Indices

Marex Spectron publishes a range of proprietary indices on key European and Canadian energy markets.

 

The European gas and electricity indices have been published since 2001 and can be reviewed below. For information on the Canadian Crude Oil Indices, please click on this link

 

Indexes Contract Deal Date Total Volume High Low Average
NBP All Day W/End WEND 16-Mar-19 15-Mar-19 9,800,000 39.000 37.250 37.644
NBP 1625-1635 W/End WEND 16-Mar-19 15-Mar-19 4,600,000 37.450 37.350 37.376
NBP All Day D.A D.A. 20-03-2019 19-Mar-19 2,000,000 38.000 37.750 37.810
NBP 1625-1635 D.A D.A. 20-03-2019 19-Mar-19 0 0.000 0.000 37.810
NBP All Day M.A 19-Apr 19-Mar-19 62,550,000 38.400 37.425 37.797
NBP 1600-1615 M.A 19-Apr 19-Mar-19 0 0.000 0.000 37.725
NBP All Day M.A Cumulative 19-Apr 19-Mar-19 430,200,000 43.800 37.050 40.352

Methodology

The Window gas indices are calculated from the volume-weighted average of Day-ahead and Month-ahead trades done during a specific time window for delivery to the NBP (National Balancing Point). All times are British Standard Time (BST), as determined by Marex Spectron.


Day-Ahead Index

The Day-ahead index is calculated using the volume-weighted average of trades executed between 16:25-16:35 BST through Marex Spectron's internet broking platform. The Day-ahead indices value gas trades for delivery on the next working day following the deal date. The index day is the delivery day e.g. the index published for 16 March 2016 was based on all the trades executed on the 15 March 2016 for delivery on 16 March 2016. A Weekend-ahead index is also published (see below). On Christmas Eve and New Year's Eve the windows may be brought forward in line with early market-closing traditions.

Month-Ahead Index

The Month-ahead index is calculated using the volume-weighted average of all Month-ahead trades executed between 16:00-16:15 through Spectron, on its internet broking platform. The Month-ahead indices value gas trades for delivery in the calendar month following the month in which the deal is executed. The index month is the delivery month e.g. the indices published on the 15 March 2006 were based all the trades executed on the 15 March 2006 for delivery every day during in the month of April 2006.

Weekend-Ahead Indices and Bank Holidays

The Weekend-ahead index is calculated using the volume-weighted average of trades executed between 16:25-16:35 through Spectron Group Limited, on its internet broking platform. The Weekend-ahead indices value gas trades executed on a Friday for delivery throughout the weekend following the deal date. The Weekend-ahead is generally defined as the Saturday and Sunday of delivery (as a combined strip), although adjacent bank holidays are also included. Should a bank holiday fall midweek (for instance in the case of Christmas or New Years Day) then it is treated as a weekend, and a Weekend-ahead index is calculated for it. There are no month-ahead indices published on weekends or bank holidays.

Contingent Methodologies

Should the number of trades executed in a day be:

Five or greater - the index will be calculated using a weighted average of those trades.

Between one and four - the index will continue to be calculated using a weighted average of those trades. However, it will be noted on the index page that the calculation has been based on less than five trades.

Zero - the following contingent methodology shall apply:

For Day-Ahead, Weekend-Ahead and Month-Ahead

The index shall be calculated from all the trades concluded so far that day. In the case where there were no earlier trades that day the index will be derived from the NBP All Day Index. 

Index Out-Turns

Monthly index out-turn values, calculated from the average index value over the course of a month, will be published for both Day-ahead and Month-ahead indices, as these are commonly used for contract benchmarking.

Amendments

Should there be subsequent changes to the source data used to calculate the indices, then the index shall be recalculated and republished automatically i.e. the index shown within the historical indices tool is the most up to date calculation of the index (amended indices are flagged as such within this file.)

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