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Evaluation of the trading development in the Iberian Energy Derivatives Market

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  • Capitán Herráiz, Álvaro
  • Rodríguez Monroy, Carlos

Abstract

The efficiency of the Iberian Energy Derivatives Market in its first five and a half years is assessed in terms of volume, open interest and price. The continuous market shows steady liquidity growth. Its volume is strongly correlated to that of the Over The Counter (OTC) market, the amount of market makers, the enrolment of financial agents and generation companies belonging to the integrated group of last resort suppliers, and the OTC cleared volume in its clearing house. The hedging efficiency, measured through the ratio between the final open interest and the cleared volume, shows the lowest values for the Spanish base load futures as they are the most liquid contracts. The ex-post forward risk premium has diminished due to the learning curve and the effect of the fixed price retributing the indigenous coal fired generation. This market is quite less developed than the European leaders headquartered in Norway and Germany. Enrolment of more traders, mainly international energy companies, financial agents, energy intensive industries and renewable generation companies is desired. Market monitoring reports by the market operator providing post-trade transparency, OTC data access by the energy regulator, and assessment of the regulatory risk can contribute to efficiency gains.

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  • Capitán Herráiz, Álvaro & Rodríguez Monroy, Carlos, 2012. "Evaluation of the trading development in the Iberian Energy Derivatives Market," Energy Policy, Elsevier, vol. 51(C), pages 973-984.
    • Handle: RePEc:eee:enepol:v:51:y:2012:i:c:p:973-984
    DOI: 10.1016/j.enpol.2012.08.056
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    References listed on IDEAS

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    Cited by:

    1. Juan Ignacio Pe~na & Rosa Rodriguez, 2022. "Time-zero Efficiency of European Power Derivatives Markets," Papers 2202.01737, arXiv.org.
    2. Peña, Juan Ignacio & Rodriguez, Rosa, 2018. "Default supply auctions in electricity markets: Challenges and proposals," Energy Policy, Elsevier, vol. 122(C), pages 142-151.
    3. Palacio, Sebastián M., 2020. "Predicting collusive patterns in a liberalized electricity market with mandatory auctions of forward contracts," Energy Policy, Elsevier, vol. 139(C).
    4. Peña, Juan Ignacio & Rodriguez, Rosa, 2016. "Time-zero efficiency of European power derivatives markets," Energy Policy, Elsevier, vol. 95(C), pages 253-268.

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