Which volatilities are used?

EOX implied volatilities for the market and month, where your subscription includes them. You can give your own volatility instead, and your own correlation for heat-rate calls.

Which months are valued?

Months whose options have not yet expired. Months already expired are left out of the total, and the result lists them.

Can I value a put or a short position?

Yes. Choose call or put, and buy or sell; the value and greeks carry the sign of your position.

Is this a valuation opinion?

No. It is the deal's value on EOX curves and volatilities, for your own analysis.

Tools › Options valuation

Power and gas option valuation on forward curves

Value power and natural gas options and heat-rate call options on EOX forward curves, EOX implied volatilities and EOX correlations, or on volatilities and a correlation you supply.

What goes in, what comes out

The deal

A strip of monthly options: the market, the term, the block (power) and the quantity
Call or put, the strike, and buy or sell
A heat-rate call option: the power and gas markets, the heat rate and a variable cost per MWh
Optionally your own volatility, gas volatility and power / gas correlation

The results, month by month

Value, and for heat-rate calls intrinsic and extrinsic value
Delta and vega; for heat-rate calls, power and gas deltas
The forward prices, volatilities and correlation each month used
Totals for the strip, with months already expired left out and listed

Options are European, one a delivery month, priced with Black-76; heat-rate call options use Kirk's approximation for a spread option. Every input comes from the curves, volatilities and correlations your subscription covers.

Example

A heat-rate call option at HUB1 against GAS1: 50 MW on-peak, 10.0 MMBtu/MWh, $3/MWh variable cost, 12 months:

Value1,840,00012 months

Intrinsic value610,000extrinsic 1,230,000

Power delta98,400MWhgas delta −812,000 MMBtu

Per MWh9.58value / on-peak MWh

HUB1 and GAS1 are placeholders and values are illustrative.

Use it from

Python

from eoxlive import EOX
eox = EOX("YOUR_KEY")
res = eox.value_deals([{"type": "hr_call", "iso": "ISO1", "market": "HUB1", "gas_market": "GAS1", "block": "on",
                        "quantity": 50, "heat_rate": 10.0, "vom": 3, "start": "2027-01", "end": "2027-12"},
                       {"type": "option", "commodity": "gas", "gas_market": "GAS1", "option_type": "call",
                        "quantity": 10000, "price": 4.00, "start": "2027-01", "end": "2027-03"}])
res["deals"][0]["total"]          # value and greeks
res["deals"][0]["months"]         # month by month, as a DataFrame

Or in the browser, on the Valuation page, signed in with your EOX account.

Questions

Which volatilities are used?: EOX implied volatilities for the market and month, where your subscription includes them. You can give your own volatility instead, and your own correlation for heat-rate calls.
Which months are valued?: Months whose options have not yet expired. Months already expired are left out of the total, and the result lists them.
Can I value a put or a short position?: Yes. Choose call or put, and buy or sell; the value and greeks carry the sign of your position.
Is this a valuation opinion?: No. It is the deal's value on EOX curves and volatilities, for your own analysis.

Included with your subscription. The tools use the curves, vols and correlations your subscription already covers, under the same entitlements, and are never charged for separately. Results are for information only; values shown on this page are illustrative.

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