Monthly
Energy Review
Monthly Energy Review
ENERGY TRADING HIGHLIGHTS
March 2017
 Average daily volume for March 2017 Light Sweet Crude Oil futures was 1,148,574
contracts, compared with 1,043,365 during March 2016, an increase of 10.08
percent.
 Average daily volume for March 2017 Light Sweet Crude Oil options was 223,565
contracts, compared with 163,991 during March 2016, an increase of 36.33
percent.
 Average daily volume for March 2017 Natural Gas futures was 397,314 contracts,
compared with 347,704 during March 2016, an increase of 14.27 percent.
 Average daily volume for March 2017 NY Harbor ULSD futures was 152,062
contracts, compared with 130,082 during March 2016, an increase of 16.9 percent.
 Average daily volume for March 2017 RBOB Gasoline futures was 190,450
contracts, compared with 169,254 during March 2016, an increase of 12.52
percent.
 Average daily volume for March 2017 Brent Crude Oil Financial futures was 93,692
contracts, compared with 88,671 during March 2016, an increase of 5.66 percent.
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Scorecard - Average Daily Volume and Open Interest Statistics
March 2017
Average Daily Volume
Electronic/Pit
Ticker
Symbols
Contracts
$ Notional
($ Millions)
Open Interest
Contracts
$ Notional
($ Millions)
U.S. and Metric
Spot Price & Conversion
US$ Spot
Month Close
31-Mar-'17
US$/MT
Except
NG=US$/
Cubic Meter
31-Mar-'17
20-Day
Historical
Volatility
Light Sweet Crude Oil
Futures
CL
1,148,574
$58,118 2,240,224
Options
LO
223,565
2,937,855
European Style
Options
LC
1,951
80,520
Futures
NG
397,314
$12,674 1,383,409
Options
ON
8,668
86,158
European Style
Options
LN
101,787
2,602,896
Futures
HO
152,062
Options
OH
1,290
Futures
RB
190,450
Options
OB
1,055
17,684
OQ
5,917
29,980
BZ
93,692
131,625
$113,355
50.6
$371.05
27.88%
$44,131
3.19
$0.12
31.24%
$27,846
157.46
$493.30
20.20%
$27,841
170.3
$610.18
17.20%
Natural Gas
NY Harbor ULSD
$10,056
421,066
49,719
RBOB Gasoline
$13,622
389,241
DME Oman Crude Oil
Futures
Brent Crude Oil Financial
Futures
PJM Western Hub Real-Time Off-Peak Calendar-Month 5 MW Futures
Futures
N9
8,348
2,167,840
PJM Western Hub Day-Ahead Off-Peak Calendar-Month 5 MW Futures
Futures
E4
0
898,582
2
52.83
25.01%
Monthly Energy Review
Futures - Average Daily Volumes
2,500,000
DME Oman Crude Oil Futures
Brent Crude Oil Financial Futures
RBOB Gasoline Futures
NY Harbor ULSD Futures
2,000,000
Natural Gas Futures
Contracts
Light Sweet Crude Oil Futures
1,500,000
1,000,000
500,000
0
Options - Average Daily Volumes
RBOB Gasoline Options
Natural Gas Options
Natural Gas European Style Options
NY Harbor ULSD Options
Light Sweet Crude Oil European Style Options
Light Sweet Crude Oil Options
400,000
350,000
300,000
Contracts
250,000
200,000
150,000
100,000
50,000
0
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Futures - Open Interest
5,000,000
4,500,000
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
4,000,000
Contracts
3,500,000
3,000,000
2,500,000
2,000,000
1,500,000
1,000,000
500,000
0
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
16,000,000
14,000,000
12,000,000
Contracts
10,000,000
8,000,000
6,000,000
4,000,000
2,000,000
0
4
Monthly Energy Review
Electricity - Average Daily Volume
PJM Western Hub Real-Time Off-Peak Calendar-Month 5 MW Futures
PJM Western Hub Day-Ahead Off-Peak Calendar-Month 5 MW Futures
120,000
Contracts
100,000
80,000
60,000
40,000
20,000
0
Electricity - Open Interest
PJM Western Hub Real-Time Off-Peak Calendar-Month 5 MW Futures
PJM Western Hub Day-Ahead Off-Peak Calendar-Month 5 MW Futures
6,000,000
5,000,000
Contracts
4,000,000
3,000,000
2,000,000
1,000,000
0
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Light Sweet Crude Oil Futures - Average Daily Volume (ADV) and Open Interest (OI)
Total ADV
Open Interest
ADV
OI
2,500,000
1,400,000
1,200,000
2,000,000
1,000,000
1,500,000
800,000
600,000
1,000,000
400,000
500,000
200,000
0
0
Natural Gas Futures - Average Daily Volume (ADV) and Open Interest (OI)
ADV
Total ADV
Open Interest
OI
1,800,000
600,000
1,600,000
500,000
1,400,000
1,200,000
400,000
1,000,000
300,000
800,000
600,000
200,000
400,000
100,000
200,000
0
0
6
Monthly Energy Review
NY Harbor ULSD Futures - Average Daily Volume (ADV) and Open Interest (OI)
ADV
200,000
