This runs on Henry Hub and one filed US pipeline tariff, because those are public. A different hub, your own forward marks, your facility’s own rate sheet, or a contract structure this does not cover — that is the work, and it starts with a conversation. [email protected]
A storage year opened in Aug 2026, valued on the forward curve quoted that month and charged NGPL's filed Rate Schedule NSS. Dollars per MMBtu of working gas.
The black line is the market’s forward curve and nothing here moves it: every simulated path is anchored so that its expectation is that curve, so no part of this picture is a view on the level of gas. The only claim being made is the width.
And the two widths are different shapes, which is the point. The amber zone is the model’s: it treats each month’s price as a stationary deviation from that month’s own forward, so it is a tube — as wide at twelve months as at one. The grey zone is what the archive actually produced: the spread of the front-month price that printed against the forward quoted for it 12 months earlier. That one is a cone.
| months ahead | model σ | realised σ | ratio | obs |
|---|---|---|---|---|
| 1 | 15.4% | 14.4% | 0.94× | 165 |
| 3 | 15.6% | 22.8% | 1.46× | 163 |
| 6 | 15.6% | 29.2% | 1.87× | 160 |
| 9 | 15.6% | 33.3% | 2.13× | 157 |
| 12 | 15.6% | 36.4% | 2.33× | 154 |
The model is right at one month and about 2.4× too narrow at twelve. That is a property of the process, not a calibration slip: with each month tied to its own forward the variance converges after the first step instead of accumulating. What it does to the storage valuation has not been measured — the effect runs both ways, since reversion to the curve makes a spread easier to capture while a narrow band makes far-dated optionality look smaller — so it is recorded here as an open question rather than a correction. The observation counts are overlapping windows on one archive, so read the shape and not a p-value.
Twelve monthly decisions from Aug 2026 to Jul 2027. The bars are the optimal schedule priced on the curve visible today — it can be hedged with the same forwards it was computed from, so it is a trade rather than a view. There is no price axis on the curve above on purpose: what matters to a storage schedule is the shape, where the cheap months sit relative to the dear ones, and a dollar scale invites reading a level off a picture that does not depend on one.
Nothing here forecasts a gas price. Every simulated path is anchored so its expectation is the observed forward; the model supplies dispersion around the curve and never a view on where the curve goes. Anything else would be a house view wearing a valuation's clothes.
Of the three figures above, two need no model at all. The schedule and its value are arithmetic on quoted prices. Only the third — what the right to deviate from the schedule is worth — depends on an assumption about how price moves, and that assumption is a monthly volatility of 15.5% calibrated on the roll-adjusted return rather than on the price series, because the price series' apparent mean reversion is largely the futures roll.
| This year's schedule | $0.143 | richer than 78% of the 167 storage years the archive covers |
| Before any charge | $0.574 | what the seasonal spread alone is worth |
| Capacity reservation | −$0.4064 | NGPL NSS recourse rate, per Dth of working gas a year |
| Fuel retained in gas | −$0.0242 | 0.92% of each Dth injected |
The rent is a constant, so it cannot touch the flexibility premium at all — it is subtracted from both valuations alike and cancels in their difference. That is arithmetic, not a finding, and it is why the third headline figure above does not move when the tariff does.
Every number here is one setting of a cost deck. The calculator lets you vary the tariff, the fuel, the injection and withdrawal rights and the European fill mandate, and re-solves in your browser against thirty observed curves. Its settings live in the link, so a configuration can be sent to whoever asked for it.