NAT GAS SPECIALIST · Energy / Macro Overlay
Z85525 – [NG] US 10Y Real-Rate Overlay
Real yields tax gas inventory carry harder than they tax crude because storage is a larger fraction of market value. When the US 10-year TIPS yield rises, speculator flow rotates out of gas.
At a glance
IN-SEASON · ACTIVE
Current composite
-0.911
On the plus-or-minus one tanh scale
SEASONAL STATE
IN-SEASON · ACTIVE
Live year-round on daily cadence.
Signal state
Moderate NEG
Current state across the three-state regime machine.
Phase duration
124 sessions
Six-month run since May 11, 2026.
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
Real yields are the tax on holding commodity inventory. For nat gas the tax is bigger than for crude because gas carries cost more per unit of market value. Underground storage, salt-cavern leasing, pipeline capacity, and financing on seasonal inventory loads all scale with the price level.
State-conditional edges are monotonic. State plus one (low real yields) delivers plus 1.27pp forward 60-day edge above the baseline. State minus one (high real yields) delivers minus 1.40pp edge. The 2022-2023 Fed hiking cycle is the archetype: state minus one for 442 trading sessions, NG minus 54 percent. The current regime matches: 123 sessions in state minus one since May 11, 2026, NG minus 20 percent in-regime.
LIVE CHART
Twenty-four years of US 10Y TIPS real yields against NYMEX natural gas forward returns.
What the chart is showing. The dark line in the top panel is the the US 10-year TIPS yield real-rate overlay composite on a tanh-bounded plus-or-minus one scale. Positive means low real yields (bullish gas carry). Negative means high real yields (bearish, carry taxed). The bronze line is NYMEX natural gas.
COMPOSITE
-0.911 / tanh
STATE
Moderate NEG
PHASE
-1
FWD 60d
edge -1.40pp
SAMPLE N
5,931 days
TODAY’S PLAYBOOK READING
STATE
Moderate Neg
STATE AND HISTORY
Composite -0.911 (Moderate NEG, 124 sessions). US 10Y TIPS real yields are deeply elevated enough to tax gas inventory carry. The state has delivered minus 1.40pp edge. The 2022-March to 2023-December hiking-cycle analog ran 442 sessions and delivered NG minus 54 percent.
THE REAL-RATE DRAG ON GAS CARRY
Gas carries are a BIGGER fraction of market value than crude carries. Underground storage leasing, pipeline capacity fees, and seasonal-storage financing all scale with the price level. When the US 10-year TIPS yield rises, gas speculators rotate out faster than crude speculators. The 24-year monotonic edge confirms it.
HOW TO POSITION
Non-overlap 63-day IC plus 0.187 at p=0.07 is marginally significant. Daily IC not significant due to composite autocorrelation. The signal is a state-conditional backdrop. The current regime has been running 6 months with NG down 20 percent in-regime.
WHAT THE CHART SHOWS
The composite tag at the right edge of the top panel is sitting at -0.911, firmly in the Moderate NEG band near the extreme threshold. The bronze NG line has fallen from 3.65 to 2.89, a minus 20 percent in-regime move.
TOP INPUTS FIRING
- Primary composite -0.911 Single-leg tanh-bounded composite of the US 10-year TIPS yield on a 252-day rolling z-score, polarity-flipped.
- Raw rolling z-score -1.49 the US 10-year TIPS yield sits roughly 1.5 standard deviations above its 252-day trailing average.
- Phase run 124 sessions Current Moderate NEG regime entered May 11, 2026. Six-month run against the 2022-2023 analog which lasted 442 sessions.
THE TAKEAWAY
What this means for you today
WHAT THE REAL-RATE OVERLAY IS TELLING YOU
The composite reading of -0.911 sits in the Moderate NEG band, 124 sessions into the regime since May 11, 2026. The raw z is -1.49, meaning the US 10-year TIPS yield is roughly 1.5 standard deviations above its 252-day trailing average. Real yields are deeply elevated, taxing gas inventory carry. The state-conditional forward sixty-day expectation is a minus 1.40pp edge below the baseline.
