Natural gas options are the most volatile options most Indian traders will ever look at. Their implied volatility often sits several times higher than NIFTY’s, their price is a few hundred rupees so a single rupee is a large move, and the futures months they are written on can trade far apart. This guide explains how MCX natural gas options are built, why their volatility runs so high, and how to read their open interest through a session, with the November 2026 series on 27 October as the example.
The two natural gas options contracts
- NATURALGAS: 1,250 mmBtu a lot, quoted in rupees per mmBtu. A ₹1 move in the premium is ₹1250 a lot.
- NATGASMINI: 250 mmBtu a lot, quoted the same way. A ₹1 move is ₹250 a lot.
Both are options on futures, each monthly series written on a natural gas futures month. They are separate contracts with separate open interest: by 20:30 on 27 October 2026 the NATURALGAS options had traded about 2.9 lakh lots and the NATGASMINI options about 3.7 lakh.
Because the price is low, around 288 for the November future that evening, the strikes near the money sit ₹5 apart and a ₹10 move is more than 3%. Read distances on the natural gas chain in percent rather than in points.
Futures months that trade far apart
Natural gas futures for different months can trade at very different prices, because the market prices each season’s demand and storage separately. On 27 October 2026 the October future, which expired that day, traded near 253, while the November future, on which the 20 November options are written, traded near 288. Each options series is read against its own future, so when one month’s future expires and the next series becomes the front one, the chain’s centre can jump by tens of rupees with no move in the market at all. Compare series by their own futures, not by the chain’s last price.
An in-the-money option at expiry turns into a position in its future (options on futures), so the last days of a series carry futures margin, and many brokers close in-the-money positions on the evening before expiry; check your own broker’s notice.
Why natural gas options price such high volatility
On 27 October 2026 the at-the-money natural gas options carried about 70% implied volatility, five times NIFTY’s at-the-money IV of about 14% that day. Two things keep it high:
- Weather. Demand for gas swings with heating and cooling, so a change in the weather outlook reprices the whole contract, and the months heading into winter carry the most uncertainty.
- The weekly storage report. US natural gas storage figures come out every Thursday at 10:30 in Washington, which is 20:00 IST in the US summer and 21:00 in winter (the US natural gas storage report). A surprise against expectations can move the price several percent within minutes.
Both land in the Indian evening, which is why natural gas options often move most after 18:00. High implied volatility also means wide premiums: a natural gas straddle prices a much larger move than an index straddle, and time decay takes that premium away quickly when the moves do not come (theta decay).
Reading natural gas open interest through a session
Open interest tells you where positions are being added; Trending OI shows how that changed through the day, one row per interval, counted from MCX’s 09:00 open (change in OI explained).
The table above follows the 20 November natural gas options on 27 October 2026, across 41 strikes from 190 to 390, in three-minute rows:
- Day Strength −4%. Since the previous close calls had added 13,289 lots and puts 8,797, so call open interest had grown faster, and the page’s sentiment read Bearish. The small percentage with no dots says both sides had been adding: a two-sided day rather than a one-way one.
- Flow swung within the hour. Around 20:50 the last fifteen minutes read −48% with two dots: call open interest was being added far faster than put open interest. From 20:56 to 21:26 most rows carried the Unwind tag, both sides shedding open interest. From 21:26 Flow turned positive, +33% to +37%, with puts gaining on calls (short covering and long unwinding).
- Net PCR about 1.00. Across those strikes put and call open interest were almost level.
The point is the shape of the evening rather than any single row: positions built quickly around 20:50, came off over the next half hour, and the balance began to tilt the other way before 21:30. A chain read once at 21:00 would have shown none of that sequence.
Natural gas options on OIData
OIData shows NATURALGAS and NATGASMINI through your own broker connection, minute by minute from 09:00 to MCX’s close: the option chain with open interest in lots, IV and max pain; Trending OI as above; the Expiry Day page’s straddle decay and expected-move band, which matter more with volatility this high; and Options Activity, which flags strikes whose five-minute volume suddenly bursts. The natural gas option chain page sums up the contracts.
Natural gas options FAQ
What is the lot size of natural gas options on MCX? 1,250 mmBtu for NATURALGAS and 250 mmBtu for NATGASMINI, both quoted in rupees per mmBtu.
Why is natural gas implied volatility so high? The price reacts sharply to the weather and to the weekly US storage figures; at-the-money options were near 70% IV on 27 October 2026.
When is the natural gas storage report? Every Thursday at 10:30 in Washington: 20:00 IST in the US summer and 21:00 in winter.
Why did the natural gas chain’s price jump after an expiry? Each series is written on its own futures month, and natural gas months can trade far apart; the next series’ future may sit tens of rupees away from the one that expired.
Is NATGASMINI open interest comparable with NATURALGAS open interest? Only after allowing for size: a mini lot is a fifth of a NATURALGAS lot.
Takeaways
- Natural gas options come as NATURALGAS (1,250 mmBtu) and NATGASMINI (250 mmBtu), quoted per mmBtu.
- Implied volatility runs high, near 70% on 27 October 2026, so premiums are wide and decay is fast.
- Futures months trade far apart; read each series against its own future.
- The Thursday storage report and the weather move the contract, mostly in the Indian evening.
- Read open interest through the session: an evening can build and unwind positions within an hour.