Another way to measure whether Amaranth’s strategy was
long winter and short non-winter is to find the percentage of
winter months in which they had long positions versus short
positions. Of all the contract months out until December, 2011,
35 of those months are non-winter months, while 27 are winter
months. For winter months, Amaranth had a long position 63%
of the time, while for non-winter months, Amaranth had a
short position 69.44% of the time. This is again consistent
with a long winter, short non-winter strategy. And within the
winter months, they had an equivalent of $28.812 billion long