THE 2022-2023 ANALOG
The closest historical parallel is the 2022-March to 2023-December Fed hiking-cycle window. State Moderate NEG ran 442 trading sessions and NG fell 54 percent. The current cycle at 123 sessions is at month 6 of what could become a similar long real-rate drag on gas.
WHAT WOULD CHANGE THIS READING
Two triggers. First, a composite cross above plus 0.3 (low real yields return). That would require TIPS 10Y to fall meaningfully relative to its five-year trailing average, which historically requires a Fed pivot. Second, the composite drifts back toward Normal.
THE REGIME MAP
The three regime states, forward returns and sample share
Behavior across the the US 10-year TIPS yield real-rate overlay composite (NYMEX NG benchmark, 2003 through present). CLEAN MONOTONIC three-regime edge.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| High real yields (bearish gas) TODAY | -1 | 43.1% (2559 d) | -2.78% | -1.05pp | May 2026, May 2026, Apr 2026 | |
| Neutral real-rate backdrop | 0 | 8.6% (508 d) | -2.00% | -0.27pp | May 2026, May 2026, Apr 2026 | |
| Low real yields (bullish gas) | +1 | 48.3% (2865 d) | -0.77% | +0.96pp | Apr 2026, Mar 2026, Feb 2026 |
The historical pattern of US 10Y TIPS real yields against nat gas
The signal across 24 years of the US 10-year TIPS yield nat gas real-rate overlay
THE TRACK RECORD
State changes
| State | Start | End | Duration | Fwd 60d SPY |
|---|---|---|---|---|
| High real yields (bearish gas) | 11/04/2024 | 11/07/2024 | 4d | +4.91% |
| Neutral | 11/08/2024 | 11/11/2024 | 2d | +0.43% |
| High real yields (bearish gas) | 11/12/2024 | 11/27/2024 | 12d | +1.41% |
| Neutral | 11/29/2024 | 12/10/2024 | 8d | -1.39% |
| High real yields (bearish gas) | 12/11/2024 | 02/04/2025 | 37d | -8.00% |
| Neutral | 02/05/2025 | 02/05/2025 | 1d | -6.20% |
| High real yields (bearish gas) | 02/06/2025 | 02/20/2025 | 10d | -7.06% |
| Neutral | 02/21/2025 | 02/24/2025 | 2d | -0.85% |
| Low real yields (bullish gas) | 02/25/2025 | 03/05/2025 | 7d | -1.92% |
| Neutral | 03/06/2025 | 03/07/2025 | 2d | +3.49% |
| Low real yields (bullish gas) | 03/10/2025 | 03/10/2025 | 1d | +6.31% |
| Neutral | 03/11/2025 | 03/18/2025 | 6d | +6.68% |
| Low real yields (bullish gas) | 03/19/2025 | 03/21/2025 | 3d | +5.27% |
| Neutral | 03/24/2025 | 03/27/2025 | 4d | +4.07% |
| Low real yields (bullish gas) | 03/28/2025 | 04/04/2025 | 6d | +9.26% |
| Neutral | 04/07/2025 | 04/07/2025 | 1d | +23.98% |
| High real yields (bearish gas) | 04/08/2025 | 04/23/2025 | 11d | +25.02% |
| Neutral | 04/24/2025 | 04/29/2025 | 4d | +15.03% |
| Low real yields (bullish gas) | 04/30/2025 | 04/30/2025 | 1d | +14.86% |
| Neutral | 05/01/2025 | 05/01/2025 | 1d | +13.75% |
| High real yields (bearish gas) | 05/02/2025 | 05/06/2025 | 3d | +11.95% |
| Neutral | 05/07/2025 | 05/07/2025 | 1d | +12.48% |
| High real yields (bearish gas) | 05/08/2025 | 06/23/2025 | 31d | +11.13% |
| Neutral | 06/24/2025 | 07/02/2025 | 7d | +9.29% |
| High real yields (bearish gas) | 07/03/2025 | 07/08/2025 | 3d | +6.13% |
| Neutral | 07/09/2025 | 07/10/2025 | 2d | +7.24% |
| High real yields (bearish gas) | 07/11/2025 | 07/18/2025 | 6d | +7.70% |
| Neutral | 07/21/2025 | 07/22/2025 | 2d | +5.32% |
| High real yields (bearish gas) | 07/23/2025 | 07/23/2025 | 1d | +4.17% |
| Neutral | 07/24/2025 | 07/28/2025 | 3d | +4.72% |
