Valor View – NG – Sep 25 – Opex Pin at $3.00 & Record Volume

Opex Overview

• 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