It’s clear that on August 31, 2006, Amaranth was engaged
in a natural gas futures position that was long winter and short
non-winter. Next we examine whether or not they had a similar
trade in prior months. In order to examine the general position
of Amaranth, we look at their position three months prior to
August 31, 2006. The NYMEX natural gas futures equivalents
of Amaranth’s natural gas positions on May 31, 2006 are
depicted in the supplemental figure on the JAF website and
Table III. The total absolute dollar value of winter month
contracts was $12.577 billion, while the non-winter months
was $8.443 billion. Of the winter month contracts, 48.7% were
held long, while 70.4% of the non-winter months were held
short. The total value of long positions in winter months was
$17.101 billion, while short positions were $4.525 billion;
for non-winter it was $2.782 billion and $11.226 billion
respectively. Although not a perfectly consistent winter/nonwinter
spread trade, the general position of the trade is long
winter and short non-winter on May 31, 2006 as well