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Natural gas market is skittish

Natural gas market seems very nervous with vol remaining relatively high even when prices drop and going up fast on any weather based price rally. This is apparent in the intraday price and vol action over Monday & Tuesday

 
Given the tight range we have been, realized vol is clearly not paying, but no one wants to sell it here as well

April call options have been difficult to buy as seen in the call-put skew which seems to go up every time we sell off

  • The reasons for this are clear
 
  • SND is tight and production is down significantly. Hence, any weather runs lead to market promptly going higher
 
  • However, the LNG overhang and all the LNG markers making new lows is not letting it rally either. Many traders think that we are going to make new lows in shoulder months
 
  • JKM is below $4.00 till October. China virus and LNG situation not helping and Europe is 70% full vs 50% even last year for early Feb
 
  • Vol remains high and market remains nervous as there is interest in both puts and calls in wingy 2-2.25 calls in the front and 1.50 puts mid-summer

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