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Trading natural gas futures

  #201 (permalink)
 
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 vmodus 
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SMCJB View Post
NG Margin increase effective COB August 6th, 2021

Maintenance margin's increasing as follows (Note: Non-member initial margin rates will be 110% of these)

Tier 1 / Sep21 from $2475 to $2700 +$225 +9.1%
Tier 2 / Oct21 from $2350 to $2550 +$200 +8.5%
Tier 3-7 / Nov21-Mar22 from $2200 to $2400 +$200 +9.1%
Tier 8-14 / Apr22-Oct22 from $1000 to $1100 +$100 +10%
Tier 15-19 / Nov22-Mar23 from $900 to $1000 +$100 +11.1%

https://www.cmegroup.com/notices/clearing/2021/08/Chadv21-271.html

Yeah, kind of expected given the tear NG has been on.

~vmodus

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  #202 (permalink)
 
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 WoodyFox 
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SMCJB View Post
NG Margin increase effective COB August 6th, 2021

Maintenance margin's increasing as follows (Note: Non-member initial margin rates will be 110% of these)

Tier 1 / Sep21 from $2475 to $2700 +$225 +9.1%
Tier 2 / Oct21 from $2350 to $2550 +$200 +8.5%
Tier 3-7 / Nov21-Mar22 from $2200 to $2400 +$200 +9.1%
Tier 8-14 / Apr22-Oct22 from $1000 to $1100 +$100 +10%
Tier 15-19 / Nov22-Mar23 from $900 to $1000 +$100 +11.1%

https://www.cmegroup.com/notices/clearing/2021/08/Chadv21-271.html

@SMCJB

Do you have the date for tier 1 jump from 2050 to 2475. NG went from 2000 to 2050 on 5/18/2021...but somehow I missed the date for 2475 jump?

CME does not list it on the historical Margins list yet? That I can find.

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  #203 (permalink)
 
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 SMCJB 
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@WoodyFox

effective COB June 30th Tier 1 / Aug21 from $2050 to $2250 +$200
https://www.cmegroup.com/notices/clearing/2021/06/Chadv21-230.html

effective COB July 23rd Tier 1 / Aug21 from $2250 to $2475 +$225
https://www.cmegroup.com/notices/clearing/2021/07/Chadv21-259.html

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  #204 (permalink)
 
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 WoodyFox 
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SMCJB View Post
@WoodyFox

effective COB June 30th Tier 1 / Aug21 from $2050 to $2250 +$200
https://www.cmegroup.com/notices/clearing/2021/06/Chadv21-230.html

effective COB July 23rd Tier 1 / Aug21 from $2250 to $2475 +$225
https://www.cmegroup.com/notices/clearing/2021/07/Chadv21-259.html

Well I guess I missed two? Sleeping at the wheel...

Thanks,

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  #205 (permalink)
 
SMCJB's Avatar
 SMCJB 
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NG Margin increase effective COB August 31st, 2021

Maintenance margin's increasing as follows (Note: Non-member initial margin rates will be 110% of these)

Tier 1 / Oct21 from $2700 to $3150 +$450
Tier 2 / Nov21 from $2550 to $3000 +$450
Tier 3-6 / Dec21-Mar22 from $2400 to $2850 +$450
Tier 7-13 / Apr22-Oct22 from $1100 to $1300 +$200
Tier 14-18 / Nov22-Mar23 from $1000 to $1100 +$100

https://www.cmegroup.com/notices/clearing/2021/08/Chadv21-300.html

Note with the expiration of Sep last week,
- Oct moved from Tier 2 to Tier 1. So effectively Oct went from $2550 to $2700 on Fri 27th and then from $2700 to $3150 on Tue 31st for a total change of $600 or 23.5% in 3 trading days!
- Similarly Nov moved out of the Winter/Tier 3-7 grouping and into Tier 2. So effectively Nov went from $2400 to $2550 on Fri 27th and then from $2550 to $3000 on Tue 31st for a total change of $600 or 25% in 3 trading days!

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  #206 (permalink)
bob666s
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I got 3,524~ for end of season storage estimate, and Nov.21 fair value at about 3.8~
Details, graphs related to the estimate, calculations are posted here https://bastion.substack.com/p/ngx-fair-valuation

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  #207 (permalink)
 
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 SMCJB 
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@bob666s the ICE end of season futures contract is 3495/3530 this morning with a settlement of 3510 last night, so very close to what you have.

Doesn't trade that often. Traded 3495 last Friday and 3490-3500 last Thursday. Prior to that hadn't traded since Aug 6th (which was 3510).

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  #208 (permalink)
 
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 SMCJB 
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NG Margin increase effective COB September 2nd, 2021

Maintenance margin's increasing as follows (Note: Non-member initial margin rates will be 110% of these)

Tier 1 / Oct21 from $3150 to $3500 +$350
Tier 2 / Nov21 from $3000 to $3400 +$400
Tier 3-5 / Dec21-Feb22 from $2850 to $3300 +$450
Tier 6 / Mar22 from $2850 to $3100 +$250
Tier 7 / Apr22 from $1300 to $1450 +$150
all others unchanged.

https://www.cmegroup.com/notices/clearing/2021/09/Chadv21-304.html

Interesting they didn't raise Mar inline with the rest of the winter and that they raised April but not the rest of the summer.

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  #209 (permalink)
bob666s
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SMCJB View Post
@bob666s the ICE end of season futures contract is 3495/3530 this morning with a settlement of 3510 last night, so very close to what you have.

Doesn't trade that often. Traded 3495 last Friday and 3490-3500 last Thursday. Prior to that hadn't traded since Aug 6th (which was 3510).

yeah i keep an eye on that too. latest estimate based on that settlement is at 3.84~ for NGx21

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  #210 (permalink)
 
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 SMCJB 
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NG Margin increase effective COB September 10th, 2021

Maintenance margin's increasing as follows (Note: Non-member initial margin rates will be 110% of these)

Tier 1 / Oct21 from $3500 to $4100 +$600 / +17%
Tier 2 / Nov21 from $3400 to $4050 +$650 / +19%
Tier 3-5 / Dec21-Feb22 from $3300 to $3950 +$650 / +20%
Tier 6 / Mar22 from $3100 to $3550 +$450 / +15%
Tier 7 / Apr22 from $1450 to $1800 +$350 / +24% (!!!)
Tier 8 / May22 from $1300 to $1500 +$200 / +15%
Tier 9-13 / Jun22-Oct22 from $1300 to $1400 +$100 / +8%
Tier 14-18 / Nov22-Mar23 from $1100 to $1300 +$200 / +18%
Tier 19-30 / Apr23-Mar24 from $750 to $800 +$50 / +7%
all others unchanged.

https://www.cmegroup.com/notices/clearing/2021/09/Chadv21-317.html

And it hasn't even started getting cold yet!

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