JP2019179306A - Option transaction plan forming device - Google Patents

Abstract

To provide an option transaction plan forming device which plans an option transaction to increase an expected value of profit and loss due to an electric power supply company.SOLUTION: An option transaction plan forming device comprises: a data acquisition unit which acquires a specification of a generator, an operation plan of the generator, a power price in a power market, a purchase price of fuel used by the generator and product data of an option market; an option transaction planning unit which formulates an option transaction plan in the option market based on comparison of a power generation unit price due to the operation plan based on the specification and the purchase price with the power price; and an output unit which places an order to the option market based on the option transaction plan.SELECTED DRAWING: Figure 1

Description

  The present invention relates to an option transaction plan creation apparatus, and is an apparatus that creates an option transaction plan for an electric power company.

  Since the establishment of the Japan Wholesale Power Exchange in 2003, the spot market, forward market, and one-hour market have been established along with the liberalization of electricity. In the future, a futures market and a supply-demand adjustment market will be established. Furthermore, as electricity liberalization progresses, it is assumed that an option market will be created. Once the option market is established, electric utilities are expected to use option trading as a means of risk hedging, including a means to increase the expected value of profit and loss and a means to suppress the diversification of profit and loss. As a method for evaluating the risk hedge effect by option trading, there is a method using statistical processing.

JP2008-59125A

  In Patent Document 1, after the generator operation plan is created, statistical measures are used to calculate risk indicators such as the expected value of profit and loss and the distribution of profit and loss, and then the contract contents of the derivative products with which the electric power company contracts are reflected. Then, the risk hedging effect of derivative transactions is evaluated by calculating risk indicators such as the expected value of profit and loss and the diversification of profit and loss again using statistical processing.

  There are two types of options for electric utilities: transactions that increase the expected value of profits and losses and transactions that perform risk hedging. However, there is a problem that it is not sufficient to plan option transactions so as to increase the expected value of profit and loss and to plan option transactions so as to perform risk hedging.

  According to generator specifications, generator operation plans, electricity prices in the electricity market, purchase price of fuel used for generators, and product data in the option market, and operation plans based on specifications and purchase prices An option characterized by comprising an option transaction planning unit for formulating an option transaction plan in the option market based on a comparison between the unit price of power generation and an electric power price, and an output unit for placing an order in the option market based on the option transaction plan It is a transaction plan creation device.

  According to the present invention, it is possible to create an option transaction plan that can increase profits while performing risk hedging in an option transaction of an electric power company.

3 is a block diagram illustrating functions of an option transaction plan creation device according to Embodiment 1. FIG. It is a figure which shows the example of the profit / loss by the option transaction in Embodiment 1. FIG. It is a figure which shows the example of the relationship between the total value of the generator output in Embodiment 1, and a power generation unit price. It is a figure which shows the example of the profit and loss distribution by the option transaction in Embodiment 1. FIG. 3 is a flowchart of an option transaction plan creation device in the first exemplary embodiment. 1 is a configuration diagram of an option transaction plan creation device in Embodiment 1. FIG. It is a block diagram which shows the function of the option transaction plan creation apparatus in Embodiment 2. FIG. 10 is a flowchart of an option transaction plan creation device according to Embodiment 2. It is a figure which shows the example of the profit / loss by the option transaction in Embodiment 2. FIG. It is a figure which shows the example of the profit and loss distribution by the option transaction in Embodiment 2. FIG. It is a block diagram which shows the function of the option transaction plan creation apparatus in Embodiment 3. FIG. 10 is a flowchart of an option transaction plan creation device according to Embodiment 3. It is a figure which shows the example of the profit / loss by the option transaction in Embodiment 3. FIG. It is a figure which shows the example of the profit and loss distribution by the option transaction in Embodiment 3. FIG. It is a block diagram which shows the function of the option transaction plan creation apparatus in Embodiment 4. 10 is a flowchart of an option transaction plan creation device according to Embodiment 4. It is a figure which shows the example of the profit / loss by the option transaction in Embodiment 4. FIG. It is a figure which shows the example of the profit and loss distribution by the option transaction in Embodiment 4. FIG. It is a figure which shows the example of the profit / loss by the option transaction in Embodiment 5. FIG. FIG. 22 is a diagram illustrating an example of volatility calculation in the sixth embodiment.

Embodiment 1 FIG.
FIG. 1 is a block diagram illustrating functions of the option transaction plan creation device according to the first embodiment. The option transaction plan creation apparatus includes a data setting unit 100, a generator operation plan analysis unit 101, a power option risk hedge transaction plan unit 102, a profit and loss analysis unit 103, an output unit 104, a setting data storage unit 105, and a calculation result storage unit 111. It is composed of

  The setting data storage unit 105 includes a generator operation plan data storage unit 106, a generator data storage unit 107, a fuel price data storage unit 108, a power price data storage unit 109, and an option product data storage unit 110. The setting data storage unit 105, which is a data acquisition unit, acquires and stores a generator specification, a generator operation plan, a power price in the power market, a purchase price of fuel used for the generator, and product data in the option market. is doing. In addition, the calculation result storage unit 111 includes a startup number data storage unit 112, a power generation amount data storage unit 113, an option transaction plan data storage unit 114, and a profit / loss analysis data storage unit 115.

