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Power Nominals Report Elements PDF Print E-mail

What are the field definitions in the CSV and XLS files?

  • ISO-Market identifies the location and term. ISO refers to which Independent System Operator has responsibility for the particular locational marginal price (LMP). The market is an acronym identifying the specific hub or zone. The year combined with the conventional commodity month letter code identifies the term.The list of markets covered is extensive.
  • Price is the modeled risk-neutral power value for the Day Ahead market  It should be interpreted as the risk neutral expected value of a forward trade taken through full DA LMP delivery.
  • FVol is the modeled forward volatility. It is expressed as an annualized percent and is consistent with conventional “implied volatility”.
  • DVol is the modeled delivered volatility. It is expressed as a percent, but not annualized. It is not consistent with “implied volatility” and parts of the Black-Scholes theoretical structure. Specifically, Dvol exhibits no time decay. Nevertheless, FVol and DVol can be combined to derive a view of volatility throughout the combined forward and delivery period.
  • dNG measures the sensitivity of the power price to small changes in natural gas price. For example, dNG=0.8 means: given a 1% change in natgas price, the power price would change 0.8%. dNG varies considerably by location, season, and by pricing relationships among the fuels.

Please review the extended discussion and the 'Implementation Notes'.

 

 
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