EVI-G Energy Volatility Index - Gas

Market price volatility is one of the key drivers of the price for fixed and flexible price supply contracts and energy trading. Therefore, volatility should be a key input for commercial and risk management decisions of energy buyers and energy traders. With the right information and resources, historic volatility is relatively easy to calculate, Energy Solutions believes that there is real value in publishing a clear and objective energy volatility index for the gas markets and so EVI G was created.

EVI Definition

Historical volatility is a statistical measurement of the actual price variations of a specified contract over a specified time period. At present, the indicator is only backward looking; it is based on measurement of historical price behaviour. The Energy Volatility Index indicates the fluctuations of the day ahead prices through time. Separate indices are produced for power (EVI-e) and gas (EVI-g).

Data set selection

Our volatility indices are based on the opening prices. The Day Ahead prices are used to calculate the indices. Given the various uses for volatility tracking by utilities, generators, commodity traders and investment funds, we developed the annual volatility index is based on the prices of the last 12 months. Alternative indices may be launched in the future.