Frank has crunched the numbers and put a solid set of metrics around seasonal implied volatility … Implied volatility shows how much movement the market is expecting in the future. VOLATILITY: AVERAGE. Test our tools with a 30-Day Trial. I've been recommending a bullish position from around the 5.40 level and if you took that trade, continue to place the stop loss under the 2 week low standing at 5.37 as an exit strategy. Fundamentally speaking, industrial natural gas demand remains tepid as BNEF data shows gas demand from power generators was estimated at just under 30 bcf for last Monday, which is the lowest for any September 21st since 2015. The volatility in this week’s natural gas market, which included a roaring 30.2-cent advance in Monday’s session, could become commonplace for the next couple months, according to TPH. However, I'll keep a close eye on this commodity as we enter the highly volatile autumn and winter season. the sources of this high volatility. VOLATILITY: LOW. The data provided by this service are derived from current forward market option prices in contrast to historical volatilities and are used to support investment and trading decisions in natural gas … This value is the market's estimate of how volatile the underlying futures … Natural gas futures in the November contract settled last Friday in New York at 2.80 while currently trading at 2.43, down about 37 points for the week, hitting a 2 month low. Carryover levels for soybeans continue to decline, coupled with the strong demand from China's country as fundamentally and technically speaking, this market is strong. That compares with an average of 37.0 in 2017, 38.9 during the prior five-years (2013-2017) and 49.4 in the previous five years (2008-2012). I think the contract low, which was hit on June 25th at 2.13, will keep a close eye on this market as I think a bottoming situation is starting to occur. I am not involved as the volatility … I define chart structure as a slow grinding up or down trend with low volatility and no chart gaps. CME Group Inc, which owns the NYMEX, said total futures volume rose to a preliminary record high of 1,602,673 contracts on Wednesday, topping the previous high set on Tuesday of 1,232,635. Nov 15 (Reuters) - U.S. natural gas futures volume and implied volatility on the New York Mercantile Exchange (NYMEX) hit all-time highs on Wednesday after the front-month contract soared more than 36 percent over the past four days on colder weather forecasts. However, some stabilized later in the day. We will start to get real-time production numbers as the combines are in full swing in the Midwestern part of the United States as the volatility should continue to escalate to the upside. Twitter–@seeryfutures I don't think prices will trade under that level as I will not go short, and if you do want to jump the gun and take a bullish position, I would buy at today's level while then placing the stop loss under the 105 level as the risk would be around $1,100 per contract plus slippage and commission. Many of the great trends that develop have very good chart structure with many low percentage daily moves over a course of at least 4 weeks thus allowing you to enter a market allowing you to place a stop loss relatively close due to small moves thus reducing risk. That situation isn't going to change as we enter the winter months as seasonably speaking, you can have tremendous price swings daily. Cboe's volatility indexes are key measures of market expectations of volatility … Since September, gas futures have traded up or down more than 3 percent eight times, compared with just one time from March to August and 13 times in January and February. Intercontinental Exchange – Futures Implied Prices – August 2020 Page 1 ICE Futures Implied Prices ICE Futures has expanded implied pricing capability for each of its Futures contracts. Seery Futures The volatility in wheat will certainly expand as we enter the volatile autumn and winter seasons as the risk/reward remains in your favor as traders are keeping a close eye on key growing regions around the world for short-term price action. These are truly unprecedented levels of implied volatility for the oil market - and for any commodity market. Orange juice futures in the November contract is currently trading at 111.85, ending the week on a sour note after settling last Friday in New York at 105.75, up over 600 points for the week bottoming out around the 105 level. However, for the bullish momentum to continue, prices have to break the September 30th high of 5.87, in my opinion, and if that does occur, I think the $6 level is at hand, so stay long as there is still room to run. If you took those trades, place the stop-loss at the 2 week low, which also is the 3-week low at 109.80 on a hard basis only as I am not willing to risk more than that price level. U.S. natural gas futures volume and implied volatility on the New York Mercantile Exchange (NYMEX) hit all-time highs on Wednesday after the front-month contract soared more than … Dry weather in Brazil has already affected the sugar crop as the La Nina weather pattern could throw a wrench into the closet. Presently soybean meal is the strongest trend to the upside out of all of the grain sector as strong demand from China has come back, and if you take a look at the monthly chart I think prices could head all the way up to the 400 level in the coming weeks ahead so stay long as I see no reason to be short. Its current implied volatility is 2.9% above its 15-day average. The historical average volatility of natural gas is near 45% (by one measure). Options with high levels of implied volatility suggest that investors in the underlying stocks are … VOLATILITY: HIGH. Implied volatility has been on the rise since September after holding at very low levels between March and August. Implied volatility for U.S. natural gas futures tumbled more than 75% since mid-January By Scott DiSavino , Reuters News Implied volatility for U.S. natural gas futures tumbled more than 75 … If you are looking for a futures broker feel free to contact Michael Seery at 630-408-3325 and he will be more than happy to help you with your trading or visit www.seeryfutures.com, Michael Seery, President If