  Furthermore, using the data setting unit 100, the generator operation plan data, generator data, fuel price data, power price data, and option product data are input, and the generator operation plan data storage unit 106 and generator data storage are respectively input. Stored in the unit 107, the fuel price data storage unit 108, the power price data storage unit 109, and the option product data storage unit 110. The data setting unit 100 may capture the fuel price data, power price data, option product data, etc. directly online from the market.

  Here, the generator operation plan data is, for example, data such as the start / stop state of the generator and the output at each time. The generator data includes generator upper and lower limit values, output change speed, fuel type, start-up cost, minimum operation time, minimum stop time, fuel consumption curve coefficient, start / stop count upper limit value, failure occurrence model parameter It is data such as generator specifications. Furthermore, the fuel price data is time series data of the price per unit amount of fuel (coal, LNG, oil, etc.), and the time series data may have a plurality of patterns. The fuel price data may include the actual (past) purchase price of the fuel used for the generator. This is because the fuel used for the generator uses fuel purchased in the past. The fuel price data becomes time-series data by constantly acquiring the latest fuel price per unit amount. Further, the power price data is time series data of the price per unit amount of power (which is bought and sold in the power spot market or the like), and the time series data may have a plurality of patterns. The electric power price data becomes time series data by constantly acquiring the latest electric energy market price per unit quantity. Electricity prices and fuel prices are (most recent) contract prices in the market. As for the contract price, there are contracts on the Zaraba and contracts by blind single price auction.

  Options include a put option (hereinafter referred to as “put”) and a call option (hereinafter referred to as “call”). Option product data is data such as option type (put, call), strike price (strike price), premium, contract month, and transaction unit. Here, put means the right to sell a certain item at a certain price, and conversely, the right to buy a certain item at a certain price is called a call. This certain price is called the strike price (exercise price), and the time limit for exercising the right is called the contract month. A premium is a price for an option. When an option is purchased, a premium amount is paid, and when an option is sold, a premium amount is obtained. A trading unit is a unit of the amount of options traded at a time. For example, if the transaction unit is 100, the optional trading volume is a multiple of 100, which is the transaction unit, such as 100, 200, and 300. In addition, the transaction unit may be expressed as the number of sheets, and in this case, the option trading volume is expressed as one, two, or three.

  Options have many unique terms that are not familiar to them, so keep the general explanation simple. Premium is also called an option fee or option price, and refers to the value added to the option right (right to buy or sell). This is the price at which the call or put is acquired, and shows how much the option is worth, and consists of the intrinsic value and the time value. Also, in option transactions, the buyer can obtain the right by paying the option fee to the seller, while the seller is obliged to respond if the buyer exercises the right instead of receiving the option fee from the buyer.

  The intrinsic value is the difference between the strike price of the call or put (strike price) and the underlying asset price (market price: market electricity price), and is the current value of the option. The time value is the difference between the actual option fee and the intrinsic value. The value expected to increase the intrinsic value due to fluctuations in the underlying asset price (market electricity price) by the maturity date. It is.

  Time decay means a decrease in time value, and the time value of an option decreases with the passage of time. The time value is determined by the remaining period until the maturity date and the magnitude of the expected volatility of the underlying asset price.The longer the remaining period and the larger the expected volatility of the underlying asset price, the greater the value. The feature is that it grows slowly and then decreases slowly and then decreases rapidly as it approaches the maturity date. Only the intrinsic value remains on the maturity date when the time value of the premium is zero. That is, options that are not in-the-money on the maturity date will have zero value. Thus, it can be said that the time decay becomes an advantageous factor for the option seller while the time decay becomes a disadvantageous factor for the option buyer.

  In-the-money means a state where the intrinsic value is greater than zero (an advantageous state). Conversely, out-of-the-money refers to a state that has no intrinsic value (a disadvantageous state). At-the-money refers to a state where the underlying asset price is equal to the strike price. In general, as an option, in-the-money transactions become quieter as they move away from at-the-money, and when they move from at-the-money to out-of-the-money, transactions become prosperous.

  Intrinsic value is the difference between the exercise price of the call or put and the underlying asset price and represents how much profit is generated from this option by exercising that right.

  In addition, check for changes in option prices. The simple calls and puts in this paragraph are the respective prices. As the underlying asset price (market electricity price) rises, the call rises and the put falls. The opposite is true if the underlying asset price falls. If the strike price is increased, the call will fall and the put will rise. The opposite is true if the strike price is lowered. Furthermore, if the remaining days until the maturity date is lengthened, both the call and the put will increase. Shortening the remaining days to maturity will cause calls and puts to fall.

  As volatility increases, both calls and puts increase. Conversely, when volatility falls, both calls and puts fall. If interest rates rise, calls will rise and puts will fall. Conversely, when interest rates fall, calls fall and puts rise. As dividends increase, calls fall and puts rise, but due to the nature of the electricity market, dividends are unlikely. Actually, there is a fee in the market. Since the fee is a relatively small amount with respect to the transaction amount in the market, the description in the embodiment does not take into account the fee, but it is naturally also possible as an option transaction plan creation device in consideration of the fee.

