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.
The bull run that we observed during Q3-2018 got almost entirely cancelled over the course of Q4-2018. As an example, the TTF cal19 contract went down from 25.6 EUR/MWh to 21.7 EUR/MWh. At the same time the Q120 x Q319 TTF spread went up with approximately 0.4 EUR/MWh. An explanation could be the relatively mild and eventless winter we have seen so far. Northwest European storage levels are therefore at an above average level, leading to less risk for strong injections over Summer as we have seen in 2018. Interestingly enough the same spread on the NBP only showed marginal movement during Q4-2018. Volatilities at the TTF and NBP did not show big movements.
For the storage values this led to a clear increase in the intrinsic value, but at the same time a decrease of the overall storage value (intrinsic + extrinsic). For our 60/60day TTF storage product for example, the total option value went down with 0.5EUR/MWh to 4.0EUR/MWh.
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.
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