september 2013 monthly energy review
TRANSCRIPT
A Global Trading Summary of Energy Markets
» Highlights
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September 2013
Monthly Energy Review
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ENERGY
Monthly Energy Review
1
ENERGY TRADING HIGHLIGHTS September 2013
Average daily volume for September 2013 Light Sweet Crude Oil futures was 556,958 contracts, compared with 556,420 during September 2012, an increase of 0.1 percent.
Average daily volume for September 2013 Light Sweet Crude Oil options was 108,063 contracts, compared with 145,611 during September 2012, a decrease of 25.79 percent.
Average daily volume for September 2013 Natural Gas futures was 287,062 contracts, compared with 382,771 during September 2012, a decrease of 25 percent.
Average daily volume for September 2013 NY Harbor ULSD futures was 119,225 contracts, compared with 148,044 during September 2012, a decrease of 19.47 percent.
Average daily volume for September 2013 RBOB Gasoline futures was 125,828 contracts, compared with 158,707 during September 2012, a decrease of 20.72 percent.
Average daily volume for September 2013 Brent Crude Oil Financial futures was 44,275 contracts, compared with 6,033 during September 2012, an increase of 633.88 percent.
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2
September 2013
Electronic/Pit
Ticker
Symbols Contracts
$ Notional
($ Millions) Contracts
$ Notional
($ Millions)
US$ Spot
Month Close
30-Sep-'13
US$/MT
Except
NG=US$/
Cubic Meter
30-Sep-'13
20-Day
Historical
Volatility
Light Sweet Crude Oil
Futures CL 556,958 $56,994 1,863,793 $190,722 102.33 $750.38 18.20%
Options LO 108,063 2,860,457
European Style
Options LC 1,145 153,063
Natural Gas
Futures NG 287,062 $10,219 1,277,417 $45,476 3.56 $0.13 23.34%
Options ON 10,629 165,506
European Style
Options LN 68,122 4,976,855
NY Harbor ULSD
Futures HO 119,225 $14,880 268,395 $33,497 297.15 $930.92 16.98%
Options OH 3,264 83,664
RBOB Gasoline
Futures RB 125,828 $13,889 231,518 $25,556 262.82 $941.67 24.14%
Options OB 1,935 32,901
DME Oman Crude Oil
Futures OQ 6,289 20,490
Brent Crude Oil Financial
Futures BZ 44,275 65,357 108.37 18.65%
PJM Financially Settled Electricity
Futures & Swap
Futures JM+L1* 140 46,631
Options JO+PML+6O* 664 269,852
* L1 is adjusted to JM contract size; PMLand 6O are adjusted to JO size.
Scorecard - Average Daily Volume and Open Interest Statistics
Average Daily Volume Open Interest
U.S. and Metric
Spot Price & Conversion
Monthly Energy Review
3
0
200,000
400,000
600,000
800,000
1,000,000
1,200,000
1,400,000
1,600,000
Co
ntr
ac
tsFutures - Average Daily Volumes
DME Oman Crude Oil Futures
Brent Crude Oil Financial Futures
RBOB Gasoline Futures
NY Harbor ULSD Futures
Natural Gas Futures
Light Sweet Crude Oil Futures
0
50,000
100,000
150,000
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250,000
300,000
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Co
ntr
ac
ts
Options - Average Daily Volumes
RBOB Gasoline Options NY Harbor ULSD Options
Natural Gas Options Light Sweet Crude Oil European Style Options
Natural Gas European Style Options Light Sweet Crude Oil Options
www.cmegroup.com/energy
4
0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
3,500,000
4,000,000
4,500,000
Co
ntr
ac
tsFutures - Open Interest
DME Oman Crude Oil Futures Brent Crude Oil Financial Futures
RBOB Gasoline Futures NY Harbor ULSD Futures
Natural Gas Futures Light Sweet Crude Oil Futures
0
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
12,000,000
14,000,000
16,000,000
Co
ntr
ac
ts
Options - Open Interest
RBOB Gasoline Options NY Harbor ULSD Options
Light Sweet Crude Oil European Style Options Natural Gas Options
Natural Gas European Style Options Light Sweet Crude Oil Options
Monthly Energy Review
5
0
2,000
4,000
6,000
8,000
10,000
12,000
Co
ntr
acts
* L1 is adjusted to JM contract size; PML and 6O are adjusted to JO size.
Electricity - Average Daily Volume
PJM Financially Settled Electricity Futures and Swap Futures (JM+L1) *
PJM Peak Monthly Financially Settled Electricity Options (PML+JO+6O) *
0
100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
900,000
1,000,000
Co
ntr
ac
ts
* L1 is adjusted to JM contrat size; PML and 6O are adjusted to JO size.
