29 November 2022
Current Nat Gas & WTI Intra-Curve Correlations
With winter in the northern hemisphere approaching, temperatures are cooling and those looking to hedge exposure to the energy markets keenly observe the behavior of both the Henry Hub Natural Gas and WTI Crude Oil curves
Using the RiskAPI Add-In, a one-year, daily correlation matrix is generated on the NG curve, starting at the current front month and going out a full calendar year:
Similarly, a daily correlation matrix for the WTI curve is also generated:
Note that values shaded in green show larger correlation and values shaded in red show smaller correlation.