The weather here in Chicago as well as the markets felt a little more summer than fall today. US Equity indexes were lower but little changed (though the Russell 2000 was down by over 1%), the US Dollar was slightly higher versus most major currencies and Treasury yields, after rising yesterday, fell by about the same amount today.
One exception to what seemed like an otherwise quiet day was Natural Gas futures prices again which were up by another 7.6% in mid-afternoon trading. As we’ve discussed here in the Key Takeaways section, Nat Gas prices were already trading near multi-year high levels. To underscore the current price and volatility levels, we used QuikStrike data to graph October Natural Gas each year since 2011. As you can see by the dotted red line which represents the current levels, the price has never been this high at this time year and only in one other year was implied volatility this high. Further, as you can see in the lower graph, which represents the 25 Delta Risk Reversal (Call Volatility minus Put Volatility), October Calls haven’t traded this high relative to Puts in any year since 2011 with similar days until expiration.