well natural gas can go as low as 1.5 adjusted for inflation from 1.02 in 1992! It can as well go to 1 buck! that means unl,gaz, unl can go down half of their current value for the worst case! that also means 1 gallon of gas is now 21 cents and can go as low as 10 cents which is unthinkable! But the way market works it can happen! But if you stay with it for long haul( 2 to 10 years). It can make you a fortune! if natural gas starts turning around this is an easy double by then of the year! no questions about it!
They basically sell puts, then buy up GAZ shares -- it doesn't take much, pumping a few million bucks into it will raise the price quickly as it normally doesn't even trade $1 million a day -- then they buy the puts back to close. At the higher prices, they sell expensive calls, dump all the shares they bought, making the price plummet and the calls expire worthless.
Look at the price action around options expiration the last few months (2/21/12, 3/16/12) and you will see exactly what's going on.
Unfortunately there's no way to profit from the premium because there are no shares to short and you can't predict the moves that Flow Traders will make. The premium won't last forever but there's no way to know when Flow Traders will move on. Definitely don't own GAZ on the long side, obviously.
And I have a hunch that Flow Traders greatly reduces its positions right before reporting date so as to disguise their true activities...it's what any smart manipulator would do.