Gas Storage and Swing Report – quarterly update

15 April 2021

Make the most of your gas storage!

gas storage and swing report april 2021Every 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.

Gas Storage and Swing Report – Market Comments April 2021

The first quarter of 2021 showed a completely different gas market than the first quarter of 2020. Where TTF day-ahead prices ended Q1-2020 at just above 7€/MWh, prices at 31 March 2021 were more than 10€/MWh higher at 18.5/MWh!

Our assessment of volatility went slightly down. Spot TTF for example, is now at 51% as compared to 53% in our previous report. As of this report we will assess a new set of storage contracts for storage year 2022/23. The price moves over Q1-2021 had little effect on the forward shape of the curve. As a result, the intrinsic value of the reported swing contracts, with delivery year 2022, stayed basically at the same level as previous quarter. The overall value (intrinsic plus extrinsic) of the swing contracts went down as a result of the lower volatility assumptions.

To read the complete report with graphs and tables, please click here: KYOS Gas Storage and Swing report Nr 30 April 2021

Methodology

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.

More information

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: info@kyos.com.