TY - JOUR T1 - Negative WTI Price: What Really Happened and What Can We Learn? JF - The Journal of Derivatives DO - 10.3905/jod.2021.1.141 SP - jod.2021.1.141 AU - Lingjie Ma Y1 - 2021/12/23 UR - https://pm-research.com/content/early/2021/12/23/jod.2021.1.141.abstract N2 - The price of West Texas Intermediate futures contracts fell into the negative on April 20, 2020. In this article, I investigate underlying factors that contributed to the negative price and propose rule changes. I begin with the causes: first, because of the COVID-19 pandemic and an oil price war, an oil oversupply and storage shortage put significant downward pressure on oil prices; second, CME Group made policy changes in early April allowing negative prices; third, heterogeneous trading activities of retail investors and speculators contributed to the negative price on April 20. To improve market efficiency and fairness for market participants, I propose rule changes, such as more advance notice for market rule changes, robust alternatives for settlement price construction, and appropriate limit on trade-at-settlement contracts. ER -