/17/2020 22,077 15,454 48,525 25,558 10,193 5,688 

4/20/2020 1,157 17 81,186 5,632 294 6 

Table 8 shows resting depth at the best bid and ask quotes across our sample of dates and 

contracts. Comparing the May and June Contracts, this shows the natural change in depth during 

the roll period as the market transitions to the new actively traded contract. The May Contract 

shows a 50 percent decline between April 13 and April 20. There is a larger decrease observed in 

the May-June Spread. TAS markets display a significant quantity of contracts at the best quotes 

with often large imbalances – a pattern not observed in outright and spread markets in this 

sample period. The largest imbalance observed in the June Contact occurs on April 20. The 

differences between outrights and TAS may relate to the larger TAS trade sizes observed in 

Table 6. 

Table 8: Resting Depth in the Limit Order Book by Date and Product (1-minute Average). Source: CFTC 

CLK0 CLTK0 CLM0 CLTM0 CLK0-CLM0 CLTK0-CLTM0 

30 
17/2020 04/20/2020 

25 

20 

15 p 

0 "" 

10 

u 

:" 

c 

0 

u 

a 0 

., 25 -"' § 

z 20 

15 r, 

~ 0 

10 

0 

8:00:00AM 10:00:00AM 12:00:00 PM 2:00:00 PM 8:00:00AM 10:00:00AM 12:00:00 PM 2:00:00 PM 

Best 

Bid 

Best 

Ask 

Best 

Bid 

Best 

Ask 

Best 

Bid 

Best 

Ask 

Best 

Bid 

Best 

Ask 

Best 

Bid 

Best 

Ask 

Best 

Bid 

Best 

Date Ask 

4/13/20 8 8 10,950 8,623 5 5 6,363 5,986 16 15 2,062 3,824 

4/14/20 12 11 11,691 22,724 8 6 7,680 7,796 17 18 6,750 6,619 

4/15/20 10 11 5,255 5,127 8 7 3,598 4,243 16 26 924 4,483 

4/16/20 7 8 5,659 3,316 9 9 8,950 11,904 12 15 1,766 4,578 

4/17/20 4 6 5,867 3,692 11 10 10,280 8,138 14 10 1,341 4,607 

4/20/20 4 5 1,169 10,402 12 11 5,063 21,305 4 3 949 2,976 

Figure 22 and Figure 23 shows intraday depth at the best quotes for outrights and TAS, 

respectively. For comparison, information from April 17 is displayed (left side). For most of that 

day, the May Contract depth at the best quotes was close to five contracts, but there were 

intervals within the day with large imbalances, specifically on the sell side. 

Figure 23 shows the imbalance between the bid and ask depth in the TAS contracts on April 20, 

which was due to the depth at the best ask being relatively larger than the depth at the best bid. 

As TAS markets pushed toward the -10-tick limit, this imbalance decreased. 

Figure 22: Limit Order Book Depth at Best Quotes (Bid=Blue; Ask=Red) on April 17 and 20 – Outrights. Source: CFTC 

31 
 

 

 

 

 

 

/ 17/ 2020 04/ 20/ 2020 

30,000 

25,000 

20,000 n j C. 

15 "" ,000 0 

tJ 10,000 

I!! 5,000 c 

0 

u 

0 0 -" 

., 

_,, 30,000 § 

z 25,000 

20,000 - n 

j 

~ C. 

s: 15,000 0 

10,000 

=--

/ 5,000 -

0 

8:00:00AM 10:00:00AM 12:00:00 PM 2:00:00 PM 8:00:00AM 10:00:00AM 12:00:00 PM 2:00:00 PM 

Figure 23: Limit Order Book Depth at Best Quotes (Bid=Blue; Ask=Red) on April 17 and 20 – TAS. Source: CFTC 

Besides resting depth, the reconstructed limit order books may allow for study of the bid-ask 

spread, a common measure of market liquidity.70 Figure 24 shows intraday bid-ask spreads for 

the May and June Contracts by trade date. From the upper panel, we see the changes occurring 

during the week prior to April 20. As observed above, as activity moved from the May Contract 

to the June Contract, the bid-ask spreads increased in the May Contract and decreased in the June 

Contract. On April 17, the bid-ask spread in the May Contact was significantly higher than the 

bid-ask spreads observed in previous days. 