Total ADV
Open Interest
180,000
OI
450,000
400,000
160,000
350,000
140,000
300,000
120,000
250,000
100,000
200,000
80,000
150,000
60,000
100,000
40,000
50,000
20,000
0
0
RBOB Gasoline Futures - Average Daily Volume (ADV) and Open Interest (OI)
ADV
250,000
Total ADV
Open Interest
OI
450,000
400,000
200,000
350,000
300,000
150,000
250,000
200,000
100,000
150,000
100,000
50,000
50,000
0
0
7
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DME Oman Crude Oil Futures - Average Daily Volume (ADV) and Open Interest (OI)
Total ADV
ADV
12,000
Electronic ADV
Open Interest
OI
40,000
35,000
10,000
30,000
8,000
25,000
6,000
20,000
15,000
4,000
10,000
2,000
5,000
0
0
Brent Crude Oil Financial Futures - Average Daily Volume (ADV) and Open Interest (OI)
ADV
180,000
Total ADV
Open Interest
OI
200,000
180,000
160,000
160,000
140,000
140,000
120,000
120,000
100,000
100,000
80,000
80,000
60,000
60,000
40,000
40,000
20,000
20,000
0
0
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Monthly Energy Review
Light Sweet Crude Oil Options ‐ Electronic Average Daily Volume
Total ADV
Electronic ADV
% Electronic ADV
300,000
90%
80%
250,000
70%
Contracts
200,000
60%
50%
150,000
40%
100,000
30%
20%
50,000
10%
0
0%
Natural Gas European Style Options - Electronic Average Daily Volume
Total ADV
Electronic ADV
180,000
100%
160,000
90%
80%
140,000
70%
120,000
Contracts
% Electronic ADV
60%
100,000
50%
80,000
40%
60,000
30%
40,000
20%
20,000
10%
0%
0
9
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Light Sweet Crude Oil Futures - 20-Day Historical Volatility
Light Sweet Crude Oil Futures
140%
120%
100%
80%
60%
40%
20%
0%
Natural Gas Futures - 20-Day Historical Volatility
Natural Gas Futures
180%
160%
140%
120%
100%
80%
60%
40%
20%
0%
10
Monthly Energy Review
NY Harbor ULSD Futures - 20-Day Historical Volatility
NY Harbor ULSD Futures
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
RBOB Gasoline Futures - 20-Day Historical Volatility
RBOB Gasoline Futures
120%
100%
80%
60%
40%
20%
0%
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Light Sweet Crude Futures - Spot Month, 20 Day Historical Volatility and Implied Volatility
Settlement
Price ($/bbl)
60
Settlement Price
Historical Volatility
Implied Volatility
Volatility
100%
55
90%
50
80%
45
70%
40
60%
35
50%
30
40%
25
30%
20
20%
15
10%
Natural Gas Futures - Spot Month, 20 Day Historical Volatility and Implied Volatility
Settlement Price
Historical Volatility
Settlement
Price ($/mmBtu)
Implied Volatility
Volatility
4
90%
3.5
80%
70%
3
60%
2.5
50%
2
40%
1.5
30%
1
20%
0.5
10%
0
0%
12
Monthly Energy Review
Average Hourly Total Volume - All Hours - March 2017
400,000
NY Harbor ULSD Futures
350,000
RBOB Gasoline Futures
Natural Gas Futures
300,000
Light Sweet Crude Oil Futures
Contracts
250,000
200,000
150,000
100,000
50,000
0
New York Time
Average Hourly Total Volume - Extended Trading Hours - March 2017
60,000
NY Harbor ULSD Futures
RBOB Gasoline Futures
50,000
Natural Gas Futures
Light Sweet Crude Oil Futures
Contracts
40,000
30,000
20,000
10,000
0
New York Time
13
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CFTC COT Report - Light Sweet Crude Oil Futures Open Positions - Long
Swap Dealers Long
Managed Money Long
% Swap Dealers Long
% Managed Money Long
30%
700,000
Open Interest - Contracts
600,000
25%
500,000
20%
400,000
15%
300,000
10%
200,000
5%
100,000
0%
0
Source: CFTC
CFTC COT Report - Natural Gas Futures Open Positions - Long
Swap Dealers Long
Managed Money Long
% Swap Dealers Long
% Managed Money Long
600,000
35%
30%
Open Interest - Contracts
500,000
25%
400,000
20%
300,000
15%
200,000
10%
100,000
5%
0
0%
Source: CFTC
14
Monthly Energy Review
Open Interest - Contracts
CFTC COT Report - NY Harbor ULSD Futures Open Positions - Long
Swap Dealers Long
Managed Money Long
% Swap Dealers Long
% Managed Money Long
160,000
35%
140,000
30%
120,000
25%
100,000
20%
80,000
15%
60,000
10%
40,000
20,000
5%
0
0%
Source: CFTC
Open Interest - Contracts
CFTC COT Report - RBOB Gasoline Futures Open Positions - Long
Swap Dealers Long
Managed Money Long
% Swap Dealers Long
% Managed Money Long
160,000
35%
140,000
30%
120,000
25%
100,000
20%
80,000
15%
60,000
10%
40,000
20,000
5%
0
0%
Source: CFTC
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