The EIA WPSR release, OVX and crude oil internet interest

The purpose of this study is to examine the impact of the EIA Weekly Petroleum Status Report (WPSR) release on the implied crude oil volatility (OVX) during high and low demand for information, measured using internet interest in crude oil. We hypothesize that the OVX decreases after the EIA WPSR release, and even more importantly, that the magnitude of the effect depends on the internet interest in crude oil. To test the hypotheses, we apply VARX-DCC-GARCH on the OVX and implied stock market volatility (VIX) indexes, where EIA WPSR release dates are considered an exogenous variable, and internet search volumes an indicator for the general interest in crude oil. We find not only that the OVX decreases after the EIA WPSR release but, that the magnitude of the effect depends on the internet interest in crude oil, as hypothesized. Thus, we show empirically how the value of information depends on the demand for the information. When it is high, it is more valuable in assessing the anticipated risk involved in the asset. More specifically, our results imply that the EIA WPSR contains relevant risk-related information, which is even more valuable during the times of high interest in crude oil.