Natural gas’s implied volatility
On April 19, 2018, natural gas’s implied volatility was 23.4%. It was 6.4% more than its 15-day moving average.
Between April 12 and April 19, 2018, natural gas May futures fell 1%, but implied volatility rose 4%. Since September 2017 until April 13, 2018, the two variables have broadly moved together. However, the two indicators have started moving inversely lately.
Between April 20 and April 26, 2018, with 68% probability, natural gas futures could close between $2.59 and $2.73 per MMBtu (per million British thermal units) based on natural gas’s implied volatility of 23.4% and assuming that prices are normally distributed.
On April 19, natural gas May futures closed at $2.66 per MMBtu. ETFs like the United States Natural Gas ETF (UNG) and the ProShares Ultra Bloomberg Natural Gas (BOIL) track natural gas futures. Between April 12 and April 19, 2018, natural gas May futures fell 1%. UNG and BOIL fell 0.5% and 0.9% in this period, respectively.