Here is a long term chart of natural gas implied volatility…. I track mostly the second nearby, at the money option… The data go back to June of 1993, but I don’t think that was the first trading day… Note the three biggest spikes were due to cold snaps around low storage levels… In November 2018, heating degree days were +14% vs. the 10 year average, storage was 19% less than the 5 year average… Implied vol spiked to 119… Vol reached a record 140 on 12/11/2000 due to a cold November and early December (degree days +28% from the previous year which caused storage levels to reach record lows)…. (degree day info is from archived EIA’s Short Term Energy Outlook)…
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