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Argus North American Electricity Implied Volatilities

An Argus risk data service, published daily

The Argus Electricity Implied Volatilities service provides a powerful, independent market valuation tool to support risk management and trading decisions in the electricity markets across North America—implied volatilities are derived from current forward market option prices in contrast to historical volatilities.

Argus uses a wide range of data sources to determine market value for electricity locations and forward periods. For illiquid locations and terms, locational spreads and time spreads are used as the basis for establishing current fair market values.

Markets Covered

  • PJM
  • WSPP
  • MISO

A total of 19 trading hubs

 View complete list of markets covered

Key Features

  • On Peak call, put and straddle option assessments  
  • Volatility Smile for PJM West Hub, Mass Hub, Indiana Hub, Mid-C, SP-15 and ERCOT North Zone
  • Volatility time period extends a minimum of 2 years forward
  • Independently produced and transparent methodology
  • Delivery options: Email, FTP data feed and third-party delivery partners, such as Morningstar and ZEMA

Argus Implied Volatility Usages

The service is a reliable tool for analytical and risk-management processes, including:

  • Potential Future Exposure (“PFE”)
  • Mark-to-market  (“MTM”) validation
  • Value-at-risk (“VaR”)
  • Deal valuation
  • Trading P&L
  • Counterparty Margining
  • Scenario Analysis

Quick Links

  Learn more about the Argus North American Electricity Implied Volatility Forward Curves methodology

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