Natural gas futures shook off early losses Thursday and rallied for a third straight day in tandem with a surge in U.S. crude prices, which closed above $40 a barrel for the first time since early December. Natural gas futures for April delivery rose 3.6% to settle at $1.9360 a million British thermal units on the New York Mercantile Exchange, their highest level in a month. Natural gas futures have fallen more than 30% in the past…