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Amaranth held 40,000 long JAN 2007 NYMEX natural gas futures and 40,000 short NOV 2006 NYMEX natural gas futures. On JAN 2006 this spread was

Amaranth held 40,000 long JAN 2007 NYMEX natural gas futures and 40,000 short NOV 2006 NYMEX natural gas futures. On JAN 2006 this spread was at - $.90/unit and on SEP 1, 2006 it was - $2.60/unit. Every NYMEX natural gas futures is for 10,000 units.

Describe what Amaranth needed to do in order to close this calendar spread on SEP 1, 2006 and calculate the total P/L from so doing.

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