NG natgas play on curve .....

Discussion in 'Energy Futures' started by cdcaveman, Apr 18, 2013.

  1. just a thought here.. this was a rather extreme move up.. looking to use a bull or bear calender spread in the futures to take a longer and shorter term position in the futures... basically 1 thought is to fade the current move in the front and go long in the back.. i have a little understanding of the differential between summer and winter months.. i've been looking at


    M13/Z13 which is the jun 13/dec 13 calender spread...
    (that would be selling jun and buying dec, if you were going long a calender which is esentially a bear spread.)
    i thought buying winter month against selling the summer would be a good proxy to short this move.. any thoughts..

    Z13/M14 which is a dec 13/ jun 14 calender spread..

    ( this is long the front , short the back,....... i'm not sure but could you sell this spread to offset your risk in the first?)
     
  2. quoting you here from the CL thread..

    i actually was talking about futures contracts.. instead of options here.. but options could be used although it would be a different play with the strike risk involved in buying options calenders..
     
  3. i see no one knows anything about playing energy curves?
     
  4. current curve.. .
    [​IMG]
     
  5.  
  6. sorry for the double post.. here is the call skew.. and the average of the put and calls


    call skew


    [​IMG]


    here is the call/put smirk by call and put average

    [​IMG]
     
  7. very interesting stuff. Would this help determine a reasonable price to pay for an option that is far out like nov or december?
     
  8. i mean in general it does b/c you can see the trend of the spread (if only brian hunter would have followed the trend when he blew up at amaranth) and the other chart of IV shows which months are more expensive and which strikes. i'd stick w/ ATM options in general as opposed to taking a flier on a OTM unless it's a small % of capital and you have some reason to think there will be a huge move before expiry.
     
  9. you ever trading calenders with options on these kind of futures?
     
  10. no i was just saying.
     
    #10     Apr 24, 2013