Every quarter we publish an update of our Natural Gas Storage and Swing Report. It presents price assessments of a few standard storage and swing contracts, which you can benchmark to your own valuations. Above all, the report provides transparency to an otherwise opaque trading market, also revealing the underlying assumptions about market prices, market volatilities and trading strategies. Take advantage of our free service to you!
With our Natural Gas Storage and Swing report, we report about a few selected contracts. But of course we realize that you may have different needs! Our report compares the current quarter to the previous, but would you need data per month? Or do you need historical valuations? Or over a longer horizon? No problem, just contact us for more information.
We have in the past made customized reports for very different types of companies. For example, we provided data that was used in several arbitration cases between energy companies. Also companies used our analysis to facilitate their investment or divestment decisions.
An important value driver of month-ahead indexed swing contracts is the spot volatility. Our spot volatility assessments went down compared to our last report. As a result, lower values of the TTF and NBP month-ahead indexed swing contracts can be observed. For example the assessment of the TTF cal20 full option value went down from 1.58€/MWh to 1.25€/MWh.
For the fixed price swing contract a different picture can be seen. Due to the big change in the shape of the forward curve, the value of these contracts went up. The main driver here is the Q1-20 vs Q4-20 spread. Our swing contracts are priced at the Q1-20 contract. During our previous report, the Q4-20 price was (well) below the Q1-20 price. Currently, with a forward price largely in contango, the Q4-20 is much closer to the Q1-20 price. This leads to a higher option value of the fixed price swing contract.
As of this quarter we consider a new set of storage contracts, for the storage year starting at 1 April 2020. This makes it not possible to compare the values to our previous report. One thing to note however is that the dramatic increase in the “Q1/Q3 storage spread” that can be observed for the current storage year (i.e. Q1-20 versus Q3-19) is not fully echoed into the storage year 2020.
Please view the pdf to see all data and graphs:
All valuations have been performed with KYOS software and models, KyStore and KySwing. KyStore and KySwing support traders, portfolio and risk managers in natural gas markets. Inputs include market parameters, including our own suggestions, forward curves and other parameters and settings. The intrinsic value is based on the forward curve and takes tradable products and bid/ask spreads into account. Our software uses Monte Carlo simulations of spot and forward prices to provide the rolling intrinsic and option values. KYOS valuation software is widely used in the energy industry. You can find more information about our gas optimization software on our solutions page here.
Would you like more information about the models and assumptions underlying this report, or request a demonstration of the KYOS software? Contact us for more information via the contact form in the black section below, or send us and e-mail: firstname.lastname@example.org.
Nieuwe Gracht 49
2011 ND Haarlem
Tel: +31 (0)23 551 02 21
Contact us via the form below. We will reply within 48 hours.