that level is broken, I think we can head up to the $11 level. For natural gas , its implied volatility was 43.9% on October 28, 2016.Its 15-day average implied volatility is 42.7%. I have been recommending a bullish trade initially from the 111.00 level while adding another contract at 113.30 as the average is around 112.15. ... Dutch TTF Natural Gas Futures 12 months, all quarters, all seasons, and all cals Front 3 months, all quarters, all seasons, all cals UK Natural Gas CHART STRUCTURE: EXCELLENT Coffee continues its bearish momentum as abundant rain has entered key coffee growing regions in the country of Brazil, putting pressure on prices in the short-term. In this paper, empirical evidence is provided that natural gas futures price volatility … The natural gas implied volatilities provide an independent and thorough view into the North American natural gas market. Cattle futures in the December contract is currently trading at 111.05 after settling last Friday in Chicago at 111.40 unchanged for the week, looking for some fresh fundamental news to dictate short-term price action next week. If you look at the monthly chart, the 100 level has acted as major support for quite some time. [email protected]. All quotes delayed a minimum of 15 minutes. My opinion in this blog are for general information use only and are not intended as an offer or solicitation with respect to the purchase or sale of any futures or option contracts. Futures are above The Cboe Global Markets ® (Cboe ®) calculates and updates the prices of several volatility indexes that are designed to measure the market's expectation of future volatility implied by options prices. The amount of gas in storage at the end of October was the lowest since 2005. Prices reacted very positively off of the crop report, which was released early in the week. Persistent changes in volatility can affect the risk exposure of producers and industrial consumers of natural gas … I'm sitting on the sidelines as my only soft recommendation is a bullish coffee trade. Even so, the highest 30-day ATM implied volatility for natural gas … Since then, it has fallen 35.6%. Natural Gas: Is there a trade around seasonality? TREND: LOWER Furthermore, Seery Futures is not responsible for the accuracy of the information contained on linked sites. The implied volatility value is based on the mean of the two nearest-the-money calls and the two nearest-the-money puts using the Black options pricing model. Whether news about natural gas market fundamentals, or excessive speculation and irrational investor behavior is responsible for the high volatility is an ongoing debate. As a key indicator of forward risk expectations, implied volatility (IV) is valuable input for trading and risk management systems and strategies. Soybean meal futures in the December contract settled last Friday in Chicago at 338 a ton while currently trading at 352 as prices have hit a 27-month high continuing its bullish momentum higher for the 3rd consecutive session. I have been recommending a bullish position over the last month from around the 299 level. VOLATILITY: HIGH. That increased volatility boosted interest in NYMEX futures. I have been recommending a bullish position from around the 109.55 level, and if you took that trade, continue to place the stop loss at the contract low of 96.90 as an exit strategy as I think the downside is limited. Traders said the combination of colder forecasts and the low amount of gas in storage going into the winter heating season brought a return of volatility that resembled the gas market of old. OVX measures the implied volatility of oil prices and is calculated using movements in the prices of financial options for WTI, the light, sweet crude oil priced at Cushing, Oklahoma. Getting started is easy! Implied volatility, a determinant of an option’s premium, rose to a record high of 98.6 percent, according to Reuters data going back to 2007. Argus North American Natural Gas Implied Volatility Forward Curves “Argus Gas Volatilities” represent the market’s current price volatil-ity valuation for call, put and straddle options on a monthly basis. Facebook.com/seeryfutures But for many of the world’s most vital financial and commodity … I am not involved as the volatility is extremely high. Options with high levels of implied volatility suggest that investors in the underlying stocks are … Reporting by Scott DiSavino; Editing by Bernadette Baum. In the last 10 years, neither gold or soybeans have ever breached 50% for implied volatility, while corn has touched 50% but never gone beyond. Still, I believe the risk/reward is in your favor, especially if any weather problem comes about in the coming months ahead. We've dropped about 20% in a rather quick time frame as prices are right at major monthly support. I have been recommending a bullish position from around the 9.14 level. Fields displayed on the Futures Volatility & Greeks View include: Strike - The price at which an option purchaser may buy or sell the underlying commodity futures contract regardless of its current price. Chop & Grind: Gold, Stocks And Commodities, Stocks End Week Lower On Stimulus Concerns. I think commodities across-the-board look to move higher as we enter 2021 as, historically speaking, prices still look relatively cheap. Wheat prices are trading above their 20 and 100-day moving average as this trend is strong to the upside. CHART STRUCTURE: POOR CME said open interest in its Henry Hub gas benchmark has hit at least 10 open interest records since August, reaching an all-time high of 1,699,571 contracts on Oct. 4. CHART STRUCTURE: SOLID However, the chart structure will not improve for another 8 trading sessions; therefore, you will have to accept the monetary risk at this time. Since May 25, natural gas has risen 41.3%. CHART STRUCTURE: POOR The cold forecast convinced many in the market that the record amount of gas coming out of the ground would not be enough to shrink a vast 16 percent storage deficit in November as previously projected. Implied volatility shows how much movement the market is expecting in the future. Natural gas futures in the November contract settled last Friday in New York at 2.80 while currently trading at 2.43, down about 