Figure 7 shows Amaranth’s August 31 positions as multiples
of the trailing 30-day average daily trading volume in each
contract for the spread position. For example, Amaranth’s
exposure in terms of NYMEX natural gas futures equivalents
in July 2008 futures contracts represented 253 days of the
average daily trading volume. Even though many of the
Amaranth positions were not with NYMEX, and instead with
ICE, these positions were extremely large relative to the
average daily trading volume of the largest natural gas futures