负油价与镍挤仓：极端商品期货价格的反馈模型

中文摘要 AI 辅助

2020年4月20日，即将到期的5月WTI原油期货合约在到期前一天开盘价约为每桶17美元，在单日交易中大幅跌破零，盘中最低触及-40.32美元，最终结算价为-37.63美元。这种市场行为在当时是未曾预料的。这一事件以及2022年3月的镍挤仓事件表明，实物交割的约束如何产生平仓压力并扭曲期货价格。我们开发了一个反馈模型，将由此产生的价格扭曲与滚动期权以及交割受限的多头和空头头寸之间的失衡联系起来。在对数正态基准动态下，滚动期权的价值被证明满足一个非线性定价偏微分方程，因为其收益取决于观察到的期货价格，而该价格本身包含反馈修正。值得注意的是，在这两种情况下，都存在基于经典Black-Scholes-Margrabe交换期权公式的显式解，只需求解一个标量方程。我们证明这允许在正价格对数正态模型的扭曲下价格变为负值。当对数正态基准切换为Bachelier正态动态时，可应用类似的构造。基于WTI和镍的示例表明，在基准假设下重现极端事件价格所需的失衡程度。

英文摘要

On April 20, 2020, the May front-month WTI oil futures contract, one day before its expiration date, opened near $\$17/$barrel and dropped far below zero in a single trading day, reaching an intraday low of $-\$40.32$ and settling at $-\$37.63$. Such market behavior was unforeseen at the time. This event, and the March 2022 nickel squeeze, illustrate how constraints on physical delivery create pressure to close futures positions and distort futures prices. We develop a feedback model that connects the resulting price distortion to a roll option, and to the imbalance between delivery-constrained long and short positions. Under lognormal benchmark dynamics, the roll-option value is shown to satisfy a pricing PDE which is nonlinear because its payoff depends on the observed futures price, which itself includes the feedback correction. Remarkably, in both cases, there is an explicit solution in terms of classical Black-Scholes-Margrabe exchange option formulas, up to solving a scalar equation. We show this allows that prices may go negative under distortion of a positive-price lognormal model. An analogous construction applies when the lognormal base is switched to Bachelier normal dynamics. Illustrations based on WTI and nickel show the imbalance required to reproduce the extreme event prices under the benchmark assumptions.

发表机构

• Princeton University（普林斯顿大学）
• Andlinger Center for Energy & the Environment, Princeton University（安德林格能源与环境研究中心）

机构由 AI 辅助整理，请以论文原文为准。