An ultrasensitive long period fiber grating (LPFG) sensor is proposed and investigated for the measurement of methane volume fraction by applying the selective adsorption property of cryptophane-E to methane. The cladding diameter is reduced to make the low order cladding mode LP₀₆ work near dispersion turning point (DTP). The TiO₂ thin film with optimized thickness is coated on the surface to ensure coupled cladding mode LP₀₆ within the mode transition (MT) region, which can result in higher refractive index (RI) sensitivity of LPFG. The methane gas changes the RI of the cryptophane-E that is coated on the surface of the LPFG sensor, and then the methane volume fraction can be measured by monitoring the shift of the resonance wavelength. A high sensitivity of 249.6 nm/% can be achieved when the methane volume fraction changes from 0% to 3.5% owing to the contribution of DTP and MT. A back-propagation (BP) neural network is designed for the nonlinearity response of the sensor at different volume fraction. The result shows that a maximum predicted error of 0.008% is recorded in the methane volume fraction change range. The excellent performance shows that the proposed sensor has potential application value in the field of coal mine safety monitoring.