The Value of Storage Forecasting storage flows and gas prices
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1 Amsterdam, 9 May 2017 FLAME conference The Value of Storage Forecasting storage flows and gas prices (0) Cyriel de Jong, dejong@kyos.com
2 KYOS Energy Analytics Analytical solutions for trading, valuation & risk management in energy markets Power markets Power plant optimization, valuation, hedging Forward curves and Monte Carlo simulations hedging Gas markets Storage and swing contracts valuation and Optimization of gas portfolio assets and contracts Multi-commodity portfolio & risk management Commodity Trade & Risk Management At-Risk software: VaR, EaR, CfaR Free monthly valuation reports: 2
3 The gas value chain: flexibility is key Supply Flexibility Demand Production Gas storage Pipeline import LNG import Gas grid Stable production, unstable demand, storage mainly used to manage flexibility 3
4 Gas storage modeling Gas storage modeling software for the optimal management of gas storage assets The software reveals: Future: what is the expected market trading value? Medium-term: what are the optimal forward trades? Short-term: inject, withdraw or do nothing? Past: how much money could have been made? Methodology: least-squares Monte Carlo Storage is a real option; maximize its flexibility value Using Monte Carlo price simulations, find optimal trades 4
5 From storage modeling to forecasting Goal: predict storage flows and gas market prices Step 1 & 4: KYOS Step 2 & 3: clients Step 1. Using market prices (forward) and volatility, forecast storage flows Step 4. Forecast market price movement to balance supply demand Step 2. Combine storage flows with forecasts of: gas demand gas production gas imports Step 3. If balance is short (long), then period is under (over) priced relative to other periods 5
6 Example: spot trading signal (1 storage) Slow storage product: 1000 MWh working volume, 5% full 150 days to fill, 150 days to release (6.67 MWh/day) Valuation on 5 May 2017 Front-month (June) price = /MWh Spot price = /MWh 6
7 Inject Withdraw Example: spot trading signal (multiple storages) 3 storage assets, all 1000 MWh working volume: Slow: 6.7 MWh/day (300 days cycle) Medium: 12.5 MWh/day (160 days cycle) Fast: 25.0 MWh/day (80 days cycle) Withdraw from slow storage Front-month price level Withdraw from fast storage 7 Inject into fast storage Inject into slow storage Spot price level
8 Forecasted volumes for a gas storage Fast storage Light-blue: intrinsic (single price path) Dark-blue: simulation (Monte Carlo price paths) Slow storage
9 Research questions How well does the KYOS model optimize the trading decisions? Backtesting to see if model s trading decisions create enough extrinsic value How well does the KYOS model predict actual storage flows? Some storage assets are optimized in the market Some storage assets are not (much) optimized in the market 9
10 Forecasting DE storage flows 1-month ahead Sum-15: falling market prices; spot lower than expected Simulation based forecast 43% better than intrinsic forecast Apr-17: higher spot prices than expected (on 30 Mar 17) Jan-17: higher spot prices than expected (on 30 Dec 16) 10
11 ACTUAL Withdraw Inject Forecasting DE storage flows 1-month ahead R-squared of 65% 11 FORECASTED Withdraw Inject
12 Forecasting UK storage flows 1-month ahead UK, excluding Rough: Simulation based forecast 40% better than intrinsic forecast Mar-17: intrinsic suggests almost 100% release (on 28 Feb 17) Jan-17: higher spot prices than expected (on 30 Dec 16) 12
13 Day-ahead volume forecast: Bergermeer (TTF) Right graph: X-axis: price signal = spot price indifference price ( /MWh) Y-axis: actual daily flow (GW) Hypothesis: high price differential leads to high withdrawal volume Regression results support hypothesis; 40% of daily flows explained by spot price (R-squared) 13
14 Conclusion Forecast of storage flows is key component of price forecast (time spreads) Storage models can help forecast storage flows Simulation approach (many price scenarios) works better than intrinsic approach (single scenario) to forecast storage flows Forecasting performance in UK and Germany is very similar 14
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