Natural gas’s implied volatility
On April 12, 2018, natural gas’s implied volatility was 22.5%, just 0.4% more than its 15-day moving average.
Between April 5 and April 12, 2018, natural gas May futures rose 0.4% accompanied by a 7.1% rise in natural gas’s implied volatility. Since September 2017, the two variables have broadly moved together.
Between April 13 and April 19, 2018, with a 68% probability, natural gas futures could close between $2.62 and $2.76 per MMBtu (per million British thermal units) based on natural gas’s implied volatility of 22.5% and assuming that the prices are normally distributed.
On April 12, natural gas May futures closed at $2.686 per MMBtu. ETFs like the United States Natural Gas ETF (UNG) and the ProShares Ultra Bloomberg Natural Gas (BOIL) are sensitive to natural gas’s moves. Between April 5 and April 12, 2018, natural gas May futures rose 0.4%. UNG rose 0.5%, while BOIL fell 0.1% in this period.