  Options include European options whose exercise dates are limited to maturity dates and American options that can be exercised at any time from the start date to the maturity date, depending on the structure of the trading market. Here, even if it is a European option, if the option that you already have is sell (buy), buying the same option for the same number of pieces (selling) will be substantially the same as the American option. Become. The following explanation is based on the American option.

  The generator operation plan analysis unit 101 acquires the number of activated generators at each time from the generator operation plan data in the generator operation plan data storage unit 106 and stores it in the activated number data storage unit 112. Further, the generator operation plan analysis unit 101 calculates the power generation amount of each generator or the total power generation amount of all the generators from the generator operation plan data of the generator operation plan data storage unit 106, and the power price data storage unit The power generation unit price is calculated using the 109 electricity price data and stored in the power generation amount data storage unit 113.

  The power option risk hedge transaction planning unit 102 generates the unit price of power generation based on the generator operation plan based on the specifications of the generator and the purchase price of the fuel used for the generator and the power price in the power market (for example, the most recent contract price in the power market). ) Develop an option trading plan in the option market based on the comparison. The power option risk hedge transaction planning unit 102 includes, for example, the number-of-start-up data storage unit 112 (the generator operation plan data storage unit 106) and the power generation amount data storage unit 113 (the generator operation plan data storage unit 106, power). Using at least one of power generation amount data in the price data storage unit 109), power price data in the power generation amount data storage unit 113 (power price data storage unit 109), and option product data in the option product data storage unit 110. Develop a power option trading plan for risk hedging. For example, (a) a transaction plan that increases the purchase amount of power put as the amount of power generation increases, and (b) a transaction plan that increases the purchase amount of power put as the number of activated generators increases.

  In addition, as the amount of power generated in the operation plan or the number of generators started, the strike price of the out-of-the-money put may be bought closer to the put far from the at-the-money.

  These trading plans are designed to increase the trading volume (the number of puts) for buying put options in the electricity market as the power generation amount increases (the power generation amount of the generator operation plan or the number of generators activated). The policy is to obtain a sufficient risk hedging effect. For example, in a long-term plan, if only the generator to be started is determined and the amount of power generation is unknown, the amount of power generation will increase as the number of units started increases. Sufficient risk hedging effect can be obtained.

  As a characteristic of the electric power price, the fluctuation width is large during the daytime when the fluctuation of demand is large, and the fluctuation width is small at night when the fluctuation of demand is small. For this reason, it is possible to conduct transactions that increase daytime risk hedging and increase the amount of power put purchased in the daytime. Moreover, the power generation amount data is organized by fuel type (for example, coal 200 MW, LNG 100 MW, oil 50 MW), and the power generation unit price calculated for each fuel type is large (for example, coal 5 yen / kWh, LNG 8 yen / kWh) In other words, it is possible to carry out a transaction to increase the purchase amount of put only for oil (10 yen / kWh, which is a large power generation unit price).

  In this transaction, risk hedging is effective only for those with a large power generation unit price, in other words, those whose market price is lower than the power generation unit price due to fluctuations in the market price and are likely to generate losses due to power sales. Risk hedging can be performed. In addition, with reference to the power generation unit price calculated for each fuel type, options with different strike prices (strike price) may be purchased for each fuel type. For example, by purchasing a put with a lower strike price (exercise price) as the unit price of power generation is lower, a premium payment may be reduced, and risk hedging may be performed efficiently.

  FIG. 2 is a diagram showing an example of profit / loss by option trading in Embodiment 1, and shows profit / loss per unit power by trading. The horizontal axis is the electricity price (yen / kWh), the vertical axis is the profit / loss (yen / kWh), the fine dotted line is the profit from the option, the dotted line with the coarse interval is the profit from the power sale to the market, the solid line is these Is the total profit. The power generation unit price is 5 (yen / kWh), and a put of power generation unit price 8 (yen / kWh) is purchased at a premium of 1 (yen / kWh) as a strike price (exercise price).

  The solid line in FIG. 2 is the total profit (profit / loss), but the profit / loss is positive no matter how the market electricity price fluctuates. If option trading is not incorporated, the line becomes a dotted line with a rough interval, and a loss occurs when the market electricity price is 5 (yen / kWh) or less. However, even if the market power price is 8 (yen / kWh) or more, the premium (1 yen / kWh) will be lost by incorporating option trading.

  If the option transaction is not conducted, the profit / loss from the sale of electricity to the market is excluding the profit / loss from the relative contract, and the difference between the unit price of power generation and the market price is the profit / loss. If a put is purchased, the profit / loss from the option will be in-the-money if the electricity price is lower than the strike price (strike price), and a profit / loss corresponding to the difference between the strike price (strike price) and the market price will occur. If the power price is higher than the strike price, it will be out-of-the-money and a premium loss will occur. When the electricity price is lower than the strike price (strike price), the total profit and loss will be constant by offsetting the loss due to the sale of electricity to the market and the profit / loss due to the put put, and the electricity price will be the strike price (strike price). When it is higher, the premium is subtracted from the difference between the unit price of power generation and the market price.

