How to calcualting Volatility for Power & Gas prices

Discussion in 'Technical Analysis' started by Bhavin Doshi, Jun 8, 2011.

  1. Hi All,

    I am looking for the information on calculating the volatility for Gas months, quarters & season prices.

    I am trying to develop a chart which will display the gas mark to market costing for a specific contract period along with the volatility range. Normally the M2M should remain within the volatility range.

    The chart will also display the risk client is willing to take on this portfolio and there is a budgeted cost provided by client.

    I am currently struggling to calculate the volatility. Do I need to find the correlation between the closing prices for each month, quarter & season?

    I am also attaching the image of chart I am trying to achieve.

    Many thanks in advance.

  2. Ask your question over at :cool:
  3. ==============
    Well frankly I would want to chart/graph'' months, quarters, seasons'' as you say and decades of those months myself.....

    Keltner channels, [20 period, but client may want something different, fine]do a great job of that;
    months.................................... Most any good chart service has them, time [months]. same chart,keltner channels seemed more readable than most.
  4. bone

    bone ET Sponsor



    Continuous contract (consolidated), Historical Vol study on 20 periods