The EIA also said that U.S. natural gas prices saw record volatility in the first quarter of 2022. The EIA says that annualized percentage, a widely used trading measure of price volatility, is the standard deviation for the previous 30 days of daily changes in the Henry Hub front-month futures price multiplied by the square root of 252 (the number of trading days in a year) multiplied by 100. Percentages are averages for that period.
U.S. natural gas price volatility (a measure of daily price changes) reached its highest level in 20 years, hitting record highs in the first quarter (January–March) of 2022. The 30-day historical volatility of U.S. natural gas prices, which is based on the U.S. benchmark Henry Hub front-month futures price, averaged 179% in February compared with 57% during the first quarter of 2021.
Historical volatility is a measure of daily closing price changes for a commodity at a specific time in the past. During July, historical volatility was lower on a percentage basis, in part, because natural gas prices were relatively higher than during the first quarter of this year. The Henry Hub front-month futures price averaged $7.19 per million British thermal units (MMBtu) during July compared with an average of $4.46/MMBtu during February. Natural gas price volatility averaged 124% during the first quarter of 2022 and 75% during the second quarter. Increased uncertainty about market conditions that affect natural gas supply and demand can result in high price volatility.