  Here, if there is an option transaction in which the sum of profits and losses becomes a positive value, that is, an option transaction that never generates a loss, it may be performed. In order for profit / loss to be profitable (plus), the unit price of power generation needs to be larger than the strike price (strike price) minus the premium. Therefore, the power option risk hedge transaction planning unit 102 searches for the presence or absence of option products that have a positive profit / loss from the value of the unit price of power generation at each time, the strike price (strike price) of the option product data, and the premium. Will do. If the power option risk hedge transaction planning unit 102 can find a case where such a condition is satisfied, this put may be purchased. The option transaction plan created by the power option risk hedge transaction planning unit 102 is stored in the option transaction plan data storage unit 114. In addition, if there are no optional products that have a positive profit or loss, the amount of power generation may be reviewed.

  The profit / loss analysis unit 103 analyzes profit / loss using the generator operation plan data, generator data, fuel price data, power price data, option product data, and option transaction plan data.

  FIG. 3 is a diagram showing an example of the relationship between the total value of the generator output and the unit price of power generation in the first embodiment. The horizontal axis is the total generator output (MWh), and the vertical axis is the unit price of power generation (yen / MWh). The unit price is increasing in a staircase shape, where the generator with the lowest unit price is activated first, and the generator with the second lowest unit price is activated in addition to that. A generator with a low unit price has just started. Further, the power option risk hedge transaction planning unit 102 and the profit and loss analysis unit 103, for example, a value obtained by subtracting a premium from a strike price (exercise price) by a total value of generator output (here, 8000 (yen / MWh )) Above and below, and search for generator operation plans and option transactions that maximize the total generator output.

  For example, the power option risk hedge transaction planning unit 102 repeatedly performs fuel cost minimization calculation by a mathematical programming method such as the equal incremental fuel cost method (equal λ method) while changing the total value of the generator output, etc. Calculate the relationship of the unit price of power generation to the total value of the generator output. Next, the profit / loss analysis unit 103 corrects the total value of the generator output so that the power generation unit price becomes smaller than the amount obtained by subtracting the premium from the strike price (strike price) (in the example of FIG. The total output is corrected from 1200 kWh to 1000 kWh). As described above, it is possible to conduct an option transaction in which the total profit and loss is positive. Such transactions are only put buys and become a risk hedge type with a low probability of loss but small profits.

  In the explanation so far, it may seem skeptical that there are other options trades that always generate profit other than arbitrage. The reason why the option transaction promised to generate profit without risk is established is because the electric utility of the present invention has a generator and is an option transaction determined in relation to the operation of the generator. It is. For this reason, it is established only when there is unique generator data for each electric power company in the generator data storage unit 107. In addition, since unique generator data for each electric power company is used, even if the same option transaction plan creation device is used, other electric power companies do not make the same generator operation plan. For this reason, the price does not rise when other electric utilities try to buy the same put.

  FIG. 4 is a diagram showing an example of profit / loss distribution by option trading in the first embodiment. The horizontal axis is the sum of the profit from selling electricity to the market and the profit / loss from power options (dimensionless), the vertical axis is the probability of occurrence, the black bar indicates no option trading, the white bar indicates option trading Show. At first glance, this profit and loss distribution seems to be more profitable if option trading is not included. The probabilities of the white bar with option trading and the black bar without option trading on the right are approximated. There is a difference between white and black, which is an optional premium.

  The important point here is that the sum of profits and losses, that is, the loss is limited to the case where there is no black option transaction. It can be seen that this is a hedging strategy that does not make a loss by purchasing puts even if the expected value of profits decreases.

  The profit / loss analysis unit 103 uses statistical processing to analyze the expected value of profit (profit / loss), the distribution of profit, the median profit, the skewness of profit, the kurtosis of profit, the 90th percentile value of profit, and the like. These analysis results are stored in 115 in the profit and loss analysis data storage unit. These analysis results may be output to the output unit 104. The output unit 104 outputs the result of the option transaction plan and profit / loss analysis. The output unit 104 places an order on the option market based on the option transaction plan.

  FIG. 5 is a flowchart of the option transaction plan creation device in the first exemplary embodiment. In step S <b> 100, for example, the operator inputs generator operation plan data, generator data, fuel price data, power price data, option product data, and the like with the input device 8 and stores them in the setting data storage unit 105. The data setting unit 100 operates, and the input data is input to the generator operation plan data storage unit 106, the generator data storage unit 107, the fuel price data storage unit 108, the power price data storage unit 109, and the option product data storage unit 110, respectively. Store.

  In step S101, after the generator operation plan data is acquired from the generator operation plan data storage unit 106, the generator operation plan analysis unit 101 operates, and the obtained startup unit data and generated power amount data are stored in the startup unit data, respectively. Stored in the unit 112 and the power generation amount data storage unit 113.

  In step S102, after acquiring the option product data from the option product data storage unit 110, the startup number data from the startup number data storage unit 112, and the power generation amount data from the power generation amount data storage unit 113, the power option risk hedge transaction planning unit 102 Operate and store the obtained option transaction plan data in the option transaction plan data storage unit 114.

