Unusual Natural Gas Trade Raises Questions

Free Markets, Fair Markets?

The old Washington questionwhat did they know, and when did they know it?is being asked again today in a very modern context.

It's a story of enormous amounts of money, closely kept secrets, and information that moves in less than the blink of an eye.

On Thursday, the Department of Energy's Energy Information Administration put out a typically obscure news release at exactly 10:30 a.m. about natural gas in storage volume.

The government puts this information out every week, measuring natural gas stocks in underground storage in the United States. It's little-noticed information by the general public, but it means a lot to energy traders because the new numbers immediately impact energy prices in the markets each time they are made public.

(Read More: Shell CEO: No Major Recovery for Natural Gas in 2013.)

On Thursday, Chicago-based analysis firm Nanex noticed something unusual in trading of natural gas futures and ETFs—an explosion of trading just 400 milliseconds before the official announcement at 10:30 a.m.

Nanex said that less than a second before the world knew the government's information, someone sold about 250,000 futures in a series of transactions worth a total of about $4.6 million.

There were several buyers at that instant, but the sellers vastly outweighed them, says Eric Hunsader of Nanex. That could be an indication of improper trading by someone with advance knowledge of the information. But it could also simply be evidence of a trader who got very, very lucky.

Source: NANEX

It's not clear who made the trades, or why they made them, but the traders stood to gain from the futures sales: When the information became public an eye-blink later, the futures lost value, and those who sold early avoided a loss.

Hunsader thinks this is evidence that the government's news leaked early and led to improper trading. And he worries that news of a shutdown of a federal investigation led by the FBI and SEC into similar early releases of information by other government agencies could embolden traders who are somehow getting government information a beat before everyone else.

"Now that the Feds have stated that they don't think there is merit in prosecuting people who get news information earlier than others by milliseconds, is it any wonder?" he asked in a blog posting Thursday.

The Energy Information Administration did not respond to a request by CNBC for a reaction to the trades, but an official at the FBI did. "We are aware of the trades," the FBI said. "And we are aware that these types of transactions are happening."

The official did not say what the implications of that could be for those who executed the trades.

CNBC revealed last year that the Department of Energy has long had a problem with mysterious computer users who access the government website with "malicious intent" to slow down the website's release of data to the general public while speeding it up for themselves. (Read More: The Department of Energy Is Under Attack. Cyber Attack.)

—By CNBC's Eamon Javers; Follow him on Twitter: