This is the play that Terraform Industries is engaging in as well. Cost for synthesizing a unit of methane from atmospheric CO2 and water using solar power is set to drop lower than the cost of drilling it out of the ground.
Shipping is a huge component of the price of natural gas. So it'll be a long time before they're cheaper than the price of natural gas in Alberta or Siberia, but they'll be able to beat the price in Los Angeles a lot sooner.