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This paper applies nonparametric methods to identify jumps in daily futures prices and intraday jumps surrounding inventory announcements of crude oil, heating oil and natural gas contracts traded on the New York Mercantile Exchange. The sample period of our intraday data covers January 1990 to January 2008. We have obtained several interesting empirical results. (1) Large volatility days are often associated with large jump components, and large jump components are often associated with the Energy Information Administration's inventory announcement dates. (2) The volatility jump component is less persistent than the continuous sample path component. (3) Volatility and trading volume are higher on days with a jump at the inventory announcement than on days without a jump at the announcement. Furthermore, the intraday volatility returns to normal faster following inventory announcements with jumps than after announcements without jumps.