Variable

1-Month Calls

1-Month Puts

2-Month Calls

2-Month Puts

4-Month Calls

4-Month Puts

Constant

55.64^***

73.58^***

44.47^***

59.41^***

89.36^***

93.96^**

Oil Futures Price

0.05^**

0.07^**

0.02

0.05

0.03^**

0.04^***

Call Price

−0.95^***

−0.89^***

−0.95^***

Put Price

−0.56^***

−0.38^***

−0.89^***

Canadian Dollar-US

Dollar Exchange Rate

−0.02

−0.03

0.01

0.04

0.05^***

0.04^***

Supply of Oil

−6.31 × 10^−4***

−8.32 × 10^−4***

−4.73 × 10^−4***

−6.42 × 10^−4***

−9.42 × 10^−4***

−9.9 × 10^−4***

News of Oil Prices

0.01

−0.01

0.006

0.006

0.009

0.01^*

N

689

689

826

826

894

894

R²

0.75

0.79

0.80

0.76

0.97

0.98