U.S. Natural Gas Inventories. On September 30, 2011, working natural gas in storage stood at 3,409 Bcf, 91 Bcf below the 2010 end-of-September level (U.S. Working Natural Gas in Storage Chart). EIA expects that inventories, though currently lower than last year, will come close to last year's levels towards the end of the 2011 injection season, reaching 3.77 Tcf at the end of October 2011.
U.S. Natural Gas Prices. The Henry Hub spot price averaged $3.90 per MMBtu in September 2011, 15 cents lower than the August 2011 average (Henry Hub Natural Gas Price Chart). EIA expects that Henry Hub spot prices will fall further in October, before rising above $4 per MMBtu in December. This month's Outlook lowers the 2011 forecast by 5 cents to $4.15 per MMBtu, 24 cents less than the 2010 average. Although the average 2011 spot natural gas price is lower than the 2010 average, the forecast price over the winter 2011-12 is higher than last winter's average. Last year the Henry Hub spot price hit a low of $3.43 per million Btu in October 2010. EIA expects this winter's heating season will start out with an average Henry Hub spot price of $3.78 per million Btu in October 2011. EIA expects the Henry Hub price in 2012 to average $4.32 per MMBtu.
Natural gas futures prices for December 2011 delivery (for the 5-day period ending October 6, 2011) averaged $3.93 per MMBtu, and the average implied volatility was 34 percent (Market Prices and Uncertainty Report). The lower and upper bounds for the 95-percent confidence interval for December 2011 contracts are $3.13 per MMBtu and $4.93 per MMBtu. At this time last year, the December 2010 natural gas futures contract averaged $4.07 per MMBtu and implied volatility averaged 39 percent. The corresponding lower and upper limits of the 95-percent confidence interval were $3.09 per MMBtu and $5.37 per MMBtu.