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Natural Gas Seasonal Bearishness - When Will it Kick In? 
NYM.NGWednesday, June 16, 2010
By Gibbons Burke
Natural Gas futures have been rallying in an exponential rise since late April with each day's pit session gapping higher and higher. The prompt contract gained 'big' for the second day in a row on Tuesday, gaining 3.7% following Monday's 4.7% gain, and closed on Tuesday at 5.189.
Nothing goes up in a straight line, and so at some point there must be a correction, but when?
Our SeasonalEdge analysis is saying that the time is ripe for a correction to take place. Looking at the 20 years of trading in this futures market we find that, starting on June 15th, the market shows a very strong tendency to fall in price. This doesn't mean it always will happen, but the odds are good that whatever it is that causes this decline to happen may kick in again and take some of the heat off the burner.
Q: How has Natural Gas fared in the past starting with the close on the 15th of June in the last 20 years?
A: According to the 20 previous occurrences of this event, EventEdge indicates that NYM.NG has shown a strong bearish edge that peaks 25 trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Tuesday, 15 June 2010) is Tuesday, 20 July 2010. NYM.NG declines in 95% of the cases (19 of 20) by an average of -13.2% relative to the close on the event date. The average of the 1 rally is 15.4%. The overall return of the 20 cases is -11.8%, which, based on the close of NYM.NG on the event date (5.189), provides a target price of 4.577.
Click here2 to research this trading idea further in EventEdge®. Or, you can click here3 to see it in our SeasonalEdge analysis tool.
Gibbons Burke4 is editor of MarketHistory.com.
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Let variable values:
@ = NG
theEvent = IF
Date is 6/15/_
AND
@ is DEFINED
THEN 1
ENDIF
Date Day t+5 t+10 t+15 t+20 t+25
06/15/1990 Fri -4.8 -5.0 -6.7 -6.5 -12.4
06/14/1991 Fri -12.1 -11.1 -11.8 -14.1 -10.1
06/15/1992 Mon -1.2 -1.3 4.2 10.4 15.4
06/15/1993 Tue -3.1 -7.1 -7.7 -13.4 -10.6
06/15/1994 Wed -6.8 -4.1 -9.1 -13.4 -19.8
06/15/1995 Thu -6.5 -10.7 -8.0 -12.3 -18.8
06/14/1996 Fri 5.2 15.2 8.3 9.2 -5.6
06/13/1997 Fri 4.0 0.6 -2.7 1.1 -2.0
06/15/1998 Mon 12.5 10.7 9.5 4.8 -10.2
06/15/1999 Tue -5.4 -1.2 -12.2 -12.0 -7.4
06/15/2000 Thu 2.0 -1.5 -5.9 -11.0 -17.4
06/15/2001 Fri -6.0 -24.8 -23.4 -25.5 -27.8
06/14/2002 Fri -3.1 -5.1 -12.7 -16.6 -15.8
06/13/2003 Fri 2.3 -7.6 -7.3 -12.2 -12.1
06/15/2004 Tue 1.7 -3.9 0.1 -6.1 -6.9
06/15/2005 Wed 0.0 -6.1 -1.9 4.1 -3.2
06/15/2006 Thu -10.7 -18.7 -26.0 -23.5 -12.1
06/15/2007 Fri -10.0 -16.4 -21.0 -21.4 -25.7
06/13/2008 Fri 2.9 3.4 1.7 -6.4 -17.9
06/15/2009 Mon -6.0 -9.4 -21.7 -21.7 -15.1
06/15/2010 Tue NaN NaN NaN NaN NaN
Avg -2.2 -5.2 -7.7 -9.3 -11.8
AvgPos 3.8 7.5 4.8 5.9 15.4
AvgNeg -6.3 -8.4 -11.9 -14.4 -13.2
PctPos 40.0 20.0 25.0 25.0 5.0
PctNeg 60.0 80.0 75.0 75.0 95.0
Maximum 12.5 15.2 9.5 10.4 15.4
Minimum -12.1 -24.8 -26.0 -25.5 -27.8
StdDev 6.1 9.2 10.1 10.6 9.3
ZStat -0.4 -0.6 -0.8 -0.9 -1.3
Variance 37.3 84.5 101.3 113.0 87.2
21 Occurrences |
Comments:
Web Address of this trading idea:
Links:
2 http://www.markethistory.com/content/events/futures/chart.html?ticker=NG
3 http://www.markethistory.com/content/seasonal/edge.html?d=2010-06-15&mt=NG&t=NYM.NG
4 http://www.markethistory.com/staff/detail.html?s=gibbons