Wednesday, March 17, 2010

Natural Gas Straddles: Very High Number of Calls Traded for Tomorrow

Natural gas inventory reports will be published tomorrow AM. Here are straddles for March and April.

There will be only one day to expiration of the March contracts, so they are extremely risky. As shown, they need a 4%move. You will also notice that the 8 calls sell for 0.06 or so, which requires a relatively high number of contracts (167 for a 1k position). Today's volume so far is 7,160 call contracts (1:35PM), and just over 2k puts, which is really high. Aprils are 12,784 (and 11,000 puts)!

Computed with StraddlesCalc Tool

Please do your own due diligence. This is not advice. Options are very dangerous and may cause 100% loss.

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