The Commodity Futures Trading Commission’s (CFTC) Division of Market Oversight (DMO) issued a report today that analyzed sharp, intraday price movements in the commodity futures markets. DMO staff in the Market Intelligence Branch (MIB) analyzed 2.2 billion transactions from 16 of the most actively traded futures contracts in all major market sectors using data from 2012 through 2017.

Key findings from the research:

• Neither the frequency nor intensity of sharp price movements appear to be consistently increasing over time;
• Sharp price movements are linked to volatility, market fundamentals, and news and data releases; and, significantly, this research does not show signs of weakness or fragility in the futures markets causing disruptive price movements; and
• Most importantly, the U.S. commodity futures markets are very efficient, incorporate new information quickly, and continue to support the price discovery process.

This is the second in a series of reports from MIB staff. The first report was Liquefied Natural Gas Developments and Market Impacts (May 2018). MIB staff will publish additional reports on issues of current market interest, such as market liquidity and volatility. MIB’s role is to analyze and communicate current and emerging market issues to CFTC leadership and the public and assist the CFTC in making informed policy.