Methodology
The SpOT (Spectron OTC) 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 Spectron’s in-house atomic clock.
Day-ahead Indices
The Day-ahead index is calculated using the volume-weighted average of trades executed between 16:25-16:35 BST through 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 15 March 2006 was based on all the trades executed on the 15 March 2006 for delivery on 16 March 2006. 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 Indices
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.
Weekends 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 the window 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 index shall be calculated using all trades executed so far that day. (In the exceptional case when there is no trade so far that day, then the index value will default to the All-day index value published at the end of the day.)
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.
Any amendments from the originally published indices will be highlighted and published on the Amended Indices page.