The share of renewable in the energy mix has significantly grown over the last decade. This has led to a shift in the merit order and, as a result, to a decrease in revenues from conventional power assets, such as CCGT power plants. Meanwhile, the increased market volatility caused by the growing share of renewable provides a financial opportunity for asset owners and our customers facing specific power market risks. We help owners gain value from their assets and offer hedging solutions against the “Greeks”—factors which influence the price of an options contract—to maximize asset revenues for our customers in the current market context.

How it works

We model the power plant as a strip of options—a combination of options contracts used as a market-neutral trading strategy when the market is bullish and the volatility is high. The combination may include daily peak options or off-peak CDS/CSS options. Strip options enable the plant owner to measure the exposure to market price changes, and quantify the intrinsic and extrinsic values of the asset. The strategy also enables the owner to hedge against the “Greeks” and helps monetize the extrinsic value of the asset.

 

Our offers

To maximize revenues for our customers, we provide a wide range of modeling offers and hedging solutions.

 

Our modeling offers

  • Power plant profitability assessment
  • Development of models to represent power plant assets as spread options
  • Evaluation of hedge quality of spread option sales and its impact on profitability

Our hedging solutions

  • Virtual Power Plant (VPP): hedge the market risk of your asset up to DA
  • Tolling Agreement: hedge the market risk, asset availability risk, and intraday exposure
  • Dynamic delta hedging strategy: profit from market movements while keeping the risk to a minimum

 

Get in touch

We'd be delighted answering your questions.

Contact us