Noteworthy insights, trends, and tools
Noteworthy insights, trends, and tools
Liquidity meets volatility: Natural Gas options
- 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.
QuikStrike Volatility Term Structure Tool
Analyze the volatility across the term structure to manage risk going into a volatile winter trading season.
September 2020 product focus: Natural Gas Calendar Spread options
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.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
