UK Power Indices - All Day

Methodology 

The SpOT (Spectron OTC) All-day UK Power indices are calculated from the volume-weighted average of all Day-ahead and Month-ahead Baseload trades done during the course of the day. 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 Indices
The Day-ahead index is calculated using the volume-weighted average of all Day-ahead trades executed through Spectron. The index values power for delivery on the next day following the deal date. The index date is the delivery date e.g. the index published for 16 November 2006 is based on all Day-ahead trades executed on 15 November 2006.

Month-ahead Index
The Month-ahead index is calculated using the daily volume-weighted average of all Month-ahead trades executed through Spectron. The Month-ahead index values power for delivery in the EFA month following the EFA month in which the deal is executed. The index month is the delivery month and the index date is the deal date e.g. the index for the 16 November 2006 is for all trades executed up to 6 pm on that day for power being delivered every day in the EFA month of December.

Weekends and bank holidays
Day-ahead: Weekend and bank holiday indices are published for Day-ahead. The index day is the delivery day, however the trade execution day is not strictly the previous day to the delivery day, i.e. for a standard week, the Weekend and Monday indices are both calculated using deals executed on the Friday.
Month-ahead: There are no indices published on weekends or bank holidays.

Contingent Methodlogy
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:
If it is a weekday the average of the last four indices for Monday, Tuesday, Wednesday and Thursday will be used, provided they are not Bank Holidays. (Flagged 'E')
If it is a Friday the spread from the previous Thursday/Friday will be applied to the current Thursday to create an estimated Friday price. (Flagged 'E')
If it is a weekend, then the spread from the previous Friday/Weekend will be applied to create an estimated weekend price. (Flagged 'E')
If it is a Bank Holiday, it will be valued in line with the adjacent weekend. If the Bank Hioliday falls mid-week , it will be treated as a weekend and will be calculated by applying the spread from the previous Friday/Weekend to the weekday preceding the Bank Holiday.
For Month-ahead :
The index shall be calculated using the closing market price published in Spectron’s daily market summary Spectrometer.

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.)