On January 11, 2018, natural gas’s implied volatility was 49.1%. That’s 7% above its 15-day average. That same day, natural gas implied volatility surged 13.4%, and natural gas prices rose 6.1%. Often, sharp changes in asset prices increase their implied volatility.
Natural gas prices
There is a 68% chance that natural gas (GASL) (GASX) futures could close between $2.87 and $3.30 per MMBtu (million British thermal unit) until January 18, 2018. That price assumption is based on a normal distribution of prices. The implied volatility for this price range is 49.1%.
Natural gas prices closed at $3.08 per MMBtu (million British thermal units) on January 11, 2018, which was 2.8% above the psychologically important level of $3. A further upside in natural gas prices could benefit ETFs such as the United States Natural Gas ETF (UNG), the ProShares Ultra Bloomberg Natural Gas (BOIL), and the First Trust ISE-Revere Natural Gas ETF (FCG) since they invest in natural gas.