Energy Commodity Futures and Investor Positions, 1995-2015

Weekly datasets from 1995 to 2015 for three energy commodities: crude oil (WTI), heating oil, and natural gas. The data includes futures prices for different maturities, open interest positions, and the S&P 500 composite index, sourced from Thomson Reuters Datastream and the CFTC. Author Mohammad Isleimeyyeh compiled this data to study the role of financial investors on commodity futures risk premium.

Use Cases

• Model commodity futures risk premium based on weekly futures price series.
• Analyze the relationship between investor open interest positions and price movements for energy commodities.
• Study correlations between the S&P 500 index and energy commodity futures markets.
• Backtest trading strategies for NYMEX-traded crude oil, heating oil, and natural gas.

Strengths

• Covers a 20-year weekly time series from 1995 to 2015.
• Includes data for three major energy commodities traded on NYMEX.
• Combines market prices (futures, S&P 500) with regulatory position data from the CFTC.

Limitations

• Column-level documentation is absent; field semantics must be inferred after download.
• Row count is unknown, which may limit suitability assessment.
• Last update date is unknown; freshness unverified.

Provenance

Source

Thomson Reuters Datastream and the Commodity Futures Trading Commission (CFTC).

Collection Method

Likely compiled from official exchange and regulatory reports.

Time Range

1995 to 2015

Geography

Focus on commodities traded on the New York Mercantile Exchange (NYMEX).