|
|
Enron Mail |
FYI (BM = balancing market in his email).
I'm still on Eklavya's back to produce a white paper analysis of possible trading stretagies under NETA and their likely implications for prices and volatilities. I'll forward it on as soon as (if ever) I receive it. Steve ---------------------- Forwarded by Steven Leppard/LON/ECT on 02/09/2000 03:10 PM --------------------------- Eklavya Sareen 09/02/2000 14:43 To: ECT London UK Power Trading, Enron London Power Analytics, ECT London UK Gas and Power Origination, Paul Dawson/LON/ECT@ECT cc: Subject: Gaming of NETA Prices - Constraints on The McCoy Strategy I believe most people are now familiar with the McCoy strategy for manipulating imbalance prices in a favourable direction: 1) Take a massive long or short position in forward trading 2) Choose physical production decisions to drive system i) long if forward market postion is long ii) short if forward market postion is short 3) If system is long it needs to accept bids, if system is short it needs to accept offers 4) If forward market postion is long submit very large postive bids to the BM to drive SSP high - SSP is price received for spilling power to the BM (going into BM long) 5) If forward market postion is short submit very small (even negative) offers to the BM to drive SBP low - SBP is price paid for purchasing power from BM (going into BM short) The NETA programme intends to tag transmission cosntraint related trades in the BM. According to DISG 24 "Tagging Constraint Trades" (21 Dec 99) Option 3(a) [the option that is proposed to be adopted], paragraph 2.3 (p.4): "In the relevant Settlement Period, all accepted Offers and Bids volumes that can be arbitraged, i.e. where a volume has been bid higher than the price at which a volume has been offered, are eliminated;" One of the implications of the above procedure is that the highest bids (the McCoy bids) and the lowest offers (the McCoy offers) are likely to be eliminated from the calculation of imbalance prices. This will make it harder to pursue the McCoy strategy successfully. Thoughts and comments welcome. Thanks, Eklavya.
|