Treasure hunting is a perilous undertaking—particularly when the gold is black.

Bank of China, one of China’s largest banks, has found itself in the crosshairs of domestic netizens in recent days thanks to a retail investment product named Crude Oil Treasure. The oil-linked product has, according to Chinese media outlet Caixin, left investors sitting on losses of about 9 billion yuan ($1.3 billion) after an expiring U.S. oil-futures contract plummeted into negative territory on April 20. Retail investors found themselves not...