  In step S103, the generator operation plan data is a generator operation plan data storage unit 106, the generator data is a generator data storage unit 107, the fuel price data is a fuel price data storage unit 108, and the power price data is a power price data storage unit. 109. After the option product data is acquired from the option product data storage unit 110 and the option transaction plan data is acquired from the option transaction plan data storage unit 114, the profit / loss analysis unit 103 operates, and the obtained profit / loss analysis data is converted into the profit / loss analysis data storage unit. 115.

  In step S104, option transaction plan data is acquired from the option transaction plan data storage unit 114, profit / loss analysis data is acquired from the profit / loss analysis data storage unit 115, and the output unit 104 indicates the result to the operator.

  FIG. 6 is a configuration diagram of the option transaction plan creation device according to Embodiment 1, and shows a configuration of a general option transaction plan creation device. The computer 1 includes a CPU 2, a main storage device 3, an auxiliary storage device 4, and an external storage device 5. The external storage device 5 may be connected via the network 6. The output device 7 displays or outputs the output result from the computer 1, and the input device 8 inputs information to the computer 1.

  For example, the main storage device 3 can be composed of a memory device such as a DRAM, the auxiliary storage device 4 can be composed of a magnetic disk, and the external storage device 5 is an optical disk such as a CD-R or DVD-R, or a USB memory, SD The network 6 can be composed of an optical communication device, the output device 7 can be composed of a display, a printer, and the like, and the input device 8 can be composed of a mouse, a keyboard, and the like. The output device 7 uses the network 6 or the like when transmitting data to the option market.

  The data setting unit 100 can be configured by the input device 7, and the generator operation plan analysis unit 101, the power option risk hedge transaction planning unit 102, and the profit / loss analysis unit 103 can be configured by the CPU 2 and the main storage device 3, and the output unit 104. Can be configured by the output device 8, and the setting data storage unit 105 and the calculation result storage unit 111 are configured by the auxiliary storage device 4, the external storage device 5, and the like. Is one thing.

  A data acquisition unit that acquires generator specifications, generator operation plans, electricity prices in the electricity market, purchase price of fuel used for generators, and product data in the option market, and generator specifications and generators Option trading that develops an option trading plan in the option market based on a comparison between the unit price of power generation based on the generator operation plan based on the purchase price of fuel and the power price in the power market (for example, the most recent contract price in the power market) An option transaction plan creation device comprising a planning unit and an output unit for placing an order on the option market based on the option transaction plan.

  Option trading plans increase the purchase of put options in the electricity market as the amount of power generated in the operation plan or the number of generators activated increases, so it is possible to create an option trading plan that can increase profits while risk hedging .

Embodiment 2. FIG.
FIG. 7 is a block diagram illustrating functions of the option transaction plan creation device according to the second exemplary embodiment. The difference from the first embodiment is that a power option expected profit increase transaction planning unit 200 is used instead of the power option risk hedge transaction planning unit 102. FIG. 8 is a flowchart of the option transaction plan creation device according to the second exemplary embodiment. The difference from the first embodiment is that, instead of the power option risk hedge transaction plan determination in step S102, the power option expected profit increase transaction plan determination in step S200 is used. In the first embodiment, the risk hedge is passive from the viewpoint of profit, but in the second embodiment, the expected profit is positively increased.

  Since the points described in the first embodiment are the same, the description thereof is omitted. In the drawings, the same reference numerals denote the same or corresponding parts, and this is common to the entire text of the specification and all the drawings. Furthermore, the form of the constituent elements appearing in the whole specification is merely an example, and is not limited to these descriptions.

  In step S200, the option product data is acquired from the option product data storage unit 110, the activated unit data is acquired from the activated unit data storage unit 112, and the power generation amount data is acquired from the power generation amount data storage unit 113, and then the power option expected profit increase transaction planning unit 200 is acquired. The option transaction plan data obtained is stored in the option transaction plan data storage unit 114.

  In the power option expected profit increase transaction planning unit 200, the unit price of power generation based on the generator operation plan based on the specifications of the generator and the purchase price of the fuel used for the generator and the power price in the power market (for example, the most recent contract in the power market). Develop an option trading plan in the option market based on the comparison with the price. In the power option expected profit increase transaction planning unit 200, for example, (c) the plan to increase the sales volume of power calls as the number of generators started increases, (d) the sales volume of power calls increases as the power generation volume increases. Develop the planned transaction plan.

  In addition, as the amount of power generation in the operation plan or the number of generators started up, the strike price of the out-of-the-money call may be sold closer to the call far from the at-the-money.

  These transactions can be expected to be profitable enough by increasing the volume of electricity market call option sales as the amount of power generation increases (the amount of power generation in the generator operation plan or the number of generators activated). This is a policy for obtaining the effect of increasing the value. For example, if it is a long-term plan and only the generator to be activated is determined and the amount of power generation is unknown, it is sufficient to increase the number of calls sold considering that the number of power generation increases as the number of units started increases. The effect of increasing the expected value of profit is obtained.

  Moreover, as a characteristic of the electric power price, the fluctuation range is large during the daytime when the demand fluctuation is large, and the fluctuation width is small at night time when the demand fluctuation is small. Since transactions that increase the expected value of profit and loss increase the risk due to fluctuations in revenue, increasing the amount of call sales at night reduces the amount of increase in risk while reducing the expected value of profit (profit or loss). What is necessary is just to carry out the transaction to increase.

