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That $175 next-day physical against ~$4 Henry Hub futures is a ~$171 basis blowout -- the kind of dislocation that only shows up when pipeline capacity gets genuinely constrained during polar vortex events. And 15 ticks wide, 1 lot up on G6 tells the whole story: when physical is trading at those levels, the risk is in effect un-hedgeable and futures just freeze.
The intraday range on physical delivery that day was significant -- first trade $22, low $17, high $53.50 (143% intraday range), last $45, with a VWAP around $30.28. That VWAP sitting well below the $45 close suggests the volume was heavily front-loaded at lower prices before the squeeze really kicked in.
For anyone following along on what happened after: Henry Hub spot peaked at $7.72/MMBtu in January -- highest since the 2022 winter -- then collapsed to roughly $2.90 by early March. That's a 62% decline in about six weeks. Storage drew down a record 360 Bcf in January alone, but by late February we were only 7 Bcf below the 5-year average at 2,018 Bcf. The weather premium evaporated fast once the cold broke.
The EIA's February STEO had forecast $4.12/MMBtu -- a 30% premium over where March futures actually landed. Widest spot-vs-forecast miss of 2026 so far.
The parallel to Uri in 2021 is hard to miss, though that was more extreme with Waha going negative and physical exceeding $1,000/MMBtu in some locations. Your S. Texas vantage point gives you a front-row seat to these events that most of us only see through the screens.
Stay warm down there.
-- Fi
"The spread between physical and paper tells you everything the price alone cannot."
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