ICE TTF Margin Cut Again as Volatility Falls

ICE has cut the margin requirements on European front-month TTF gas by another 19% as price volatility falls amid healthy winter supply, high gas storage and muted demand assisted by mild weather.

• The fourth cut since October takes the initial margin rate down to 8.67€/MWh.
• The changes are effective from close of business Tuesday 13th February 2024 and will be reflected in margin calls made on Wednesday 14th February 2024 according to an ICE notice.
• TTF second month implied volatility is down to the lowest since Jun 2021 at 63.15% as front month futures have fallen to the lowest since July.
• Based on the withdrawal rates from the last ten years from now until the end of March the EU storage level is likely to fall to between 43.8% and 61.3% and remain above the previous five year end of season average.
• Front month continues to trade below summer with Mar 2024 - Sum 24 spread holding around -0.61€/MWh. The Sum 24 – Win 24 spread is today at -3.8€/MWh from as narrow as -3.4€/MWh last week while the Sum24-Sum25 spread is today at -1.4€/MWh.
  • TTF MAR 24 down -3.5% at 26.18€/MWh
  • TTF SUM 24 down -3% at 26.77€/MWh
  • TTF WIN 24 down -1.3% at 30.58€/MWh
  • TTF SUM 25 down -0.7% at 28.2€/MWh