  FIG. 9 is a diagram showing an example of profit / loss by option trading in the second embodiment, and shows profit / loss per unit power by trading. The horizontal axis is the electricity price (yen / kWh), the vertical axis is the profit / loss (yen / kWh), the fine dotted line is the profit from the option, the dotted line with the coarse interval is the profit from the power sale to the market, the solid line is these Is the total profit. The power generation unit price is 5 (yen / kWh), and a call with a power generation unit price of 15 (yen / kWh) as a strike price (exercise price) is sold at a premium of 1 (yen / kWh).

  In FIG. 9, if option transactions are not incorporated, profits and losses are represented by dotted lines with coarse intervals. In this case, a loss occurs when the market power price falls below 5 (yen / kWh). However, if option trading is incorporated, the loss will not occur unless the price drops to 4 (yen / kWh). If the electricity price in the market soars to 16 (yen / kWh), you will always get more profit than without option trading. However, even when the market electricity price exceeds 16 (yen / kWh), the profit remains at 11 (yen / kWh).

  The profit without option trading is the profit from the power sale to the market, excluding the profit from the relative contract, and the difference between the unit price of power generation and the market price is the profit (profit). If the call is sold, the profit / loss from the option will be in-the-money if the power price is lower than the strike price, and a premium will be generated, while the power price is higher than the strike price. In some cases, it becomes out-of-the-money and a loss is generated according to the difference between the strike price and the market price.

  The total profit is the sum of the unit price of power generation and the market price plus a premium when the electricity price is lower than the strike price, and when the electricity price is higher than the strike price. The profit from the sale of electricity to the market and the loss from the sold call are offset and become constant. These transactions are covered call strategies using in-house power generation facilities, and instead of losing the low probability of getting high profits, the expected profits increase.

  FIG. 10 is a diagram illustrating an example of profit and loss distribution by option trading in the second embodiment. The horizontal axis is the sum of the profit from selling electricity to the market and the profit / loss from power options (dimensionless), the vertical axis is the probability of occurrence, the black bar indicates no option trading, the white bar indicates option trading Show. Because it is a call selling strategy, it can be seen that they are actively making profits. When there is an option transaction, the sum of profits and losses is more to the right than when there is no option transaction, but the profit of 12 or more is limited to the case without option transaction.

  A data acquisition unit that acquires generator specifications, generator operation plans, electricity prices in the electricity market, purchase price of fuel used for generators, and product data in the option market, and generator specifications and generators Option trading that develops an option trading plan in the option market based on a comparison between the unit price of power generation based on the generator operation plan based on the purchase price of fuel and the power price in the power market (for example, the most recent contract price in the power market) An option transaction plan creation device that includes a planning section and an output section that places an order in the option market based on the option transaction plan. A trading plan can be created.

  In the option trading plan, as the amount of power generated in the operation plan or the number of generators activated is increased, the sales of call options in the electric power market are increased, so that profits can be actively generated.

Embodiment 3 FIG.
FIG. 11 is a block diagram illustrating functions of the option transaction plan creation device according to the third embodiment. The difference from the first embodiment is that the fuel option risk hedge transaction planning unit 300 is used instead of the power option risk hedge transaction planning unit 102, and the fuel consumption data storage unit 301 is included in the calculation result storage unit 111. It is the point that was added.

  FIG. 12 is a flowchart of the option transaction plan creation apparatus according to the third embodiment. The difference from the first embodiment is that the fuel option risk hedge transaction plan decision in step S300 is used instead of the power option risk hedge transaction plan decision in step S102.

  In the first embodiment, the underlying asset is electric power, but the third embodiment is different in that the underlying asset is used as fuel. For this reason, the fuel option is handled instead of the power option. However, the option mechanism is unchanged, and the points described in the first embodiment are the same, and the description thereof is omitted.

  The generator operation plan analysis unit 101 calculates the number of generators started, the amount of power generation, and the fuel consumption amount for each fuel type (coal, oil, LNG, etc.) from the generator operation plan data and uses them. Thus, a trading plan for fuel options for risk hedging may be created. The calculated fuel consumption data is stored in the fuel consumption data storage unit 301.

  In step S300, the option product data is stored in the option product data storage unit 110, the generator start-up unit data is stored in the start-up unit data storage unit 112, the power generation amount data is stored in the power generation amount data storage unit 113, and the fuel consumption data is stored in the fuel consumption amount data. After obtaining from the unit 301, the fuel option risk hedge transaction planning unit 300 operates and stores the obtained option transaction plan data in the option transaction plan data storage unit 114.

  In the fuel option risk hedge transaction planning unit 300, the unit price of power generation based on the generator operation plan based on the specifications of the generator and the purchase price of the fuel used for the generator and the power price in the power market (for example, the most recent contract price in the power market) ) Develop an option trading plan in the option market based on the comparison. In the fuel option risk hedge transaction planning unit 300, for example, (e) a plan to increase the purchase amount of a call as the amount of oil consumption increases, and (f) a purchase amount of a call as the generation amount of a generator using oil increases. Plan to increase, (g) Plan to increase the amount of calls purchased as the number of activated generators using oil increases, (h) Time zone when the number of activated generators using oil increases (Activating generators using oil Plan to increase the purchase amount of calls in the time zone) as a transaction plan.