| Low real yields (bullish gas) | 07/29/2025 | 07/29/2025 | 1d | +5.12% |
| Neutral | 07/30/2025 | 07/31/2025 | 2d | +5.88% |
| Low real yields (bullish gas) | 08/01/2025 | 08/14/2025 | 10d | +10.22% |
| Neutral | 08/15/2025 | 08/19/2025 | 3d | +5.91% |
| Low real yields (bullish gas) | 08/20/2025 | 12/31/2025 | 93d | +5.32% |
| Neutral | 01/02/2026 | 01/02/2026 | 1d | -4.81% |
| Low real yields (bullish gas) | 01/05/2026 | 01/16/2026 | 10d | -4.72% |
| Neutral | 01/20/2026 | 01/23/2026 | 4d | +3.55% |
| Low real yields (bullish gas) | 01/26/2026 | 01/30/2026 | 5d | +2.67% |
| Neutral | 02/02/2026 | 02/04/2026 | 3d | +2.33% |
| Low real yields (bullish gas) | 02/05/2026 | 03/12/2026 | 25d | +5.96% |
| Neutral | 03/13/2026 | 03/13/2026 | 1d | +11.29% |
| Low real yields (bullish gas) | 03/16/2026 | 03/19/2026 | 4d | +8.43% |
| High real yields (bearish gas) | 03/20/2026 | 04/10/2026 | 15d | +15.69% |
| Neutral | 04/13/2026 | 04/13/2026 | 1d | +9.56% |
| Low real yields (bullish gas) | 04/14/2026 | 04/14/2026 | 1d | +8.71% |
| Neutral | 04/15/2026 | 04/28/2026 | 10d | +7.03% |
| High real yields (bearish gas) | 04/29/2026 | 04/30/2026 | 2d | +3.87% |
| Neutral | 05/01/2026 | 05/01/2026 | 1d | +1.22% |
| High real yields (bearish gas) | 05/04/2026 | 05/07/2026 | 4d | +3.30% |
| Neutral | 05/08/2026 | 05/08/2026 | 1d | +4.36% |
| High real yields (bearish gas) | 05/11/2026 | 11/04/2026 | 124d | +3.96% |
Scroll inside the table for the full history. Forward 60-day SPY is measured from each run’s start date; a reader cannot trade off a start-date they only identify in hindsight, so this is a transparency log, not an alpha claim. Asterisked (*) returns are partial. The run is less than 60 trading days old. The full 60-day comparable fills in as more data arrives.
What this measures
Real yields determine the opportunity cost of holding gas inventory versus holding risk-free bonds. When the US 10-year TIPS yield rises, seasonal storage carriers face a real-rate tax on their balance sheets, pipeline capacity holders see financing costs rise, and speculator flow rotates out. The signal reads the 252-day z-score of the US 10-year TIPS yield, polarity-flipped so positive composite tracks LOW real yields (bullish gas carry).
Why it matters
Why real yields tax gas carry harder than they tax crude carry
Both gas and crude face real-rate drag on inventory carry. Gas faces a BIGGER drag because gas-storage costs are a larger fraction of gas market value. Underground storage leasing runs 10 to 20 cents per MMBtu per month. Pipeline capacity fees are structural. Seasonal-storage financing dominates mid-stream balance sheets. The 24-year monotonic edge confirms the mechanic.
Why this is the real-rate complement to the gas supply signals
Gas is primarily a seasonal-storage commodity. Supply shocks come through weather, LNG demand, and storage inventory. The macro channel through real yields is ORTHOGONAL to all of these. The signal captures the structural backdrop.
How to use this signal today
The composite -0.911 reading is in the Moderate NEG band and the phase has been running 124 sessions. Six months of sustained real-rate drag on nat gas. For a gas PM, run any bullish gas thesis smaller until the real-rate channel resolves.
Signal consumers and siblings
Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.
Last refreshed Nov 06, 2026 03:39 PM ET