Natural Gas Futures Market Volatility

The more net long speculators are, the more they believe futures prices will rise and vice versa. You can get an idea of where the market is anticipating more or less Henry Hub futures price volatility based on how option premiums change over time. If you see that at the money options premium for a particular delivery month for natural gas are rising over time, this is most likely result of Vega or an increase in expected futures price volatility.