This paper presents the first comparative analysis of the relationship between natural gas storage utilization and price patterns at three major European trading points. Using two indirect tests developed by Fama and French (1987,1988) that are applied in other commodity markets, we impose the no arbitrage condition to model the efficiency of the natural gas market. The results reveal that while operators of European storage facilities realize seasonal arbitrage profits, substantial arbitrage potentials remain. We suggest that the indirect approach is well suited to provide market insights for periods with limited data. We find that overall market performance differs substantially from the competitive benchmark of the theory of storage. (C) 2009 Elsevier Ltd. All rights reserved.