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Replication NatGas (HH NYMEX) Future to reduce roll losses

JustinTime

Joined
1/7/12
Messages
2
Points
11
Hi there

Has anyone an idea how to substitute Henry Hub NatGas from the NYMEX to reduce the roll costs. The correlation to international gas contracts is low since there is a small phyiscal arbitrage possibilty.

If you got anything else interesting on NatGas - just let me know.

Thanks in advance!
 
Hi,

Have you tried using ERCOT On-Peak power prices? They should have high correlation with Nat Gas prices.

Just a thought >_<
 
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