liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps …