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Ehud Ronn
Professor of Finance at the McCombs School of Business, University of Texas at Austin
Speaker Biography:
Ehud I. Ronn is a professor of Finance at the McCombs School of Business, University of Texas at Austin, where he joined the faculty in July 1988. He received his Ph.D. from Stanford University in 1983.
In addition to teaching at the University of California, Berkeley, Dr. Ronn has held visiting appointments at academic institutions in the U. S., Europe, and the Far East. He has published articles on investments, interest rate instruments and energy derivatives in the academic and practitioner literature.
From 1991 to 1993, Dr. Ronn served as Vice President, Trading Research Group at Merrill Lynch & Co. Dr. Ronn was the founding director of the University of Texas Center for Energy Finance from 1997 to 2009. From Jan. 2010 to Feb. 2011, Prof. Ronn was Commodity Market Modeling practice area manager at Morgan Stanley & Co.
In Nov. 2004, Dr. Ronn was selected by Energy Risk to the "Energy Risk Hall of Fame."
Abstract:
Geopolitical crises in the Middle East are often reflected in oil markets. This presentation examines three market indicators: Oil spot prices; Oil futures prices and the slope of the futures curve; and Measures derived from oil options markets, including implied volatility (OVX) and the volatility “skew.” Considering the outbreak of hostilities in the Persian Gulf on March 1st, we examine how these indicators evolved as events unfolded. Together, they provide a "Message from Markets": Oil prices reflect assessments of potential supply disruptions; the Futures curve reveals how persistent those disruptions are expected to be; Implied volatility measures the degree of uncertainty surrounding future oil prices, and the volatility “skew” indicates the risks market participants view as most consequential. Viewed jointly, these measures help us understand where oil prices are, and what markets believe may happen next.