Natural Gas price forecast and futures rollover history data base

Database link (last update 29/07/2019 )

https://docs.google.com/spreadsheets/d/1JKwSLDe1DiYrlpPes0Nt7t_UUD_3JuD7oWKxm2hBjnY/edit?usp=sharing

Major events and forecasts on 29/07/2019

Contango finally appeared and started to erode UNG price that will push it to 15 USD at the end of the year.

Bearish cycle on its initial phase, and will be more clearly observed as soon as current inventories vs 5 years average will be positive. Rollover cost (fees for long) will be extremely high for upcoming winter with average 40% per annum on invested capital.

Inventories will cross 3 800 in November with the indication of overproduction that will fuel NG negative price dynamic across the 2020 year.

In the middle of winter, there is the chance to see a technical bounce back to 2.4 -2.5 but the main range for price fluctuation considered as 1.7 – 2.2 USD during of next year in the case of a slowdown in Industrial sector will persist and US economy will start more clearly to show signs of contraction.

Long term forecast in range 2.2 – 2.7 USD considered as major diapason for price fluctuation if the US economy will stay in positive mode with no sign of a slowdown in 2020

Description

The price forecast is not investment advice and is a part of mathematical model of Natural gas price fluctuation, that has cyclical expression and based on historical observation of contango impact on maintaining long position in natural gas using two nearest futures based on its daily rollover.

The database will be under regular updates (at least one time per Quarter). In column E of calculation sheet Positive numbers (10 000 USD rolling out position is scenario based assumption that is optional) means that on the given date calculated amounts are Refunds for long positions and Fee for short. The opposite works for negative numbers and means Refund for short vs Fee for long.

*Note. In attached calculation introduced indicative amount of Fees and Refunds that based on assumption of rollover frequency as daily based. Rollover time and price taken into calculation on daily settlement as it defined by CME in respect of Natural gas futures trading that are nearest to expiration and defined as Front and Next contract. Daily amount that affected by futures rollover is 10 000 USD. The calculations based on assumptions that cannot matched with Etoro rollover model and hence can be applicable only in informational purpose.

Background

This is information about historical records of fees and refunds for natural gas trading (this terminology used by Etoro). For more broad trading community, fees and refund in Natural gas familiar as negative and positive roll over of futures. This rollover creates negative and positive rolling yields that are tools to manage portfolio for hedge funds and is a part of financial engineering.

Join the Conversation

1 Comment

Leave a comment

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

%d bloggers like this: