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Energy Commodities: Important Quantitative Insights

PART:
1 2 3 4 5
Part 5
Energy Commodities: Important Quantitative Insights PART 5 OF 5

Natural Gas Prices Could Fall below $3 Next Week

Implied volatility and prices

On June 8, 2017, US natural gas (GASL) (GASX) (FCG) active futures had an implied volatility of 36%—up 3.8% compared to the 15-day average.

Natural Gas Prices Could Fall below $3 Next Week

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On June 6, 2017, US natural gas active futures rose 2%—compared to the previous price. On the same day, natural gas saw its implied volatility rise to 35.8%.

On November 14, 2017, natural gas active futures’ implied volatility rose to 56.2%. From November 14, 2017, to date, natural gas saw its implied volatility fall 35.9%. Natural gas active future rose 15.6% during this period.

Natural gas in the next seven days

In the next seven days, natural gas active futures could settle between $2.88 and $3.18 per MMBtu (million British thermal units). The assumption is based on a normally distributed bell curve with a standard deviation of 1.0 and an implied volatility of 36%.

On June 8, 2017, natural gas active futures settled at $3.02 per MMBtu. If natural gas active futures fall below $3 in the next seven days, it could be bearish for energy ETFs such as the SPDR S&P Oil & Gas Exploration & Production ETF (XOP) and the Fidelity MSCI Energy ETF (FENY).

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