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Search: Posts Made By: CafeGrande
Forum: Commodities February 20th, 2014, 03:04 PM
Replies: 95
Views: 23,287
Posted By CafeGrande
The good news is they responded promptly. The bad...

The good news is they responded promptly. The bad news is the price. The EOD report for gas only that includes three major sections (the INDICIES, ACTIVITY and DEALS tabs) is 1500 buckaroos per month...
Forum: Commodities February 20th, 2014, 08:54 AM
Replies: 95
Views: 23,287
Posted By CafeGrande
Thank you. If it's of benefit to others, the...

Thank you. If it's of benefit to others, the DMR-IFED report is a huge pdf full of tables for gas, electricity and the kitchen sink. As far as I know, you can't filter it by commodity or trade type...
Forum: Commodities February 19th, 2014, 09:01 PM
Replies: 95
Views: 23,287
Posted By CafeGrande
Hi - Are those Balmo figures available only to...

Hi - Are those Balmo figures available only to those with a paid subscription to one of the ICE data products? I can get a summary report of the ICE day-ahead market, but summary reports for the...
Forum: Commodities February 17th, 2014, 01:06 PM
Replies: 95
Views: 23,287
Posted By CafeGrande
That's for sure. Couple of data points, which...

That's for sure. Couple of data points, which exclude the ICE, OTC and non-vanilla stuff mentioned above:

Current open interest for NYMEX NG American style options is 369K. 226K of them are March....
Forum: Commodities January 29th, 2014, 04:35 PM
Replies: 95
Views: 23,287
Posted By CafeGrande
95 cents inverse/backwardation. Might get there...

95 cents inverse/backwardation. Might get there this afternoon or in the overnight session.
Forum: Commodities January 29th, 2014, 03:37 PM
Replies: 95
Views: 23,287
Posted By CafeGrande
Do you know if things are getting better? They've...

Do you know if things are getting better? They've added a lot of delivery points and did something with storage rates in wheat (SRW), but I don't know if the changes have helped.
Forum: Commodities January 29th, 2014, 03:27 PM
Replies: 95
Views: 23,287
Posted By CafeGrande
Good point. With HH cash at a significant premium...

Good point. With HH cash at a significant premium to Feb futures it seems like something had to give by 2:30 pm ET today. I'm sure there were some games, along with some panic buying, but unless NG...
Forum: Commodities January 28th, 2014, 11:08 AM
Replies: 95
Views: 23,287
Posted By CafeGrande
To clarify, this is the IV for a 700C. The mean...

To clarify, this is the IV for a 700C. The mean for the ATM IV is significantly lower.

The recent IV mean of 46% for a strike this far out of the money is kind of high over the last three years...
Forum: Commodities January 28th, 2014, 10:41 AM
Replies: 95
Views: 23,287
Posted By CafeGrande
NGH4, 700C, six month history of implied...

NGH4, 700C, six month history of implied volatility vs. underlying futures price, most recent markers are for Mon Jan 27 close.

It's too early for a post-mortem because the patient is alive ......
Forum: Commodities January 25th, 2014, 05:00 PM
Replies: 95
Views: 23,287
Posted By CafeGrande
Natural Gas ATM IV term structure (some people...

Natural Gas ATM IV term structure (some people call it time skew) - constant maturity, American style exercise.

Data source: Ivolatility.com; chart: mine
Forum: Commodities January 25th, 2014, 04:35 PM
Replies: 95
Views: 23,287
Posted By CafeGrande
In one day, a 44.5% increase in Mar Natural Gas...

In one day, a 44.5% increase in Mar Natural Gas ATM implied volatility. An extreme move for sure and perhaps unprecedented.

FWIW, ATM IV in Feb doubled in a day (from about 46% to 106-108%, but...
Forum: Commodities January 20th, 2014, 08:49 PM
Replies: 95
Views: 23,287
Posted By CafeGrande
Small chart, big message from a Friday, January...

Small chart, big message from a Friday, January 17 EIA report (http://www.eia.gov/todayinenergy/detail.cfm?id=14651):
Forum: Commodities January 16th, 2014, 06:47 PM
Replies: 95
Views: 23,287
Posted By CafeGrande
Nice chart, esp. the volume-by-price histogram or...

Nice chart, esp. the volume-by-price histogram or whatever it's called. Has that feature existed in IB for a long time or is it something new?
Showing results 1 to 13 of 13

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