CA's NG Equity Index Priced as Equivalent Series of NG Options.
- The FCF Yield at Strip (3Y) is rising, indicating an improving valuation. However, the Price Paid for Options to Drill is approx 25% more expensive!
- A good example of CurveAlpha's Value Add. Why , When & How do Traditional & Volatility Adjusted Valuation Measures Diverge?
CA's Analytics, noted the Low NG Price Dependency and Positive Asymmetry in July. If you were M&A Seller we advised a low sense of urgency & or to stall negotiations (& vice versa)
- Unfortunately Quantifying the Yield vs Volatility Risk-Reward Tradeoff is difficult to do "on the back of an envelope"
