We evaluate price discovery in the natural gas futures and futures options markets using a transaction‐based approach. By sampling market maker prices, we allow for a distinction between market maker buy and sell futures prices, both directly from trades in the futures market, and futures prices implied by trades in the options market. Information shares are compared between futures and options markets as well as within the options market. Given the common architecture of the two markets, as expected we find little price information generated in the options market. Within the options market, the highly levered out‐of‐the‐money options offer less price discovery than other options. We attribute this to the higher transaction costs of out‐of‐the‐money options. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark