Malick Sy and Liuren Wu, "The Shale Revolution and Shifting Crude 
Dynamics", Journal of Applied Econometrics, Vol. 35, No. 2, 2020, pp. 
160-175.

The main contribution of the article is to construct a real-time
market demand loading estimate for the crude oil price movement using
options on the equity index (the SPX) and the WTI futures.

The equity index (SPX) options are purchased from the data vendor
OptionMetrics. With an annual subscription fee, the data can be
accessed via the WRDS platform.

The WTI futures options are purchased from the CME:

  CME Group
  20 South Wacker Drive
  Chicago, Illinois 60606
  markettechsales@cmegroup.com
  www.cmegroup.com/markettech

The options are with fixed expiry dates and strike prices. The demand
loading time series are estimated based on floating implied volatility
levels and skews at fixed moneyness (strike in percentage of forward)
and time to maturities. We construct the loading series with
nonparametric smoothing as described in the paper.

Sample matlab programs are included to show the construction:

CLfuturesoptionprocessing.m -- Processes WTI futures options

SPXvprocessing.m  -- Processes SPX options

CLSPXanalysis01.m -- Puts the processed data together to generate the
                     demand loading series and plots

lqLVkregress.m -- The nonparametric smoothing function used in data processing

The matlab files are contained in the zipped folder: SyWu-dataprograms.zip


Please address any questions to:

Liuren Wu

Zicklin School of Business, Baruch College, CUNY
One Bernard Baruch Way, Box B10-247
New York, NY 10013, USA

liuren.wu [AT] baruch.cuny.edu
http://faculty.baruch.cuny.edu/lwu/