Veteran natural-gas trader John Woods has a simple trading strategy around data on U.S. gas stockpiles: Stay away.

Mr. Woods and other floor traders on the New York Mercantile Exchange used to look forward to the weekly report of gas-inventory figures by the U.S. Energy Information Administration, widely considered the best reading of gas supply and demand in the U.S. Traders would be glued to their computers before the data's release at 10:30 a.m. on Thursdays, ready to dive into the busiest trading window of the week.

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