ET Part 1 - Basic Objects

  1. Was sind Futures und Forwards?
    Was ist der Unterschied?
    • beides sind verbindliche Terminkontrakte
    • -> Verpflichtung zur Lieferung/Kauf

    Futures werden börslich gehandelt und haben feste Vertragsparameter

    Forwards werden nicht börslich gehandelt, sondern OTC und sind individueller
  2. Was ist Delta Hedging?
    • Delta ist einer der „Griechen“
    • “Das Verhältnis der Änderung des Optionspreises zur Änderung des zugrundeliegenden Aktienkurses“
    • -> Anzahl der Aktien, die wir für jede Shor-Position halten müssen, um ein risikoloses Portfolio zu bilden
  3. Which position can PP owner choose?
    What does it cause?
    • PP owner can always choose between producing and selling electricity or buying it for cheaper on the market
    • they create demand & supply
  4. Name characteristics of the (EEX) Spot Market
    • trading in power, natural gas and CO2 emission rights
    • power day-ahead auctions (24/7)
    • 24h of the respective next day can be traded in 1h-intervals or block orders (Baseload 1-24, Peakload 9-20, Night 1-6, Rush Hour 17-20, Business 9-16)
    • continuous power intraday trading until 75min before delivery, delivery on the same/next day in single hours/blocks
    • participants submit their price offer/bid curves
    • ↳ EEX system prices are equilibrium prices
    • EEX day prices = average of 24 single hours
  5. Name facts about the day-ahead auctions
    • 24/7 auctions
    • 24h of the respective day in 1h-blocks/intervalls
  6. Name facts about the Intraday auctions
    Continuous trading until 75min before delivering in single hours/blocks
  7. Phelix Base / Price development
    • price seems to hover around instead of clearly rising/falling:
    • ->no clear Drift, more like a constant movement
    • ->longterm equilibrium in the market (needs have to be satisfied longterm)
    • -> ups/downs due to shortage/transport problems/overproduction
    • -> extreme spikes due to non-storability of electricity
    • —>electricity demand is rather inelastic while supply is going down: demand will react to shortages with high jumps (no flexibility)
    • negative prices: grid security, non-storability and unflexibility of PPs while short times of low demand costs
    • after financial crisis: rise of renewables lead to fewer spikes (renewable energy law changed priority in the market = REs eating profitable lunchtime hours due to zero marginal costs)
  8. Characteristics of Electricity
    • not storable
    • homogeneous
    • different production ways
    • production on demand
    • high demand fluctuation
    • no short-term electricity in demand
    • high price volatility due to renewables in-feed
  9. Electricity Markets
    A centralised platform where participants can exchange electricity transparently according to the price they are will ti pay/receive and according to the capacity of the electrical network.
  10. Fixed Gate Auctions
    • Participants submit sell/buy orders for several areas&hours
    • submissions are closed at a pre-specified time (closure)
    • market is cleared
    • —> day-ahead
  11. Continuous-time Auction
    • Participants continuously submit orders, orders are stored
    • Each time a deal is feasible, it‘s executed
    • —> intra-day
  12. EEX - traded products
    • Future contracts for GER & FRA with delivery periods: week, month, quarter, year
    • GER: single days and weekends
    • European style options on futures
  13. EPEX - traded products
    • Auction day-ahead and continuous intra-day market
    • products are individual hours, baseload, peakload, blocks of continuous hours
    • Intraday market is open 24/7 and products can be traded until 30mins before delivery
    • GER 15min contracts possible
  14. Day-ahead Market
    • correct longterm production schedule
    • sell expensive and buy cheap hours for flexible PPs
    • adjust residual load profiles
    • renewables can not sell averages due to intermittent production (long term)
  15. Intra-day Market
    trading (quarter) hours until 30min before start of period; continuously during the day

    • Motivation for trading intraday:
    • ⇾ correct/optimise the day-ahead position
    • ⇾ optimise PP usage
    •     ↳generator can run their PP or buy electricity if cheaper
    • customer can optimise their demand
    • renewables can react to changes in the forecast
    • balancing quarter-hour ramps with quarter-hour contracts (buy while starting and sell if overproduction occurs)
Card Set
ET Part 1 - Basic Objects
Energy Trading