Natural Gas Futures And Options In The Spotlight

By Craig Bewick
FEB 08 2021

US Equity Indexes closed at record highs and volatility in CME Group equity index options markets continued to trade at the lowest levels we’ve seen since right before the pandemic-induced lockdowns nearly a year ago, even amidst continuing discussions around additional COVID-19 relief packages and the impending start of former President Donald Trump’s impeachment trial. 

CME Group commodity markets were active again today.  Notably,

  • Corn futures prices were up nearly 3%
  • Wheat futures prices up about 2.5%
  • WTI Crude Oil futures prices up by over 2% to over $58
  • Gold futures prices up by about 1%
  • Platinum futures prices up by over 3.3% and were up by over 4% earlier in the trading day

The rally in the price of Platinum futures represented the highest prices we’ve seen in over 4 years for that metal presumably on hopes for increased industrial demand as the global economy continues to recover. 

Given the weather forecast we’re looking at here in the Chicago area that shows low temps over the next week or so down to -10, we thought we’d check back in on the Natural Gas market at CME Group.  As you can see in the top QuikStrike graph below, current implied volatility (depicted by the bright green line) is as high as its been in any year since 2015 at this time.  The lower graph, which depicts the Risk Reversal (25 Delta Call volatility minus Put volatility) shows that Calls are currently trading at a higher premium to Puts than at this time since 2015 as well. 

ABOUT THE AUTHOR

Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

Connect with Craig at activetrader@cmegroup.com

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