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 winter started relatively mild. Together with the ongoing strong inflow from LNG, unusual low storage withdrawals were seen during Q4-2019. Spot prices remained low as well. The TTF spot prices were in the last week of December 2019 around 12€/MWh. This is about 10€/MWh lower than during the last week of 2018. The combination of low spot prices and high storage levels put downward pressure on the whole front end of the curve. The TTF Summer 2020 went down during Q4-2019 with 32% from 17.2€/MWh on 1 October 2019 to 11.7€/MWh on 31 December 2019. The Q1-2021 contract went down less, leading to a doubling of the Q1-2021/Q3-2020 spread to 5.34€/MWh at the last trading day of 2019.
The intrinsic value of the storages of our report went up in the same way. The intrinsic value for our TTF 30/30 product is now calculated at 5.02€/MWh, compared to 1.96€/MWh in our October report.
Our view on the spot volatility went up as well. The TTF spot volatility is now marked at 65%, up from 57% in our report 3 months ago. This value is still lower than the spot value calculated using a one-year historical window. This lower assessment is for example confirmed when looking at the results of the Gasterra storage auction of end of November 2019. The published prices for this auction suggest that the market uses lower volatility assumptions than based on a one-year historical window.
With the increase in both intrinsic value and volatility, the full market value of all our storages went up. We calculate for example the 10% percentile of the Full Option value for the TTF 30/30 storage products at 7.23€/MWh, an increase of almost 50% compared to our previous report.
For the swing contracts we now publish the results of new delivery periods, calendar year 2021. The other product characteristics have not been changed compared to our previous report.
To read the complete report with graphs and tables: KYOS Gas Storage and Swing report Nr 25 Jan 2020
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, together with our own suggestions, forward curves and other parameters and settings. The model calculates the intrinsic value 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. Numerous companies in the energy industry already use our valuation software. You can find more information about our gas optimization software on our solutions page here.
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