This paper analyzes the value of information that is used in speculative trading. There is an important externality effect in the valuation of information in this context. The value of information depends, through its dependence on the statistical properties of equilibrium prices, on the amount and quality of information other agents possess. This externality may produce nonconcavities in the value of information to a trader with rational expectations, which have important implications concerning the allocation of information in markets where information is sold. Ignorance of payoff-relevant information in prices can have profound implications for the way information affects the ex ante expected utility of a speculative trader. This distinguishes price information from other sources of public information the trader may be able to observe.