Long term natural gas implied vol chart…

by Jim Colburn • Thursday, November 15, 2018

This is my own data series based on at the money options, using the second nearby option… January settled at 100.8 yesterday:

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Natural gas implied vol hits 100…

by Jim Colburn • Thursday, November 15, 2018

Here is a snapshot from barchart.com which shows implied volatility settling at 100.3 for the Jan contract!

 

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A tale of two skews…

by Jim Colburn • Wednesday, November 14, 2018

Natural gas and crude oil prices are moving in opposite directions… in a hurry… Implied vol for both have moved up sharply, with natural gas settling yesterday at 68.8 and crude oil at 47.7… Both of these were trading at around 25 in October…  Using the CME’s Option Settlement Tool, here, we get a sense of how out of the money puts trade relative out of the money calls by looking at the skew… The skew is the difference between the implied volatilities of higher strikes vs. lower strikes… In crude oil, producers like Mexico, buy puts as price insurance… This causes out of the money puts to trade at higher vols than out of the money calls…  Here is a snapshot of oil and natural gas implied vols across strikes… Note that oil is very skewed toward the puts and in natural gas the skew is toward the calls… For example the the $3.50 strike settled at 62.5 while the $4.80 call settled at 75.5… In crude, the $51 put settled at 52.7, the $61 call at 42.1… Theoretically, if the options model from which we calculate implied vol were a true depiction of reality, implied vol across strikes would be the same…

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Updated vol chart, WTI…

by Jim Colburn • Wednesday, November 14, 2018

Implied volatility shot higher yesterday… This chart uses settlement data from at the money, second month options…

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Record option volume in crude oil…

by Jim Colburn • Wednesday, November 14, 2018

The CME shows a whopping 702,918 WTI crude oil options trading yesterday, which (by my records) breaks the previous record of 579,935 on November 30th, 2016!!!  Put volume dominated with 451,251 trading vs. 251,667 calls…  December puts were very active which makes sense as these go off today…  Open interest increased more in calls (69,512) than in puts (37,436)… And most surprisingly, the most active call was the Dec2020, $100c!  Implied vols exploded to 47.7, up from 32.6 (basis atm, Jan)…   Here is the CME’s Most Active Strike tool with details:

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The IEA piles on…

by Jim Colburn • Wednesday, November 14, 2018

This morning’s release of the International Energy Agency’s Monthly Oil Report, here, shows what OPEC and the U.S.’s Energy Information Administration  already reported in their monthly reports for November (OPEC’s monthly report is here, the EIA’s is here)…

This is from the IEA’s summary:

“In last month’s Report, we noted that since the middle of the year oil supply had increased sharply, with gains in the Middle East, Russia and the United States more than compensating for falls in production in Iran, Venezuela and elsewhere. New data show that the pace has accelerated, and this higher output, in combination with Iranian sanctions waivers issued by the US and steady demand growth, implies a stock build in 4Q18 of 0.7 mb/d. Already, OECD stocks have increased for four months in a row, with products back above the five-year average. In 1H19, based on our outlook for non-OPEC production and global demand, and assuming flat OPEC production (i.e. losses from Iran/Venezuela are offset by others), the implied stock build is currently 2 mb/d.

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Some selected charts from OPEC’s Monthly Oil Market Report….

by Jim Colburn • Tuesday, November 13, 2018

OPEC’s Monthly Oil Market Report, here, was released this morning… Here are some interesting charts taken from it:

This is the well reported story of non-OPEC production growth in chart form…

At the end of October, the US’s EIA revised oil production in August by almost 400,000 bpd!

Note that the Permian is up almost 1 million bpd, estimated, in 2018 (we’ll give this 2 !!)…

Russia’s liquids suppply in a picture…  It may be difficult for OPEC to get them to cut back…

Note the UAE’s sharp increase… Venezuela continues to decline… Libya is over a million two moths in a row:

The call on OPEC oil for 2019 is 31.5, current production is 32.9…

Prices have responded (barchart.com):

 

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OPEC revises 2019 demand for its oil down sharply…

by Jim Colburn • Tuesday, November 13, 2018

Andy talked about this in our latest podcast recorded last Friday… Here is Bloomberg’s Alex Longley:

“Global appetite for the group’s crude will be about 31.5 million barrels a day next year, OPEC said. That’s 500,000 barrels a day lower than its forecast just two months ago and about 1.4 million below current production.”

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WTI options volume heavy… CME

by Jim Colburn • Saturday, November 10, 2018

Using the CME’s Most Active Strikes tool, here, we see that the Dec 60 put was most active on Friday with over 15,000 trading, on a very active day… Total volume was around 330,000, a big number… I show a record volume of 579,935 on November 30th, 2016…  Year to date volume is around 170,000…  Dec 60 puts were most active with over 15,000 trading (net liquidation of 6,151)…  Dec options go off on the 14th of November… Implied vols are now up to 33.1 based on the second nearby option (Jan)… (by the way, natural gas implied vol is up to 54.7, also basis Jan)…

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Oil exports from Iran… WSJ

by Jim Colburn • Friday, November 9, 2018

The Wall Street Journal’s “The Daily Shot”, here, has a nice chart showing which importing countries were granted waivers:

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