Amaranth’s actual positions in natural gas future equivalents
on August 31, 2006 are depicted in Figure 5 and Table II.
This graph is identical to the graph produced in the appendix
of the Senate Subcommittee’s report. It contains the Amaranth
positions on each contract month in NYMEX natural gas
futures equivalents. Before the data on Amaranth’s positions
were publicly available, Chincarini (2006, 2007b) postulated that Amaranth’s position was a long winter, short non-winter
position. Although the figure seems to indicate this, it is worth
examining the issue further.
21
For the purposes of this analysis,
we follow Chincarini (2007a) and define winter contract
months to be November, December, January, February, and
March. All other months will be considered non-winter
months