NG	TTF	DF
202401	3.918	18.744	0.9554
202402	3.819	18.733	0.9510
202403	3.493	18.368	0.9467
202404	3.21	17.466	0.9426
202405	3.203	17.319	0.9385
202406	3.335	17.223	0.9346
202407	3.499	17.296	0.9308
202408	3.521	17.287	0.9272
202409	3.484	17.408	0.9237
202410	3.578	17.53	0.9203
202411	3.968	18.276	0.9170
202412	4.461	18.612	0.9138

The first column is the delivery month (202401 meaning January, 2023 (etc.); the second column is a forward price for the Henry Hub natural gas futures (HH) price; the third column is the forward price for delivery at the Dutch TTF natural gas price; the last column is a discount factor. Assume you can trade forwards for each of the delivery months at each of the locations at the prices quoted above.

You contact a market maker who is currently quoting a calendar 2023 TTF-HH basis swap at a bid of $13.75 and an offer of $14.00. Each month January 2024-December 2024 this swap pays the difference between the TTF futures price at expiration and the Henry Hub futures price at expiration, minus the contractually agreed upon basis. For instance, if you buy the swap, the January TTF futures settles at $32.00, the Henry Hub price is $4, your cash flow is 32-4-14=$14MMBTU. If you had sold the swap, your cash flow is 4-32+13.75=-$14.25/MMBTU.

Identify an arbitrage opportunity. To exploit this opportunity, should you buy the basis swap from the market maker, or sell it to him? To execute the arbitrage, what should you do in the Henry Hub NG futures market (buy or sell?) What should you do in the TTF forward market (buy or sell?). If you trade 30,000 MMBTU/month, how much money will you make at the market makers expense?