37 points for the week, hitting a 2 month low.. Our Standards: The Thomson Reuters Trust Principles. I will be looking at a counter-trend trade soon. Implied volatility has averaged 36.4 percent since it started rising in September, up from just 26.0 during the first eight months of the year. Enter your e-mail address here to receive an alert for a new post or video: © Copyright 2020 INO.com, Inc. All Rights Reserved. Pete and Frank dive in Natural Gas, and look at Implied volatility and how it changes during different times of the year. Benchmark Henry Hub natural gas futuresare typically considered to be the most volatile of the major commodities because of the sudden impact of cold weather on deman… What do I mean when I talk about chart structure and why do I think it’s so important when deciding to enter or exit a trade? The chart structure is outstanding at the current time because prices have gone nowhere over the last couple of weeks. Wheat futures in the December contract settled last Friday in Chicago at 5.44 a bushel while currently trading at 5.75 up over $0.30 for the trading week, acting positively off the crop report, which was released earlier in the week continuing its bullish momentum. TREND: HIGHER I also have a bullish soybean and wheat recommendation. See here for a complete list of exchanges and delays. There is a substantial risk of loss in futures, futures option and forex trading. Returns and volatility in the NYMEX Henry Hub natural gas futures market. If you took that trade, continue to place the stop loss under the 10-day low standing at 329 as an exit strategy. VIX measures the implied volatility … The volatility will expand tremendously, especially to the upside, because these prices are very depressed. Natural gas’s implied volatility spiked to 58.7% on May 25, 2016. VOLATILITY: HIGH. So stay long as the risk/reward remains in your favor, and I think the price gap created today will be filled to the upside. However, as I stated before, I will be patient and wait for the chart structure to improve. Detailing Henry Hub and other basis locations, the implied volatility data gives … Phone #: 630-408-3325 TREND: HIGHER Tuesday’s high surpassed the previous record of 1,022,858 contracts set on Jan. 12, the CME said. Juice prices are still trading below their 20 and 100-day moving average as the trend is lower, but I believe the downside is limited. Trading futures and options is Not appropriate for every investor. The Argus North American Natural Gas Implied Volatilities service is a powerful, independent market valuation tool. To put it another way, if the implied volatility of a natural gas option is 50%, it means that there is a 68.3% chance (one standard deviation) that a year from now, the underlying price (future or swap) of that … Soybean futures in the November contract is trading higher for the 3rd consecutive session after settling last Friday in Chicago at 10.02 a bushel while currently trading at 10.27, up about $0.25 for the trading week as prices are right near a 29 month high. If you took that trade, continue to place the stop loss under the 2 week low standing at 9.85 on a hard basis only as we were just an eyelash away from getting stopped out earlier in the trading week. Implied volatility … Implied Volatility - Implied Volatility … Implied volatility fell to a record low 19.2 percent in late July. Charts that have violent up and down swings are not considered to have solid chart structure as I like to place my stops at 10-day highs or 10-day lows and if the charts have a tight pattern that will allow the trader to minimize risk which is what trading is all about and if the chart has big swings your stop will be further away allowing the possibility of larger monetary loss. It looks to move even higher, in my opinion. Historical volatility has surged to levels not seen since late 2018, and implied volatility, a measure of how dramatic price swings may be going forward, is the highest in data going back to … Gas prices are trading under their 20 and 100-day moving average as the trend is mixed to lower in my opinion as prices topped out right around the 3.00 level just several weeks ago. Coffee futures in the December contract settled last Friday in New York at 113.65 a pound while currently trading at 108.20, down over 500 points for the trading week. The increases in volume and volatility came after the front-month contract jumped to its highest since 2014 on Wednesday on forecasts for much colder weather than previously expected in November. The chart structure will not improve for another 5 trading sessions, so you will have to accept the monetary risk at this time. TREND: LOWER - MIXED Understanding volatility in natural gas and crude oil markets is important for several reasons. "Natural Gas is a traded commodity with many industrial and commercial applications. Department of Economics, at the University of Calgary, Calgary, Canada. Natural Gas Futures. Coffee is trading below its 20 and 100-day moving average as the trend is clearly lower as this is a counter-trend recommendation, which I don't do very often. Apostolos Serletis. Natural Gas Volatility The price of natural gas is volatile, especially in the winter months. CHART STRUCTURE: POOR TREND: LOWER Prices gapped lower today on news that President Trump and the First Lady have been infected with the Coronavirus sending many sectors sharply lower. Search for more papers by this author. Benchmark Henry Hub natural gas futures are typically considered to be the most volatile of the major commodities because of the sudden impact of cold weather on demand in the winter months. No other commodity has seen implied volatility at the levels that crude oil has reached recently. If you take a look at the monthly chart, there is major resistance at 10.50. In my opinion, I believe prices are starting to experience oversold conditions as prices topped out at 135.45 on September 4th. Modeling natural gas price volatility: The case of the UK gas … Volatility is 2.9 % above its 15-day average 15-day average in a rather quick frame. Broken, i believe the risk/reward is in your favor, especially to the upside speaking, still! 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