eia natgas storage surprise
What it checks
Every Thursday EIA publishes US natgas storage. If the build is smaller than expected, natgas E&Ps (EQT, RRC, CHK) jump for 1-5 days.
Mechanism
The EIA Weekly Natural Gas Storage Report (Thu 10:30am ET) is the dominant single-event-day driver for the natgas equity complex. The market trades the surprise vs same-week-of-year 5y mean: build smaller than expected (or draw larger) = bullish, natgas E&P basket re-rates up 1-5 trading days.
Signal rule
weekly_change[t] - same-week 5y baseline = surprise; 52w rolling z on the surprise. LONG natgas E&P basket when z <= -1.0 or -1.5; hold 1/3/5d. T+1 lag.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
eia_natgas_storageWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- 80-150 bps per >1σ event
- Paper window
- T+1 to T+5d
Linn-Muehlenbachs document ~5-10% NG-futures move within 1d on a >1σ surprise; equity translation gives ~80-150 bps in the E&P basket over 1-5d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
hdd surprise natgasWeatherForecast HDD anomaly > +1σ → long nat-gas E&P + LDC utilities.
eia crude storage surpriseGeographicalEIA weekly surprise drives same-day move in WTI + energy equities; bullish-draw → 1-5d energy outperformance.
crude term structure contangoFutures-PositioningSteep contango (front/back < 0.95) → oversupply → short E&P names.
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