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When I wrote the post Mar NG 450 put was offered 6 ticks lower than settlement. Every OTM put was offered lower than settlement. I don't look at ATM options.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals, U308 and Crypto.
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Well it's been a crazy volatile few weeks.
ATR of the Feb NG contract overly the last 4 trading days before expiry was a stunning 10.5% and over the last 6 days a whopping 9.0% (5.8, 6.3, 11, 11.8, 5.6. 13.5). Yes that's an average range of 10.5% over a four day period!!!
In the 10 trading days since Feb has expired Mar has had an ATR of 8.0%! To illustrate the volatility of the Mar-Apr spread, Apr has an ATR of 3.8%, under half Mar over the same 10 days.
Rumors abound on who the big winners and losers are. WSJ did report the Head of DE Shaw's energy group is out after they lost in excess of $100 Million but I suspect that's just the tip of the iceberg. We'll probably have to wait 10 years for a book to explain all!
