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Derivatives and Risk Management in the Petroleum, Natural Gas, and Electricity Industries
 

Appendix C: Reported Natural Gas Prices

Figure C1. Differences Between NGI and Platts Low Prices. Need help, contact the National Energy Information Center at (202) 586-8800.
Figure C2. Differences Between NGI and Platts High Prices. Need help, contact the National Energy Information Center at (202) 586-8800.

This appendix documents differences in natural gas prices reported by Intelligence Press, Inc., in its NGI’s Daily Gas Price Index156 and by Platts in its Gas Daily157 for the same arbitrary date (February 4, 2002) and the same locations. NGI publishes daily high, low, and average prices for 86 locations, and Platts publishes daily absolute high and low prices, common high and low prices, and a midpoint natural gas price for 114 locations. Neither NGI nor Platts publishes data on volumes of natural gas traded. There are other sources, but these two are sufficient to describe the general nature of the price data available to the markets.

Table C1 on the following page shows low and high prices reported by NGI and Platts and the differences between the estimated lows and the estimated highs.158 Low-level statistical tests do not show the differences to be significant, but graphs appear to present a different story. Figure C1 shows that the differences between the NGI and Platts low values are positively skewed. That is, NGI’s reported low prices tend to be higher than those published by Platts. In fact, of the 59 data points shown, 31 are greater than zero, 22 are zero (no difference), and only 6 are less than zero. Figure C2 shows the differences between the high values. In this case, the high prices reported by NGI tend to be lower than those reported by Platts: only 8 values are greater than zero, 29 are zero (no difference), and 22 are less than zero. Another observation from these graphs is the different range held by the two series. The minimum for the difference in the lows is -$0.03 and the maximum is $0.11, yielding a range of $0.14. Conversely, with the high difference series, the minimum is -$0.16 and the maximum is $0.23, giving a range of $0.39. Although these graphs appear to show that there are differences between the two data series, further analysis would be necessary to demonstrate that the differences are systematic and persistent.

 

Appendix C - Table

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