Options Traders: The Implied Volatility of Crude Oil and Natural Gas
Crude oil’s implied volatility was 41.8% on September 23, which is 6.9% above its 15-day average. Its 15-day average implied volatility is 39.1%.
Sept. 26 2016, Published 11:12 a.m. ET
Crude oil’s implied volatility
Crude oil’s (UWTI) (USO) (OIIL) (USL) (SCO) (DWTI) implied volatility was 41.8% on September 23, 2016. Its 15-day average implied volatility is 39.1%, which means that crude oil’s current implied volatility is 6.9% above its 15-day average.
Crude oil’s implied volatility rose to 56.3% on July 13, 2016. Since then, its implied volatility has fallen 25.8%. Over this period, US crude oil active futures contracts have fallen 0.6%. From September 16 to September 23, US crude oil rose 2%, and its implied volatility rose 12.2% during that period.
What about natural gas?
Natural gas’s (UNG) (DGAZ) (BOIL) (FCG) (UGAZ) (GASL) implied volatility was 36.8% on September 23, 2016. Its 15-day average implied volatility is 37.7%, which means that natural gas’s current level of implied volatility is 2.4% below its 15-day average.
Natural gas’s implied volatility rose to 58.7% on May 25, 2016. Since then, it has fallen 37.3%. Since May 25, natural gas has risen 48.9%. Last week, natural gas October futures were flat, while their implied volatility fell 1.2%.
Energy ETFs
This analysis could be important for natural-gas-tracking ETFs such as the ProShares Ultra Bloomberg Natural Gas ETF (BOIL), the Direxion Daily Natural Gas Related Bear 3X ETF (GASX), the United States Natural Gas ETF (UNG), and the Direxion Daily Natural Gas Related Bull 3X ETF (GASL).
This analysis could also be important for crude-oil-tracking funds such as the United States Oil ETF (USO) and the Credit Suisse X-Links WTI Crude ETN (OIIL).
