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NATURAL GAS
TTF options implied volatility has risen this week amid European LNG supply risks from the Red Sea disruption with vessels diverting to avoid the region and despite no evidence yet of shortages.
- TTF second month futures implied volatility has risen from between 81.5% and 84% in the first half of December up to the highest since early November at 89.9% yesterday according to Bloomberg based on ICE data.
- The volatility increase reflects the ongoing market sensitivity to supply disruptions as well as cold weather amid upside price risk.
- TTF volatility had seen a gradual trend lower in the second half of 2023 although with within day price swings from several risk events in the period such as Norway maintenance, Australian LNG strikes and the start of the Israel-Hamas war. TTF front month futures have however maintained a bearish trend since mid October amid healthy supplies, high storage and muted demand.
- TTF JAN 24 up 4% at 33.88€/MWh
- TTF Q1 24 up 3.8% at 34.08€/MWh
- TTF SUM 24 up 3.5% at 34.02€/MWh
- TTF WIN 24 up 2.6% at 39.15€/MWh
Source: Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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