Valuation
Value swaps, options, heat-rate call options, PPAs, batteries and gas storage on EOX curves, vols and correlations.
Deal
8760 hourly values (Jan 1 00:00, local standard time) or 12 rows of 24.
Day-ahead backtest
By year
By month
Forwards against day-ahead
Each past month's EOX on- and off-peak mark, taken before the month began, against the hub's day-ahead average over the same hours.
Every deal is valued month by month on one curve date.
- Options use Black-76 on EOX implied vols (power straddle, gas at the money) and expire the business day before delivery, four business days before for gas.
- Heat-rate calls use Kirk's approximation with EOX power and gas vols and EOX's power / gas correlation, exercised monthly.
- PPAs value generation against the hub price hour by hour, shaped within each block from the hub's own day-ahead prices where we load them. On-peak is HE7–HE22 local time, Monday to Friday with NERC holidays off-peak; Monday to Saturday in CAISO and WECC; every day, holidays included, in Alberta. MISO hours are Eastern Standard Time all year.
- Typical solar and wind shapes come from EIA-930 generation in the market's balancing authority. Upload your own for a real project.
- Past the last Month contract, a month uses the quarter, season or calendar that covers it. Months past the end of the curves are left out, and the results say so.
- Batteries are valued on the hourly-shaped forward curve: the best daily charge and discharge schedule for each kind of day (weekday, Saturday, Sunday / holiday) within the power, energy, efficiency and cycle limits. That is intrinsic value; the day-ahead backtest shows what the day-to-day swings added over the last year. Energy arbitrage, before capacity payments. Where the grid operator runs a day-ahead market for reserves, the battery can also hold regulation and reserves, co-optimised with energy hour by hour: it is paid the day-ahead price for the capacity held, needs room to move and enough stored energy to sustain each award, and its forward value uses EOX's reserve curves.
- Gas storage is valued on the gas market's fixed-price curve: the best monthly injection and withdrawal plan within the field's capacity, rates, fuel and costs (intrinsic value, at flat rates without ratchets). The backtest runs the same field over the last complete storage year on EOX's own curve history, re-hedging the plan on every curve date (rolling intrinsic), which shows how much of the option value re-hedging captured.
- Nothing you enter is stored.