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Selling Options on Futures?
Started:July 19th, 2011 (06:16 PM) by ron99 Views / Replies:570,021 / 5,734
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Selling Options on Futures?

Old December 13th, 2013, 11:53 AM   #2581 (permalink)
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Thanks for that Ron. I remember at least in California that 2009/2010 winter was particularly cold. That move was about $1.5 top to bottom with some $0.50 days during the first week of December. Volatility adjusted that is about a $1 move in today's market. That is why this particular move seems overcooked - this year's weather is certainly no colder than 2009/2010 winter. Perhaps there is less supply?

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Old December 13th, 2013, 12:04 PM   #2582 (permalink)
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Actually peak NG in storage and NG inventory for current week are the same now as they were Dec 2009. What happened then was the next 7 weeks inventory did this.
-207, -166, -124, -153, -158, -266, -245

Right now the long term forecasts do not have that much cold predicted.

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Old December 13th, 2013, 12:09 PM   #2583 (permalink)
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NG futures OI dropped by 3,887 yesterday.

So that would figure that the buying to exit losing short contracts was sold by people thinking we are near a top and are adding short contracts.

Of course they could be wrong. Or they could be correct.

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Old December 13th, 2013, 12:29 PM   #2584 (permalink)
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The last 30 days have been cold.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Now you do have to figure the temps where NG is used. It is not equal across the US.

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United States map of U.S. Natural Gas Consumption by State, 2009 by State - TargetMap

Kansas thru the Dakotas was real cold but they don't use much NG.

Here the same consumption map for 2010.
http://www.targetmap.com/viewer.aspx?reportId=14529


Last edited by ron99; December 13th, 2013 at 12:35 PM.
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Old December 13th, 2013, 12:42 PM   #2585 (permalink)
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ron99 View Post
SMCJB, Do I have this correct?
Henry prices come out in am?

Pipeline nomination deadlines vary by pipeline, but in most cases are late morning/midday for day ahead nominations. Hence physical positions need to be traded and flattened before that time. (You have to be flat unless you have access to storage). So the next day physical trading mostly occurs early morning.

Platts Gas Daily publication publishes index's for dozen's of physical locations. These are published the following day. Hence Platts Gas Daily for today the 13th, shows index prices for the 13th, which were actually traded on the 12th. Since the physical gas often trades on ICE, ICE have a good estimate of where the index's will be on the day they trade based upon actual trading. Hence by looking at the ICE reports for the 12th we can see what we expect Gas Daily to publish in their report on the 13th. A physical trader would obviously be able to the see VWAP as the day progress's but I do not have access to that. I'm not sure what time ICE publish's their day ahead index's but I receive mine by email at approximately 2pm Central. They may be available earlier though.

So APPROXIMATE timing
Dec 12th 7am-10am, Physical Trading for delivery 13th
Dec 12th 11am-1pm, Pipeline nominations for delivery 13th
Dec 12th 2pm, ICE publishes index estimates for for delivery 13th (ie settlement estimates)
Dec 13th, Gas Daily publishes actual indexs for for delivery 13th (ie actual settlements)

Note there are a lot of different financial derivatives that settle against the Gas Daily published Index's.


ron99 View Post
Henry
Trade Date___Begin Date__End Date___Ave___Fut__Fut Date
Jan 11, 2013 Jan 12, 2013 Jan 14, 2013 3.1843 3.327 1/11/13
Jan 14, 2013 Jan 15, 2013 Jan 15, 2013 3.3845 3.373 1/14/13

On 1/10 NG futures settled at 3.193.
Henry prices came out the am of 1/11 at 3.1843 AVE.
Futures that day settled at 3.327.
Monday am Henry went up to 3.3845 and futures settled that day at 3.373.

I see the same pattern through the year. See attached spreadsheet.

Looks like futures lead Henry higher.

I agree with your prices but I'm not sure I understand your conclusion.
Your effectively comparing a 10am price with a 1:30pm.
If you compare the change in each price you have 10am-10am and 1:30pm-1:30pm.
It's apples and oranges, or at least Granny Smiths and Golden Delicious :-)

(Note: Maybe obvious but the reason Jan 11th's physical is for Jan 12-14 is because that is a Friday and they are trading the Sat-Mon package).

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Old December 13th, 2013, 12:57 PM   #2586 (permalink)
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SMCJB View Post
I agree with your prices but I'm not sure I understand your conclusion.
Your effectively comparing a 10am price with a 1:30pm.
If you compare the change in each price you have 10am-10am and 1:30pm-1:30pm.
It's apples and oranges, or at least Granny Smiths and Golden Delicious :-)

(Note: Maybe obvious but the reason Jan 11th's physical is for Jan 12-14 is because that is a Friday and they are trading the Sat-Mon package).

I am comparing the Thu Jan 10th 1:30pm CT futures price of 3.193 with the 10amCT Jan 11th Henry price of 3.1843 with the NG futures price at 1:30 CT of 3.327.

The Friday Henry price is about the same as the Thu futures price.

The Monday Henry price is about the same as the Fri futures price.

The futures price moved up first then Henry followed.

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Old December 13th, 2013, 01:05 PM   #2587 (permalink)
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ron99 View Post
NG futures OI dropped by 3,887 yesterday.

So that would figure that the buying to exit losing short contracts was sold by people thinking we are near a top and are adding short contracts.

Of course they could be wrong. Or they could be correct.

You could be 100% right but it could also just be the black box's arbing NYMEX vs ICE.
In the last two weeks, (ie during this rally), the NG-ICE spread has widen from 2 ticks to 5-6 ticks.
I believe this is a function of front strength/buying/momentum in NG and back end selling on ICE.
Yesterdays OI change could just be a function of the black box's having been NG sellers, ICE buyers yesterday (or even NYMEX NN or HH buyers)
Is there anyway to see ICE's OI. I just looked at their report center but couldn't see it. What would be interesting would be to see NG+ICE combined, well actually nym(NG+NN+HH)+ice(Henry) combined.

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Old December 13th, 2013, 01:15 PM   #2588 (permalink)
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SMCJB, are you looking for

Category=End of Day Report
Market=ICE Futures US-Energy Division
Report=DMR IFED Futures?

Which contract would you look at?

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Old December 13th, 2013, 01:20 PM   #2589 (permalink)
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eudamonia View Post

Therefore, I believe it is highly likely that at worst we may see $4.9 this year. That may seem very scary. However, it would need to happen before Christmas. It would require a straight rise in the NG market of $0.5 this week which would actually be unprecedented (even 2006 required pullbacks to achieve it's high in December). Therefore, it is very highly unlikely.

Cheers for the TA.

Out of interest why do these moves have to happen before xmas / this week?

Using TA i see prices potentially nudging up to 4.9, its a trend & you know what they say about them, i just dont get the deadlines you have noted with re to post Xmas/pre NY volumes (across many instruments) are often v low & if participants have business to do pre year end, then price & or volatility can move.

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Old December 13th, 2013, 01:25 PM   #2590 (permalink)
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Hey tech traders. How over bought is NG now?

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