Highlights
- Since the beginning of 2022 over two-thirds of ICE’s JKM Futures volumes have been transacted as relative value, 47% as location spreads (largely vs TFU) and 21% as time spreads. In July whilst location spreads remained within their usual band of 35-55% of volume, time spreads breached the previous high and pushed close to 40% of all volume.
- July saw the third highest monthly volume record transacted in TTF Futures to date with 3,613 TWh / 4.92 million lots. Screen execution in July was 88%, corresponding with the trend seen consistently since early 2021 with screen execution in TTF Futures being over 80% every month.
JKM Trade Strategy
Europe
- With 3,163 TWh / 4.92 million lots transacted in July in TTF Futures (TFM), 43.2% of that was time-spread volume across the entire curve. The furthest maturities to trade as a time-spread in July were Cal-29/Cal-30, directly on screen. Additionally, on an outright basis the furthest maturity to trade was Cal-31, also directly on screen. The ICE TTF Curve (TFM and TFN) was extended in July to include Cal-33 available for trading, facilitating client demand for hedging and risk management for additional maturities.
- TTF Futures open interest (OI) reached its highest level of the year so far recording 1,378,948 on July 26, with total OI up to and including December 2031. At the end of July, TTF Futures (TFM) OI was up 54% since the start of the year.
- Continuing its consistent year-to-date average daily volume (ADV) and OI growth, July saw 698 TWh / 951K lots traded in TTF Options (TFO), the second highest monthly volume in 2023. Year- to-date vs. last year-to-date ADV is up 220%, and OI up to and including March 2026 is up 79%. Also, since May, screen execution of TTF Options has made a comeback with 8 firms trading well over 1,000 lots so far.
- TTF 1st line Futures volumes, at 37,644 lots, were the highest July volumes on record.
TTF Futures and Options open interest
Asia
- JKM Futures and Options volumes, at 29,287 lots, were over 40% higher than year earlier. Similarly, after monthly reductions in the year-to-date deficit versus 2022, by the end of July volumes had surpassed those of the year earlier.
- Screen volumes in JKM Futures reached their highest level of the year so far and the highest July volume ever. At 4,217 lots they were more than twice the volume of any previous two months of 2023 combined.
- OI continued to rise and for the seventh consecutive month JKM futures and options end month OI was higher than the previous one. At the end of July OI of 84,545 lots was 8% higher than where it had started the year and as further evidence of the long-term conviction of the role of JKM to manage Asian price risk also included positions out to the end of 2027.
JKM Futures open interest
North America
Henry Hub
- OI in Henry Hub options ended July 32% higher than it ended last July with 11,337,416 lots. This was a slight increase over June and a 16% increase from the start of the year when OI was below 10,000,000.
- 4,852,536 lots of Henry Hub options traded during the month, which was a 25% increase over last year, ADV was also up 25% year-over-year at 242,627 lots.
- Henry Hub futures OI was up 5% compared to the end of last July, with 6,382,297 lots of OI extending to December 2032.
- Futures traded 6,284,546 during the month with an ADV of 314,227 lots as the prompt contracts traded in a range of $2.463 - $2.793 during the month.
Henry Hub Futures open interest
Financial Gas
- Financial Gas Futures futures traded 2,812,921 lots in July with an ADV of 140,646.
- OI grew 4% from last year, with 10,334,680 lots, which is an increase of 8% from the start of the year.
- Notable increases year-over-year of top 15 Financial Gas futures products in July include:
- Rockies Basis Futures (Commodity Code: NWR) up 257%
- Transco Z6 (NNY) Basis Futures (Commodity Code: TPB) up 286%
- CIG Rockies Basis Futures (Commodity Code: CRI) up 41%
- PGE Citygate Basis Futures (Commodity Code: PGE) up 83%
- Panhandle Basis Futures (Commodity Code: PAN) up 23%
- REX Zone 3 Basis Futures (Commodity Code: REX) up 40%
US Financial Gas Futures Open Interest
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