Price volatility across the Atlantic: The US and the European natural gas markets

Price volatility in the natural gas markets of the United States of America and the European Union have been the subject of several studies in recent years as these markets experienced important changes. The purpose of this study is to address and discuss market factors that have influenced price behavior. For this, the annualized monthly volatility for the “Henry Hub” (US Market) and the “London Natural Gas Index” (European Market) were calculated based on daily natural gas spot prices, from 2003 to 2014. The results show the different price behaviors and allow the comparison of these two markets.