The lower panel of Figure 24 shows the intraday bid-ask spread in the May Contract on April 20 

and shows an increase in the bid-ask spread (the June Contract’s bid-ask spread was similar to its 

pattern observed on April 17). The increase in the bid-ask spread started at noon and remained 

elevated for the rest of the afternoon. 

70 The bid-ask spread is computed by taking the difference between the best ask and the best bid quoted prices and 

then dividing by the minimum tick size, which results in a bid-ask spread measured in number of ticks. A 

reconstructed limit order book allows one to compute the bid-ask spread at all instances of a change in either best 

quote. Using the bid-ask spread at each book update and the duration between updates, a time-weighted measure is 

computed to more accurately capture the bid-ask spread in a market. 

32 
.4 

1.3 

1.2 

1.1 -= -E 

;:: 

0 1.0 1i 

§ 1.4 z 

1.3 

1.2 

1.1 

1.0 

8:00:00 AM 

25 

20 

-E 

;:: 

0 15 

1i 

§ 

z 10 

8:00:00 AM 

=-= ::::::::-=-

------========------==========-=-==-=--==-- 9:00:00AM 10:00:00 AM 11:00:00 AM 12:00:00 PM 1:00:00 PM 2:00:00 PM 

9:00:00 AM 10:00:00 AM 11:00:00 AM 12:00:00 PM 1:00:00 PM 2:00:00 PM 

Trade Date 

- 04/13/2020 

- 04/14/2020 

- 04/15/2020 

- 04/16/2020 

r, - 04/17 /2020 

~ 

Trade Date 

- 04/20/2020 

1 

Figure 24: Intraday Bid-Ask Spreads by Date and Product. Source: CFTC 

Next, we turn to examining resting depth away from the best quotes. The quantity of resting 

liquidity at levels deeper in the book provides additional information related to the amount of 

buying and selling interest away from the best bid and ask prices. Furthermore, knowledge of 

depth at deeper levels typically provides traders with information on price slippage if their 

demand exceeds depth at the best quotes. Figure 25 contrasts depth across the top five book 

levels on April 13 and April 20 in the May and June Contract. We can see the shift in depth over 

the week – the May Contract depth has significantly decreased across all book levels and became 

inverted as the largest depth was at the best quotes. 

33 
20 

15 

10 

u 5 

):, "' 

C 

0 

u 

0 0 

:;; 

-" 25 E 

:, 

z 

20 

15 

10 

5 

0 aq5 aq4 aq3 aq2 aq 1 bq1 bq2 

Book Level 

bq3 bq4 bq5 

p 

"' 0 

n 

~ 0 

25 

 

 

 

Figure 25: Average Depth by Book Side and Level on April 13, 2020 (Blue) and April 20, 2020 (Red) – Outrights71. 

Source: CFTC 

71 Figure reflects the average quantities resting on the top five book levels, which should be distinguished from the 

average quantities resting on the top five price levels. 

34 
,000 -

15,000 

10,000 

tl 5,000 -

£: ..II _II C: 

0 

u 

0 

:;; 0 - - - .!l 

E 20,000 :, 

z 

15,000 -

10,000 

5,000 

0 aq5 aq4 aq3 aq2 aq l bq l bq5 

Book level 

20 

E. Market Integrity Controls 

 

 

 

 

Figure 26 extends the prior discussion and focuses attention on depth of the book in the two TAS 

markets for the May and June Contracts. Unlike the outright contracts, TAS order books appear 

to have most available liquidity at the first two levels of the limit order book. 

Figure 26: Average Depth by Book Side and Level on April 13, 2020 (Blue) and April 20, 2020 (Red) – TAS. Source: 

CFTC 

The CME’s electronic trading platform provides several types of market integrity controls 

designed to ensure fair and efficient trading for all participants. The market integrity control 

mechanisms are designed to strike a balance between maintaining orderly markets and ensuring 

price formation and price discovery are not hindered by limits or controls that stop markets from 

functioning. These exchange-based trading controls are applied to all markets that trade on the 

Globex.72 These controls are an important safeguard for modern electronic trading. 

