Energiewerks DataPro Natural Gas Time Spreads Analyzer is used by quantitative / technical traders to identify profitable trend or mean reverting trades.

The report is available for spring, summer, fall and winter months. In addition, twelve reports – one for each contract month of the year as the buy leg – is included.

Analysis of each spread consists of

  • statistics for the spread
  • a line plot of spread for the last ninety days
  • a histogram providing a distribution of prices
  • a box plot of prices over the same period
  • A daily email with links to the reports are sent out every business day.

    The following is an example of statistics for the May 2017 / November 2017 spread

    NG – Spread, Sell November, 2017, Buy May, 2017 :

    For the NG Spread – Sell November, 2017/Buy May, 2017, low end of the trading range over the last 90 days is 0.165 and high end of the trading range is 0.196.

    Yesterday’s close is 0.191. Previous close is 0.196. Seven business days ago the contract settled at 0.171. Fifteen business days ago the contract settled at 0.168.

    Statistical measures :

    Standard deviation is 0.0066. Variance is 0. Mean is 0.1778.

    One, two and three standard deviations above mean is 0.1844,0.1909,0.1975. One, two and three standard deviations below mean is 0.1712,0.1647,0.1581.

    The following graphs are a sample of the spread between the May 2017 / November 2017 contract ( Buy May 2017 / Sell November 2017 ) that are included in the daily report.

    Buy May 2017 / Sell November 2017
    NGBMay2017SNov2017lineplot NGBMay2017SNov2017histogram NGBMay2017SNov2017boxplot

    The line plot provides the historical movement of the spread over the last ninety days. The histogram provides the distribution of prices over the last 90 days with a density plot. The box plot covers the spread over the last ninety days.

    In addition to the spread, the report also includes statistics for the underlying contracts.

    Analysis of the data and graphs associated with the underlying contracts coupled with the spread analysis allows identification of profitable trading ideas around spreads.

    Representative graphs associated with individual contracts are as follows

    May 2017
    NGMay2017Lineplot NGMay2017Histogram NGMay2017BoxPlot
    November 2017
    NGNov2017Lineplot NGNov2017Histogram NGNov2017BoxPlot

    Individual underlying contracts analysis are available in the Energiewerks DataPro Natural Gas Outrights Statistical Analyzer.

    Request more information or sign up for a free two week trial :