Argus North American Natural Gas Implied Volatilities
An Argus risk data service, published daily
The Argus Natural Gas Implied Volatilities service provides a powerful, independent market valuation tool to support risk management and trading decisions in the electricity markets across North America—implied volatilities are derived from current forward market option prices in contrast to historical volatilities.
Argus uses a wide range of data sources to determine market value for liquid locations and forward periods. For illiquid locations and terms, locational spreads and time spreads to liquid markets are used as the basis for pricing.
Argus covers daily assessments of natural gas volatility curves at 38 locations, including all the major natural gas hubs and relevant trading locations in North America.
View complete list of markets covered
- Daily assessments of volatilities for NYMEX Henry Hub and 38 additional natural gas trading locations
- Volatility time period extends a minimum of 2 years forward
- Natural Gas Henry Hub NYMEX are marked with a volatility smile and straddle option assessments
- Independently produced and transparent methodology
- Delivery options: Email, FTP data feed and third-party delivery partners, such as Morningstar and ZEMA
Argus Implied Volatility Usages
The service is a reliable tool for analytical and risk-management processes, including:
- Potential Future Exposure (“PFE”)
- Mark-to-market (“MTM”) validation
- Value-at-risk (“VaR”)
- Deal Valuation
- Trading P&L
- Counterparty Margining
- Scenario Analysis
Learn more about the Argus North American Natural Gas Implied Volatilities methodology
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