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NATGAS: TTF Implied Volatility Rises Amid Middle East Risks

NATGAS
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TTF implied volatility has rebounded since late July amid price swings as the market assesses supply concerns due to risks of an escalation in Middle East tensions and despite steady market fundamentals and building gas storage.

  • Growing concerns that Iran is expected to retaliate for Israel’s killing of Hamas’ political leader in Tehran could impact gas output from Israel and LNG flows. The U.S. is urging countries to convey that "escalation is in no one's interest”, said a State Department spokesperson.
  • European markets remain sensitive to unplanned supply disruptions and weather risks ahead of Norwegian gas maintenance season starting later this month. 
  • Second month TTF implied volatility has rallied from a low of just below 49% on July 25 back up to pre 2021 historically high levels of 57.7% today but well below levels seen during 2022 and 2023.
  • ICE Endex TTF aggregate open interest is holding just below high levels seen at times since May at 1.955m today.
    • TTF SEP 24 up 2.9% at 36.55€/MWh

 

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TTF implied volatility has rebounded since late July amid price swings as the market assesses supply concerns due to risks of an escalation in Middle East tensions and despite steady market fundamentals and building gas storage.

  • Growing concerns that Iran is expected to retaliate for Israel’s killing of Hamas’ political leader in Tehran could impact gas output from Israel and LNG flows. The U.S. is urging countries to convey that "escalation is in no one's interest”, said a State Department spokesperson.
  • European markets remain sensitive to unplanned supply disruptions and weather risks ahead of Norwegian gas maintenance season starting later this month. 
  • Second month TTF implied volatility has rallied from a low of just below 49% on July 25 back up to pre 2021 historically high levels of 57.7% today but well below levels seen during 2022 and 2023.
  • ICE Endex TTF aggregate open interest is holding just below high levels seen at times since May at 1.955m today.
    • TTF SEP 24 up 2.9% at 36.55€/MWh

 

Keep reading...Show less