Although this paper was not primarily concerned with Amaranth’s effect on natural gas futures prices, a preliminary investigation was done using data on daily natural gas returns and trades by Amaranth. Some evidence was found that contracts which Amaranth sold led to lower returns than other contracts in which Amaranth was not trading. For a more detailed discussion of this analysis, see the supplemental section entitled The Price Impact of Amaranth’s Trading on the JAF website.