Datasets for the Role of Financial Investors in Commodity Futures Risk Premium

The datasets for the Role of Financial Investors on Commodity Futures Risk Premium are weekly datasets for the period from 1995 to 2015 for three commodities in the energy market: crude oil (WTI), heating oil, and natural gas. These datasets contain futures prices for different maturities, open interest positions for each commodity (long and short open interest positions), and S&P 500 composite index. The selected commodities are traded on the New York Mercantile Exchange (NYMEX). The data comes from the Thomson Reuters Datastream and from the Commodity Futures Trading Commission (CFTC).