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


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  #11 (permalink)
 
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 SMCJB 
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I assume Gross includes spreads and that Net doesnt

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  #12 (permalink)
 ron99 
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SMCJB View Post
I assume Gross includes spreads and that Net doesnt

Correct

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  #13 (permalink)
 
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 SMCJB 
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And this weeks chart...
NGG4 on Thursday 23rd January
5 moves between 2.5% and 5.5% in one day including 3 intra-day moves of 4% or greater.


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 ron99 
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NG margin going up 10% on Monday.

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  #15 (permalink)
 
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 liquidcci 
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NG trending really well. It is trading like CL use to trade. Hope it keeps up for a while.

"The day I became a winning trader was the day it became boring. Daily losses no longer bother me and daily wins no longer excited me. Took years of pain and busting a few accounts before finally got my mind right. I survived the darkness within and now just chillax and let my black box do the work."
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  #16 (permalink)
Alphachase
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New margins for NG contracts effective after the close of business on Monday Jan 27 - spec 3300/3000, NG vol scans also going up. 20% increase in maintenance margins just a day after 10% hike.

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  #17 (permalink)
CafeGrande
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In one day, a 44.5% increase in Mar Natural Gas ATM implied volatility. An extreme move for sure and perhaps unprecedented.

FWIW, ATM IV in Feb doubled in a day (from about 46% to 106-108%, but that doesn't really count (unless you have a position). Feb options had only 4 DTE vs. 32 in Mar.

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  #18 (permalink)
CafeGrande
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Natural Gas ATM IV term structure (some people call it time skew) - constant maturity, American style exercise.

Data source: Ivolatility.com; chart: mine

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Alphachase
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CafeGrande View Post
FWIW, ATM IV in Feb doubled in a day (from about 46% to 106-108%, but that doesn't really count (unless you have a position). Feb options had only 4 DTE vs. 32 in Mar.


Hah, Feb 5.75 calls were most active Fri morning. Vols really get crazy (5.75 reached 153% on Fri), but call skew looks sell for me…

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  #20 (permalink)
 
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 SMCJB 
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CafeGrande View Post
Natural Gas ATM IV term structure (some people call it time skew) - constant maturity, American style exercise.

Data source: Ivolatility.com; chart: mine

Natural Gas Forward Price Curve, Last 2 Weeks...

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Last Updated on November 14, 2018


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