據(jù)管道&天然氣網(wǎng)站1月10日報道，美國天然氣期貨價格波動，無論是隱含的還是歷史性的，都在2022年創(chuàng)下歷史新高，由于供應(yīng)中斷和地緣政治沖突引起的制裁導(dǎo)致全球價格飆升，推動了對美國出口的需求。

這種極端波動在2023年的第一個交易日繼續(xù)存在，天然氣NGc1期貨下跌超過10%，至10個月低點。

去年，美國自由港液化天然氣公司(Freeport LNG)位于得克薩斯州的液化天然氣(LNG)出口工廠在6月份發(fā)生爆炸后關(guān)閉，導(dǎo)致市場波動加劇。它的重啟被推遲了幾次：從10月到11月，然后到12月，現(xiàn)在到1月下半月。

天然氣期貨NGc1隨著有關(guān)自由港的每一條新消息而漲跌，因為一旦該工廠恢復(fù)運營，天然氣需求將飆升。美國自由港每天可以將約21億立方英尺的天然氣(約占美國日產(chǎn)量的2%)轉(zhuǎn)化為液化天然氣。

決定期權(quán)溢價的30天隱含波動率NGATMIV在2022年平均為80.6%。

這超過了2009年68.6%的年度紀錄，而2021年為53.6%，五年(2017—2021年)的平均水平為44.5%。

按日計算，隱含波動率在2022年11月創(chuàng)下132.6%的歷史新高，在2019年4月創(chuàng)下18.6%的歷史新低。

市場使用隱含波動率來估計未來可能的價格變化。像美國天然氣這樣流動性強、波動性大的市場，給投資者提供了很多快速賺錢(和快速賠錢)的機會。

與此同時，2022年歷史或?qū)嶋H30天收盤的波動率平均為92.7%。

這超過了1996年75.0%的年度紀錄，而2021年為50.7%，五年(2017—2021年)的平均水平為47.2%。

按日計算，歷史波動率在2022年2月創(chuàng)下177.7%的歷史新高，在1991年6月創(chuàng)下7.3%的歷史新低。

郝芬 譯自 管道&天然氣雜志網(wǎng)

原文如下：

US Natural Gas Price Volatility Hit Record Highs in 2022

U.S. natural gas futures price volatility, both implied and historic, hit record highs in 2022 as global prices spiked due to supply disruptions and sanctions linked to the war , feeding demand for U.S. exports.

That extreme volatility has continued on the first trading day of 2023 with futures NGc1 down over 10% to a 10-month low.

Last year, volatility rose on the shutdown of Freeport LNG's liquefied natural gas (LNG) export plant in Texas after an explosion in June. Its restart was delayed several times: from October to November, then to December and now to the second half of January.

Gas futures NGc1 rise and fall on every new piece of news about Freeport because gas demand will soar once the plant returns. Freeport can turn about 2.1 billion cubic feet per day of gas - about 2% of U.S. daily production - into LNG.

At-the-money 30-day implied volatility NGATMIV, a determinant of an option's premium, averaged 80.6% in 2022.

That topped the previous annual record of 68.6% in 2009 and compares with 53.6% in 2021 and a five-year (2017-2021) average of 44.5%.

On a daily basis, implied volatility hit a record high of 132.6% in November 2022 and a record low of 18.6% in April 2019.

The market uses implied volatility to estimate likely price changes in the future. A liquid and volatile market like U.S. gas gives investors lots of opportunities to make (and lose) money quickly.

Historic or actual 30-day close-to-close volatility, meanwhile, averaged 92.7% in 2022.

That topped the previous annual record of 75.0% in 1996 and compares with 50.7% in 2021 and a five-year (2017-2021) average of 47.2%.

On a daily basis, historic volatility hit a record high of 177.7% in February 2022 and a record low of 7.3% in June 1991.