Another exciting day in the life of natural gas traders. Not
No explosive moves for V on Opex. Though, V did try to pin $3.00 many times through out the day
Nov straddle has already started to being sold. Just collect theta in the front and bid up everything else
Interesting day with huge volume. CME volumes broke 250k across screen and OTC
CME OTC also broke through 100k lots with the majority of volume in Nov and Dec contracts
Put Volume
Over 60% of the volume was on puts with $2 handle strikes active in Nov and Dec
Call Volume & OI
On the call side $5 to $8 calls were also active
This interest in both puts and calls can be seen in the trade volumes and vol/skew moves
Let me explain
On one hand, as V expiry gets closer and closer, people ramped up their "put buying" as the down move seems imminent to them
X 2.75/2.5 1x2 ps traded 0.014~ for good size
People also spent a tic or two on Z 2.75/2.50 1x2 put spreads
But on the other hand, Skew has been continuously moving the calls
Look at the ZG call skew so much higher from last month and just on a continuous uptrent
Put skew has been hit as well
Skew Analysis
This is today's skew heatmap (command: skewch ng)
Bid in calls everywhere, and selling of the puts. Nov vol is also being sold to pay for the forward vol
Skew is also one for one with last year and both the charts show, this can continue for some time going into winter
Seasonal Vol & Breakevens
Seasonally, ZG vol is kind of just following last year's pattern
However, last year was much lower prices and breakeven wise, this is highest we have seen in the last few years. So, nothing cheap about this vol
Especially when you look at the realized vol being nothing and and pathetic 30-day range. But, market doesnt care right now. WoW, Dec is up 3.5% & Jan-Feb are up 2.5% on literally very less volume
It continues to rise up like hot air with lack of sellers
Outlook
One way or another we need to start moving soon, if this hot air vol needs to keep rising higher