  In addition, as the amount of power generation in the operation plan or the number of generators activated is larger, a call whose strike price of the out-of-the-money call is closer than a call far from at-the-money may be bought.

  These transactions can be sufficiently achieved by increasing the volume of fuel market call option purchases as the fuel consumption increases (the generator operation plan increases the amount of power generated or started by generators using oil). This is a policy for obtaining a risk hedging effect. Even if the number of generators with a certain fuel type is large, the number of generators with a certain fuel type is large, or the number of generators with a certain fuel type is increased, it can be assumed that the fuel consumption will increase. Good.

  FIG. 13 is a diagram showing an example of profit / loss by option trading in the third embodiment, and shows profit / loss per unit fuel price by fuel trading. The horizontal axis is the unit fuel price (yen), the vertical axis is the profit / loss per unit fuel (yen), the fine dotted line is the profit (profit / loss) from options, the dotted line with coarse intervals is the fuel purchase cost, the solid line is these This is the sum of the profit (profit / loss) and cost. Since the fuel purchase cost is an expense, the fuel purchase cost is directly lost.

  The option line buys 15,000 (yen) calls at a premium of 1000 (yen) as a strike price. For this reason, even if the fuel price rises above 15000 (yen) due to the option strategy, it does not result in expenditure exceeding 16000 (yen), which is the sum of 1000 (yen) for the premium.

  Unlike the power option, the solid line, which is the sum of profit and cost, is always a loss. It is natural that an electric power company generates power to secure profits by selling electric power, and the fuel cost for the power generation becomes an expense (expenditure). Here, the important thing is that even if the fuel price rises, the upper limit of spending is decided because the call is bought. On the other hand, when the option is not purchased, the fuel purchase cost increases in proportion to the fuel price, so that the expenditure increases with the surge.

  If you purchase a call, the profit / loss from the option will be out-of-the-money if the fuel price is lower than the strike price, and a premium loss will occur, while the fuel price will be higher than the strike price. In this case, it becomes in-the-money, and profits and losses are generated according to the difference between the strike price and the market price. The total profit and loss is the negative gain or loss from fuel purchase costs when the fuel price is lower than the strike price, and the fuel when the fuel price is higher than the strike price. Increases in purchase costs and gains / losses from purchased puts are offset and remain constant.

  FIG. 14 is a diagram showing an example of profit / loss distribution by option trading in the third embodiment. The horizontal axis is the sum of fuel purchase costs and profits / losses from fuel options (dimensionless), and the loss increases toward the right. The vertical axis represents the probability of occurrence, and the black bar indicates that there is no option transaction, and the white bar indicates that there is an option transaction. As a whole, it seems that the loss is greater because there is a greater loss than if there is no option transaction, but it can be seen that if the strategy incorporating option transaction is taken, the loss will not exceed 17,000. This is a strategy for hedging risks.

  A data acquisition unit that acquires generator specifications, generator operation plans, electricity prices in the electricity market, purchase price of fuel used for generators, and product data in the option market, and generator specifications and generators Option trading that develops an option trading plan in the option market based on a comparison between the unit price of power generation based on the generator operation plan based on the purchase price of fuel and the power price in the power market (for example, the most recent contract price in the power market) An option transaction plan creation device that includes a planning section and an output section that places an order in the option market based on the option transaction plan. A trading plan can be created.

  In the option trading plan, the more the amount of power generation or the number of startups of generators using oil, the more the put options sold in the fuel market increase.

Embodiment 4 FIG.
FIG. 15 is a block diagram illustrating functions of the option transaction plan creation device according to the fourth embodiment. A difference from the third embodiment is that a fuel option expected profit increase transaction planning unit 400 is used instead of the fuel option risk hedge transaction planning unit 300. FIG. 16 is a flowchart of the option transaction plan creation apparatus according to the fourth embodiment. The difference from the third embodiment is that the fuel option expected profit increase transaction plan determination in step 400 is used instead of the fuel option risk hedge transaction plan determination in step S300. For this reason, since it is the same about the point demonstrated in Embodiment 1 and Embodiment 3, description is abbreviate | omitted.

  The generator operation plan analysis unit 101 calculates the number of generators started, the amount of power generation, and the fuel consumption amount for each fuel type (coal, oil, LNG, etc.) from the generator operation plan data and uses them. Thus, a fuel option trading plan that increases the expected value of profit may be created. The calculated fuel consumption data is stored in the fuel consumption data storage unit 301.

  In step S400, the option product data is stored in the option product data storage unit 110, the number-of-start-up data is stored in the number-of-start-ups data storage unit 112, the power generation amount data is stored in the power generation amount data storage unit 113, and the fuel consumption amount data is stored in the fuel consumption amount data storage unit 301. After the acquisition, the fuel option expected profit increase transaction planning unit 400 operates and stores the obtained option transaction plan data in the option transaction plan data storage unit 114.

