We looked at a UNG bull put spread, a directional long play with a deep in the money, hi delta call (jul 10) and a short call on the shorter term month (jul 15).   We filled on that for about 3.19 debit, with the short call worth about 30c (about 30 delta at the time).   The spread is now worth about 4.45, with the short call up to 80c or so.  So we face the nice dilemma of being way up on the trade, but down on the short call, and very wide spreads (the banksters always have a way of getting even) on the in the money call.  Our "options" are numerous.  We can assume global warming reasserts and nat gas will go to zero and just take what we can get for the spread at around 4.45 (tidy gain of 39%).  Or , we can rollout the 15 short call from May to April.   That sounds like a 50c loss, but the credit we take in for April is about $1.15, so we get another net credit of around 35c for April in addition to the 30c for when we initially sold the March 15. 

Or , if we're neutral on gas for the rest of the month, we could sell short credit spreads on either side of the 15 strike and collect about 80c for an iron condor (short 15 / 14 put spread , short 15/16 call spread).  With the 80c short call, that's 1.60 opportunity.  Assuming we're at $15.00 on UNG as we write, if we close above 16, we gain 1 point on the long July 10 put, collect the 1.60, but lose 2 points on the 2 short 15 calls for a net gain of 60c.  In that case, we would exercise our long call and it would get called away and we'd be done.   If we close below 14 , we collect 1.60 and lose 1, still gain 60 c , but we're still in the trade as nothing would get called away.  We'd just close our puts near expiry in March and resell out of the money calls for April and let those hardworking Jul 10 calls continue to generate huge percentage annual returns