ARGUS North American Electricity Implied Volatilities
The Argus North American Electricity Implied Volatilities service is a powerful, independent market valuation tool. Our data is derived from current forward market option prices in contrast to historical volatilities and is used to support investment and trading decisions in power markets across North America.
When participating in the energy commodities markets, you need the most accurate forward prices from a source without distortion or bias. Our clients act with confidence because our forward curves are created from unbiased, industry-specific methodologies with undistorted, fair market values. You can trust Argus' forward curves to provide deep market insights and data to support precision in your risk management and bottom line.
We cover daily assessments of electricity volatility curves at more than 19 locations in North America, including:
- 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 two years forward
- Independent and transparent market-appropriate methodology
- Your choice of delivery options: Data feed, our third-party partners or email
How clients use our data
We provide a proven, reliable tool for analytical and risk-management processes, including:
- Valuing option premiums
- Independent evaluations
- Mark-to-market (MTM) validation
- Value-at-risk (VaR)
- Potential future exposure (PFE)
- Risk disaggregation
- In-house forward positions validation
Customers that benefit
The Argus North American Electricity Implied Volatilities service is essential for anyone with exposure to North American power markets. Below are examples of how some clients use this service:
- Risk managers use our forward curves data for unbiased, third-party curve validation against counterparties and internal valuations.
- Traders rely on our extensive historical analysis to determine locational and temporal spread relationships and use prior-day curves on a daily basis as a reference when entering the market the following morning.
- Generators use our data for asset valuation.