NATGAS: TTF Volatility Contineus to Drift Lower Amid Stable Fundamentals

TTF volatility continues to fall during July to the lowest since May 2021 amid steady market fundamentals and building gas storage ahead of the coming winter.

• European markets remain sensitive to unplanned supply disruptions and weather risks despite sluggish industrial consumption. Potential supply disruptions include Norwegian outages, increased LNG competition from Asia and Russian gas flow risks with the Ukraine transit contract expiry at year end.
• European gas consumption continued to decline in H1 2024, primarily due to collapsing gas-to-power demand with the rapid expansion of renewables, IEA said.
• A cold winter 2024/2025 would boost demand by 20-25bcm compared to an average, particularly in NW Europe, but the European market is ready for winter, according to OIES.
• Implied volatility has almost halved since the start of the year with second month implied volatility falling to a low of 51.2% on July 19.
• ICE Endex TTF aggregate open interest remains strong at 1.96m and just below the high of the year reached in May and June.
• ICE TTF daily aggregate traded futures volumes have averaged below normal at 202k lots per day this week compared to an average of 224k so far in July and 274k per day during June.
  • TTF AUG 24 down 0.8% at 31.59€/MWh
  • TTF WIN 24 down 0.6% at 36.73€/MWh
  • TTF SUM 25 down 0.3% at 35.49€/MWh