Methodology
The SpOT (Spectron OTC) All-day gas indices are calculated from the volume-weighted average of all Day-ahead and Month-ahead trades done during the course of the day for delivery to the Dutch TTF (Title Transfer Facility). All times are British Standard Time (BST), as determined by Spectron’s in-house atomic clock. These indices are published at 18:00 hours each day.
Day-ahead Index
The Day-ahead index is calculated using the volume weighted average of all daily trades executed through Spectron on its phone broking and internet broking systems. The Day-ahead index values 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 23 November 2006 is based on all the trades executed through Spectron on the 22 November 2006 for delivery on the 23 November 2006.
Month-ahead Index
The Month-ahead index is calculated using the volume-weighted average of all Month-ahead trades executed through Spectron on its phone broking and internet broking systems. The Month-ahead index values gas trades for delivery in the month following the month in which the deal is executed. The index month is the delivery month e.g. the index published on the 22 November2006 is based on all the trades executed through Spectron on the 22 November 2006 for delivery every day during the month of December.
Weekend-ahead indices and Bank Holidays
The Weekend-ahead indices are calculated using the volume-weighted average of trades executed through Spectron on its phone broking and internet broking systems. 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, 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 bank holidays or on weekends.
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 derived from the average value of the indices over the previous four working days.
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 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.