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This week's poster child in volatiity and risk is Miami-based hedge fund Statar Capital who specialise in natural gas. After being up huge in the first 10 days of this month down about 7.7 per cent for September before fees as Natural gas futures went from 4.80 to 5.60btu and back.

NG 240 27 10 2021

Statar, according to documentation seen by the Financial Times, suffered a large hit to its performance this month in a sign that even commodity experts are struggling to deal with soaring prices

The fund  which manages $1.7bn in assets and is run by Ron Ozer, a former trader at Citadel and DE Shaw, made a hefty gain, according to a person familiar with its performance.  Then it suffered a pullback the following week, leaving it down about 7.7 per cent for September before fees.

Volatilty is extreme

Valor Analytics @otcengine 9/27/2021

  • winter vol is up 9% for the day
  • trading 92% vol now
  • atm straddle is $2.00
  • 33 cent daily break even at these levels
  • 5.7% expected daily move

The reversal in fortunes wiped out gains made earlier in the month and left the fund with a loss of about $130m in the first two and a half weeks of the month. Statar declined to comment.

Monday morning we saw another reversal in natural gas prices, back up over those recent highs trading at 5.737 promt futures as we write.

Long Natural Gas ETFs 52 week highs today

  • United States Natural Gas Fund LP ARCX: $UNG 20.29 ▲ 2.21 (12.20%)
  • ProShares Ultra Bloomberg Natural Gas ARCX: $BOIL ▲ 81.73 ▲ 14.17 (20.97%)
  • Barclays IPath ARCX: $GAZ ▲ 31.19 ▲ 3.40 (+12.25%)

Will be interesting the volatility in Statar or similar funds.

Source: Financial Times

From The TradersCommunity Research Desk

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