Electricity - Open Interest
PJM Financially Settled Electricity Futures and Swap Futures (JM+L1) *
PJM Peak Monthly Financially Settled Electricity Options (PML+JO+6O) *
www.cmegroup.com/energy
6
0
200,000
400,000
600,000
800,000
1,000,000
1,200,000
1,400,000
1,600,000
1,800,000
2,000,000
0
100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
900,000
1,000,000
Op
en
In
tere
st
Co
ntr
ac
tsLight Sweet Crude Oil Futures - Average Daily Volume and Open Interest
Total ADV Electronic ADV Open Interest
0
200,000
400,000
600,000
800,000
1,000,000
1,200,000
1,400,000
1,600,000
1,800,000
0
50,000
100,000
150,000
200,000
250,000
300,000
350,000
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450,000
500,000
Op
en
In
tere
st
Co
ntr
ac
ts
Natural Gas Futures - Average Daily Volume and Open Interest
Total ADV Electronic ADV Open Interest
Monthly Energy Review
7
0
50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
0
20,000
40,000
60,000
80,000
100,000
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160,000
180,000
Op
en
In
tere
st
Co
ntr
ac
tsNY Harbor ULSD Futures - Average Daily Volume and Open Interest
Total ADV Electronic ADV Open Interest
0
50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
0
20,000
40,000
60,000
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100,000
120,000
140,000
160,000
180,000
200,000
Op
en
In
tere
st
Co
ntr
ac
ts
RBOB Gasoline Futures - Average Daily Volume and Open Interest
Total ADV Electronic ADV Open Interest
www.cmegroup.com/energy
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0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
0
1,000
2,000
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4,000
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8,000
Op
en
In
tere
st
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ntr
ac
ts
DME Oman Crude Oil Futures - Average Daily Volume and Open Interest
Total ADV Electronic ADV Open Interest
0
10,000
20,000
30,000
40,000
50,000
60,000
70,000
80,000
0
10,000
20,000
30,000
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Op
en
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tere
st
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ntr
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ts
Brent Crude Oil Financial Futures - Average Daily Volume and Open Interest
Total ADV Electronic ADV Open Interest
Monthly Energy Review
9
0%
20%
40%
60%
80%
100%
120%
140%
Light Sweet Crude Oil Futures - 20-Day Historical Volatility
Light Sweet Crude Oil Futures
0%
20%
40%
60%
80%
100%
120%
140%
160%
180%
Natural Gas Futures - 20-Day Historical Volatility
Natural Gas Futures
www.cmegroup.com/energy
10
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
NY Harbor ULSD Futures - 20-Day Historical Volatility
NY Harbor ULSD Futures
0%
20%
40%
60%
80%
100%
120%
RBOB Gasoline Futures - 20-Day Historical Volatility
RBOB Gasoline Futures
Monthly Energy Review
11
0
50,000
100,000
150,000
200,000
250,000
Co
ntr
ac
ts
New York Time
Average Hourly Total Volume - All Hours - September 2013
NY Harbor ULSD Futures
RBOB Gasoline Futures
Natural Gas Futures
Light Sweet Crude Oil Futures
0
5,000
10,000
15,000
20,000
25,000
Co
ntr
ac
ts
New York Time
Average Hourly Total Volume - Extended Trading Hours - September 2013
NY Harbor ULSD Futures
RBOB Gasoline Futures
Natural Gas Futures
Light Sweet Crude Oil Futures
www.cmegroup.com/energy
12
0%
5%
10%
15%
20%
25%
30%
0
100,000
200,000
300,000
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500,000
600,000
Op
en
In
tere
st
-C
on
tra
cts
CFTC COT Report - Light Sweet Crude Oil Futures Open Positions - Long
Swap Dealers Long Managed Money Long
% Swap Dealers Long % Managed Money Long
Source: CFTC
0%
5%
10%
15%
20%
25%
30%
35%
0
100,000
200,000
300,000
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500,000
600,000
Op
en
In
tere
st
-C
on
trac
ts
CFTC COT Report - Natural Gas Futures Open Positions - Long
Swap Dealers Long Managed Money Long
% Swap Dealers Long % Managed Money Long
Source: CFTC
Monthly Energy Review
13
0%
5%
10%
15%
20%
25%
30%
35%
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
Op
en
In
tere
st
-C
on
tra
cts
CFTC COT Report - NY Harbor ULSD Futures Open Positions - Long
Swap Dealers Long Managed Money Long
% Swap Dealers Long % Managed Money Long
Source: CFTC
0%
5%
10%
15%
20%
25%
30%
35%
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
Op
en
In
tere
st
-C
on
tra
cts
CFTC COT Report - RBOB Gasoline Futures Open Positions - Long
Swap Dealers Long Managed Money Long
% Swap Dealers Long % Managed Money Long
Source: CFTC
PM712/0/0913
Futurestradingisnotsuitableforallinvestors,andinvolvestheriskofloss.Futuresarealeveragedinvestment,andbecauseonlyapercentageofacontract’svalueisrequiredtotrade,itispossibletolosemorethantheamountofmoneydepositedforafuturesposition.Therefore,tradersshouldonlyusefundsthattheycanaffordtolosewithoutaffectingtheirlifestyles.Andonlyaportionofthosefundsshouldbedevotedtoanyonetradebecausetheycannotexpecttoprofitoneverytrade.
Allreferencestooptionsrefertooptionsonfutures.
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