Natural Gas Spreads and the Cost of Full Carry

This is the Nov12 / Jan13 NYMEX natural gas spread during today's EIA inventory report.  The annualized spread differential for this pair is about 19.5 cents per month.  According to some physical traders I spoke with, the cost of carry for this type of trade is about 10 cents per month.  Despite the massive premium available for those who are able to take delivery, inject into storage, withdraw from storage, then sell it against the Jan13 contract, this spread maintains its elevated state precisely because storage capacity for the winter months is so constrained. 

Today's Natural Gas March/April Spread on EIA

This is the famed spread that blew up MotherRock, then Amaranth, made John Arnold a billionaire, then went dormant.  EIA data released every Thursday at 9:30am CST.

Some NYMEX Natural Gas Spreads from the Archive

These are the natural gas spreads between the September, 2011 (U11) and October, 2011 (V11) NYMEX natural gas futures (NG).  Touched on previously, the EIA releases inventory data every Thursday at 9:30am CST.

July 21, 2011: Open Market

July 21, 2011: +/-5 minutes around inventory report

July 28, 2011: Open Market

July 28, 2011: +/-5 minutes around inventory report

Natural Gas Inventory Report & Its Effect on Spreads

Every Thursday at 9:30AM CST, the EIA releases the weekly U.S. natural gas inventory report.  To the right is a chart of the Jan12 and Feb12 Henry Hub natural gas contracts and the corresponding spread between them.  The chart is from 9:25am - 9:35am this afternoon, Thursday, Aug. 25, 2011.