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The Natural Gas Roller Coaster. Jan 16th 14.2% tradeable range


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The Natural Gas Roller Coaster. Jan 16th 14.2% tradeable range

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  #81 (permalink)
 ron99 
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On Monday & Tuesday NG had the biggest drop in 11 years. I suspect this 3 day drop will also be huge.

But this just shows again how broken the markets are. Nothing fundamentally changed to make NG worth 1.25 less than last Friday.

We have below zero weather coming this week and Henry drops a dollar in one day?

On Monday Henry traded .01 higher. Futures were .69 lower. Tuesday Henry trades 1.00 lower. Futures traded lower before Henry traded lower.

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  #82 (permalink)
 mu2pilot 
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SMCJB View Post
There's another 6 hours left off rip roaring madness. Already had a 31c range today! Wonder what expiry brings.

Not for the options!

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 SMCJB 
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ron99 View Post
On Monday & Tuesday NG had the biggest drop in 11 years. I suspect this 3 day drop will also be huge.

Wednesday it dropped even lower, and on Thursday cash prices for March (at Henry) dropped yet another 20c lower before finally rallying a little today.

Henry Swing Swap for March settled $6.13 on 21st and $4.65 on 27th a drop of 24.3%. (Futures expired at $4.855 on 26th).


ron99 View Post
But this just shows again how broken the markets are. Nothing fundamentally changed to make NG worth 1.25 less than last Friday.

We have below zero weather coming this week and Henry drops a dollar in one day?

On Monday Henry traded .01 higher. Futures were .69 lower. Tuesday Henry trades 1.00 lower. Futures traded lower before Henry traded lower.

I looked at what swing swaps did for locations other than Henry, to try and see if this was a phenomenon that was effecting financial futures but not physical gas.

Prices in the constrained area's of the Northeast generally dropped Monday, were mixed on Tuesday but rallied Wednesday and Thursday finishing down approximately 10% despite Henry dropping 24%.


Prices in the Midwest, which is where the much below tempretures for the next 15 days are focused, dropped Monday but rallied Tuesday, Wednesday and Thursday, finishing up 15+%


Prices in the Gulf and Texas seemed to drop fairly much in line with Henry, although in many cases not quite as much.




Prices in the west dropped each day but not nearly as much as Henry with the index's I looked at dropping about 15%.


What does all this mean? I wish I knew.
I'm with Ron though that this seemed like a rather large move given little if any fundamental changes.

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  #84 (permalink)
 ron99 
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NG isn't the only commodity doing crazy things at expiration.

Mar SB was 16.33 on 2/20. Two trading days later it was 17.41, up 6.6%, on the 24th. It was 17.44 the day before expiration and then it dropped 0.97 on expiration day, 2/28. Or 5.5%.

I wonder if somebody with deep pockets figured out how to profit from moving markets when they have low volume near expiration.

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  #85 (permalink)
 
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For those of you that had all the fun/anguish of trading March Natural Gas you might be interested to know that yesterday balance of the month (ie Mar 14-31) traded below April for the first time!

The first 14 days of March Henry Gas Daily averaged $5.21. Hence as of last night March Henry GDD looks to be on target to price out at about $4.75 or April +37c which is also March Settlement -10c.

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  #86 (permalink)
 ron99 
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Here is what happened to NG last winter. The specs had 340,000 short NG futures (red line). They had to get out of 225,000 of them.


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  #87 (permalink)
 ron99 
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Here is how things are now.

Specs have 17k less shorts YoY. But they also have 44k less longs YoY.


Last year they were 51.4% long. This year 48.6%

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  #88 (permalink)
 ron99 
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Crazy range in NG today. Flat then up 10 then down 10 then up 10.

Gained 23 cents in one hour.

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 SMCJB 
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ATR's for Natgas this month
20th 25.2c or 5.8%
19th 31.4c or 7.4%
Average last 3 days (18-20) 25.1c or 5.8%
Average last 5 days (14-20) 23.4c or 5.9%
Average last 10 days (7-20) 21.7c or 4.9%
Average November (14 days) 21.1c or 5.4%

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 SMCJB 
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SMCJB View Post
ATR's for Natgas this month
20th 25.2c or 5.8%
19th 31.4c or 7.4%
Average last 3 days (18-20) 25.1c or 5.8%
Average last 5 days (14-20) 23.4c or 5.9%
Average last 10 days (7-20) 21.7c or 4.9%
Average November (14 days) 21.1c or 5.4%

And the 21st another impressive 29.2c or 6.5% range.
Monday is penultimate and is options expiration so probably expect more of the same.

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