Crude oil futures play an important role in the global energy and financial markets, yet the dynamics of liquidity in this crucial market have largely been ignored. Understanding how macroeconomic events shape liquidity in this market is important for both hedgers and speculators. Using high-frequency data, we consider three elements of market liquidity to achieve a detailed picture of liquidity provision in the period around monetary policy announcements; the bid-ask spread, market depth, and order book slope. We show that liquidity is removed from the market around 2-mins prior to the announcement, is exceptionally low at the time of the announcement, and then reverts to normal within 9-mins of the announcement. The magnitude of the liquidity response is influenced by the size of the monetary policy surprise, consistent with traders that seek to protect themselves when the risk of adverse selection is greatest. The liquidity response is also determined by the term structure of the futures curve and prevailing credit conditions.