Prior to that year, the worst lost in September of any year
with the same sized position since the opening of natural gas
trading in 1990 would have been -$719.7 million. The average
return of the spread position over the prior 16 years was
0.7466% with a sample standard deviation of 1.3902 in
September. Thus, if Amaranth used a simple risk measurement
system as used here, they would have been chasing an average
return of $399.6 million (0.7466)×($53,524,979,536) with a
potential 99.95% VaR of -$2.048 billion