Abstract Many analysts believe that natural gas will have an increasingly important role in the next few decades. Accordingly, understanding the underpinnings of natural gas prices is likely to be critical, both to policy analysts and to market participants. At present, it is common to assume that these prices follow a geometric Brownian motion, i.e., that log returns – the inter-temporal differences in the natural log of prices – are normally distributed (possibly allowing for some form of mean-reversion). Increasingly, however, it has been recognized that the arrival of new information can lead to unexpectedly rapid changes – or jumps – in spot prices. The implication is that the presumption of normally distributed log-returns may be suspect. In particular, the prospect for abnormally fat tails becomes important. This article investigates the potential presence of jumps in two key natural gas prices: the spot price at the Henry Hub in the U. S., and the spot price for natural gas at the National Balancing Point in the U. K. We found compelling empirical evidence for the importance of jumps in both markets, though jumps appear to be more important in the U. K.