Below is a series of studies
plotting the effect of the ECB
on the WTI auction.
plotting the effect of the ECB
on the WTI auction.
Here, we see the rolling 3 month
daily range averages for Q4 2012
for ECB days v 20 day & 60 day averages.
for ECB days v 20 day & 60 day averages.
 |
Alternatively, below we see the rolling 3 month daily range averages for Q4 2012 for FOMC days v 20 day & 60 day averages. |
Conclusion?...
Relative to normalized volatility,
the ECB days offered much better
potential than the FOMC days,
especially in the NY Pit Session.
This phenomenon occurred in Q2-Q4 of 2012.
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