- 21 Sep 2020
- By CME Group
Noteworthy insights, trends, and tools
- Record Henry Hub screen volume in 2020 YTD of 58K contracts per day
- Growth driven by RFQ strategies – 56% of all screen volume in 2020
- Open interest in Henry Hub options of 3.2M contracts – highest since 2015
- Henry Hub August 2020 implied volatility has averaged 57%, nearly double the previous three-year seasonal average of 30%. As volatility accelerates into winter months, LN on·-screen trading is liquid and fast around the clock.
- Dutch TTF Natural Gas options have also seen a meaningful uptick in open interest, now on over 86K.
Analyze the volatility across the term structure to manage risk going into a volatile winter trading season.
Calendar Spread options, or CSOs, are options on the spread between two futures contract months, rather than a single underlying contract month. Using CSOs in the volatile winter season provides a leveraged means of hedging against a change in the shape of a futures term.
Direct trading
CME Direct now offers new Directed Request-For-Quote (DRFQ) which revolutionizes the process for privately negotiated transactions, providing technology to optimize block trading in futures and options.
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