An example of a control is the DCB, which sets a range in which prices can move and are reset 

continuously on a rolling 60-minute lookback window. If markets move +/- 15% in that time, a 

two-minute halt is initiated. Another is velocity logic (“VL”), a control designed to limit 

significant price movements in an extremely small time increment.

73 

72 See CME Market Integrity Controls, available at: https://www.cmegroup.com/confluence/display/EPICSAND 

BOX/Market+Integrity+Controls.

73 VL monitors potential significant price movements in extremely small time increments on Globex. VL works in 

conjunction with price banding to preserve the integrity of markets. Whereas price banding monitors futures price 

movements that would go too far, VL monitors futures price movements that would go too far, too fast. VL is 

calculated using the highest and lowest prices within a predetermined lookback window. 

35 
 

 

 

 

 

u 

0... 

-20 

-4 0 .,_------------------------~------

11 :00 12:00 13 00 14:00 15 00 16 00 

Time (ET) 

Several of the market integrity controls triggered in and around the May Contract trading on 

April 20. As Figure 27 indicates, market integrity controls began to trigger shortly before 1:00 

p.m. ET as the price of the May Contract approached zero and continued to trigger while prices 

traded below zero. 

In total, on April 20, over 30 DCBs were triggered in the May Contract and more than 10 DCBs 

were triggered in the May-June Spread contract. Over 15 other DCBs were triggered in various 

spread contracts and multiple VL events also affected various other related crude oil contracts. 

In the WTI Contract, DCBs will halt the overall WTI Contracts market if there is a trigger event 

in the active contract. On April 20, the active contract was the June Contract. To the extent a 

non-active period or underlying spreads are triggered, the market only halts for that particular 

contract. VL also has a similar method in the WTI Contract where the specific contract is placed 

in a reserve status when a non-active VL is triggered.

74 

Figure 27: Sample of May Contract Market Control Events on April 20, 2020. Source: CFTC 

VI. Conclusion 

This Report describes interim observations concerning certain fundamental factors as well as 

certain trading activity related to the WTI Contract leading up to, on, and around April 20, 2020. 

74 VL introduces a momentary suspension in matching by transitioning the futures instrument(s). When a lead month 

futures instrument triggers an event, unless the lead month futures instrument belongs to an equities, metals, or FX 

instrument group when the entire group transitions into the Pre-Open state, the WTI Contract VL will transition that 

underlying contract into the Reserved/Pause state. 

36 
 

 

 

 

 

 

 

 

 

An oversupply of global crude oil, along with unprecedented reduction in demand due to the 

COVID-19 pandemic, increased concerns about the availability of storage for excess production. 

These fundamental factors coincided with a number of technical factors related to trading and 

liquidity which saw the May Contract trade and settle at negative prices on April 20. 

Over the first three weeks of April, 2020 – and before the penultimate trading day – over 77% of 

commercial positions, and 88% of non-commercial positions, were closed out. At the start of the 

April 20 trading session, the vast majority of both positions were in later contract months. 

Roughly 90% of volume on April 20 was in June or later contracts. 

The majority of the volume traded in the May and June Contracts, including outrights, spreads, 

and TAS, was traded prior to 2:00 p.m. ET, meaning most of the volume was traded when prices 

were positive. Limit order book activity related to multiple contracts show a decrease in liquidity 

in the May Contract, and this decrease started well before April 20. 

Several of the market integrity controls triggered in and around the May Contract trading of 

April 20. In total, over 30 DCBs were triggered in the May Contract and more than 10 DCBs 

were triggered in the May-June Spread contract. The speed and magnitude of the price moves 

observed on April 20 in the May Contract, particularly between 1:00 p.m. ET and the end-of-day 

settlement at 2:30 p.m. ET, were exceptional. The market integrity controls triggered in the May 

Contract did not halt trading in the active June Contract or the WTI market as a whole. 

The observations concerning certain fundamental factors discussed and various CFTC and 

market data preliminarily analyzed in this Report provide the public with an understanding of the 

WTI Contract market and aggregated trading activity leading up to, on, and around April 20. 

37