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. Search for more papers by this author. Apostolos Serletis. 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. Trading futures and options is Not appropriate for every investor. Detailing Henry Hub and other basis locations, the implied volatility data gives … If you look at the monthly chart, the 100 level has acted as major support for quite some time. I will be looking at a counter-trend trade soon. The amount of gas in storage at the end of October was the lowest since 2005. 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. CHART STRUCTURE: POOR I have been recommending a bullish position from around the 9.14 level. 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. Twitter–@seeryfutures Dry weather in Brazil has already affected the sugar crop as the La Nina weather pattern could throw a wrench into the closet. CHART STRUCTURE: POOR 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. VIX measures the implied volatility … 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. 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. Cboe's volatility indexes are key measures of market expectations of volatility … Since May 25, natural gas has risen 41.3%. I also have a bullish soybean and wheat recommendation. "Natural Gas is a traded commodity with many industrial and commercial applications. But for many of the world’s most vital financial and commodity … VOLATILITY: HIGH. Implied Volatility - Implied Volatility … Seery Futures Understanding volatility in natural gas and crude oil markets is important for several reasons. 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. 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. Implied volatility shows how much movement the market is expecting in the future. As a key indicator of forward risk expectations, implied volatility (IV) is valuable input for trading and risk management systems and strategies. 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. Facebook.com/seeryfutures 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. 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. Implied volatility has been on the rise since September after holding at very low levels between March and August. Furthermore, Seery Futures is not responsible for the accuracy of the information contained on linked sites. 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 Implied volatility fell to a record low 19.2 percent in late July. However, the chart structure will not improve for another 8 trading sessions; therefore, you will have to accept the monetary risk at this time. 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 … 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). 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. 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. 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 … 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. VOLATILITY: LOW. 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. This value is the market's estimate of how volatile the underlying futures … The historical average volatility of natural gas is near 45% (by one measure). Wheat prices are trading above their 20 and 100-day moving average as this trend is strong to the upside. 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. Options with high levels of implied volatility suggest that investors in the underlying stocks are … If you take a look at the monthly chart, there is major resistance at 10.50. Options with high levels of implied volatility suggest that investors in the underlying stocks are … I have been recommending a bullish position over the last month from around the 299 level. 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. ... 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 Tuesday’s high surpassed the previous record of 1,022,858 contracts set on Jan. 12, the CME said. TREND: LOWER - MIXED 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. 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. It looks to move even higher, in my opinion. 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. 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. Modeling natural gas price volatility: The case of the UK gas … The chart structure will not improve for another 5 trading sessions, so you will have to accept the monetary risk at this time. 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. For natural gas , its implied volatility was 43.9% on October 28, 2016.Its 15-day average implied volatility is 42.7%. However, I'll keep a close eye on this commodity as we enter the highly volatile autumn and winter season. 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. 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. 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. Natural Gas Volatility The price of natural gas is volatile, especially in the winter months. I'm sitting on the sidelines as my only soft recommendation is a bullish coffee trade. In this paper, empirical evidence is provided that natural gas futures price volatility … There is a substantial risk of loss in futures, futures option and forex trading. [email protected]. 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. Persistent changes in volatility can affect the risk exposure of producers and industrial consumers of natural gas … 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. 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. 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. No other commodity has seen implied volatility at the levels that crude oil has reached recently. I think commodities across-the-board look to move higher as we enter 2021 as, historically speaking, prices still look relatively cheap. Its current implied volatility is 2.9% above its 15-day average. 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… CHART STRUCTURE: POOR the sources of this high volatility. Even so, the highest 30-day ATM implied volatility for natural gas … Enter your e-mail address here to receive an alert for a new post or video: © Copyright 2020 INO.com, Inc. All Rights Reserved. Since then, it has fallen 35.6%. 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. That increased volatility boosted interest in NYMEX futures. 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 information contained on linked sites its 15-day average implied volatility - volatility... I define chart STRUCTURE: POOR volatility: low you can have tremendous swings! 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