To understand the typical behavior of crude oil, we will analyze daily price action of the pit-traded NYMEX crude oil futures (CL) for the 12 months (248 trading days) beginning in April 2006 and ending in March 2007. Also, the study compares the pit-traded session to the electronic session (traded through the Chicago Mercantile Exchange ’s Globex network) from September 2006 through March 2007, illustrating why it is critical for traders to pay attention to this market on a 24-hour basis. The price characteristics we will analyze include the size of daily ranges and daily net changes, the lowest the market tends to drop on days that close higher, and the highest the market tends to rally on days that close lower. Intraday analysis of crude oil prices (using the Globex contract) will identify the times of day crude offers the most volatility.

Let’s look at what the daily ranges can tell us about how this market behaves.