US Equities rallied out of the gate to begin the week, but then sold-off around mid-day, but then rallied again to end the day mixed. The Dow Jones Industrials were up by about .75%, the S&P 500 was near steady and the Nasdaq was just slightly lower on the day. 30-day implied volatility in the E-mini S&P 500 options, which had risen from 11.2% to 15.4% from September 3rd through the 10th, ticked down today. In other CME Group markets, US Treasury Yields fell slightly and the US Dollar saw small gains versus most major currencies.
At the risk of sounding like a broken record because we’ve featured it frequently here in the Key Takeaway’s section lately, Natural Gas futures prices were up another 5.4% today. Natural Gas futures trading is generally centered around winter (November-March) and summer (April-October) months and professionals tend to view the summer season as the months during which natural gas inventory is built up and the winter months when it is “withdrawn”.
There are currently 43 days until the November Natural Gas options expiration. According to QuikStrike data, in no year since 2011 has November implied volatility been as high as it is currently trading (64%) with a similar days to expiration. Further, the price of November Natural Gas has never been as high with this many days until expiration as it currently is (5.227). In fact, the closest it’s been at this time of year was 4.054 in 2011. Finally, as you can see in the green line in the QuikStrike graph below of the 25 Delta Risk Reversal (25 Delta Call implied volatility minus Put implied volatility), the November Calls are trading substantially higher versus Puts currently than they have at this time of year in any year since 2011.