  The fuel option expected profit increase transaction planning unit 400 generates the unit price of power generation based on the generator operation plan based on the specifications of the generator and the purchase price of the fuel used for the generator and the power price in the power market (for example, the most recent contract in the power market). Develop an option trading plan in the option market based on the comparison with the price. In the fuel option expected profit increase transaction planning unit 400, for example, (i) a plan to increase the sale amount of put as the amount of oil consumption increases, and (j) a sale amount of put as the amount of power generation of a generator using oil increases. (K) Plan to increase the amount of put sales as the number of generators that use oil increases, (l) Time zone when the number of generators that use oil increases (the number of generators that use oil A plan for increasing the amount of put sales is formulated in the time zone for starting up and stored in the option transaction plan data storage unit 114.

  In addition, as the power generation amount of the operation plan or the number of generators started up, the strike price of the out-of-the-money put may be sold closer to the put far from the at-the-money.

  These transactions are sufficient by increasing the volume of fuel sold put option sales as the fuel consumption increases (the more the generator operation plan, the greater the amount of generators that use oil or the number of startups). It is a policy to obtain the effect of increasing the expected value of profit. Even if the number of generators with a certain fuel type is large, the number of generators with a certain fuel type is increased, or the number of generators with a certain fuel type is increased, it can be assumed that fuel consumption will increase. Good.

  FIG. 17 is a diagram showing an example of profit / loss by option trading in Embodiment 4, and shows profit / loss per unit fuel by fuel trading. The horizontal axis is the unit fuel price (yen), the vertical axis is the profit / loss per unit fuel (yen), the fine dotted line is the profit (profit / loss) from options, the dotted line with coarse intervals is the fuel purchase cost, the solid line is these This is the sum of the profit (profit / loss) and cost.

  Since the fuel purchase cost becomes an expense, the fuel purchase cost is lost as it is. It is an option strategy that sells fuel option puts with strike prices (strike price) of 5000 (yen) at a premium of 1000 (yen). As a result, when the unit price of the fuel price is 5000 (yen) or less, the cost is constant at 4000 (yen), but when the unit price of the fuel price exceeds 5000 (yen), the cost is further increased. Will occur. If the fuel price is expected to rise to 4000 (yen) or more, there is an advantage that the cost can be reduced even by 1000 (yen). However, if the fuel price falls drastically, you will miss the opportunity to purchase fuel cheaply.

  If the put is sold, the profit / loss from the option becomes out-of-the-money when the fuel price is lower than the strike price (strike price), and a loss is incurred depending on the difference between the strike price (strike price) and the market price. If the fuel price is higher than the strike price (exercise price), it becomes in-the-money and profits and losses for the premium occur. The total profit or loss is constant when the fuel price is lower than the strike price (offering price), and the decrease in fuel purchase cost is offset by the loss due to the put put. When the fuel price is higher than the strike price (exercise price) Is the negative profit or loss from fuel purchase costs plus the premium. These transactions are put sales using fuel purchases, and instead of losing the low probability of purchasing fuel cheaply, the expected value of fuel purchase costs is reduced. That is, the expected profit increases.

  FIG. 18 is a diagram showing an example of profit and loss distribution by option trading in the fourth embodiment. The horizontal axis is the sum of fuel purchase costs and profits / losses from fuel options (dimensionless), and the loss increases toward the right. The vertical axis represents the probability of occurrence, and the black bar indicates that there is no option transaction, and the white bar indicates that there is an option transaction. Overall, the loss is smaller as it is more to the left than when there are no options. However, because they sell puts, the sum of profits and losses will not fall below 4000 (yen), no matter how cheap the purchase price of fuel is.

  A data acquisition unit that acquires generator specifications, generator operation plans, electricity prices in the electricity market, purchase price of fuel used for generators, and product data in the option market, and generator specifications and generators Option trading that develops an option trading plan in the option market based on a comparison between the unit price of power generation based on the generator operation plan based on the purchase price of fuel and the power price in the power market (for example, the most recent contract price in the power market) An option transaction plan creation device that includes a planning section and an output section that places an order in the option market based on the option transaction plan. A trading plan can be created.

  The option trading plan creates an option trading plan that can increase profits while risk hedging because the more power generation or starting units of generators that use oil, the more buying options for call options in the fuel market. be able to.

Embodiment 5 FIG.
Embodiment 5 is a combination of a plurality of Embodiments 1 to 4. Options are traded so that the expected value of profit and the distribution of profits meet the requirements of the operator. Among these combinations, for example, a combination of the first embodiment and the first embodiment, more specifically, puts having different strike prices (strike prices) of power options may be purchased. In addition, for example, when the same Embodiments 1 are combined, it is costly to purchase only the option, so the power option call sale (Embodiment 2) is added there, or the fuel option put sale ( Embodiment 4) may be added.

  Thus, in the case of a power option, put buying (Embodiment 1) and selling a call (Embodiment 2), and in the case of a fuel option, buying a call (Embodiment 3) and selling a put ( Of the four types of the embodiment 4), sometimes an option strategy may be established by adding a different strike price (strike price). In the case of a fuel option, a combination of different fuel types may be used.

  If the total amount of option sales matches the total amount of option purchases, the cost of the option is zero, with the exception of the fee. Further, for example, the option transaction planning unit may purchase and sell options so that the total amount of option sales is a predetermined ratio (for example, a predetermined ratio of 1 or more) with respect to the total amount of option purchases. Should be created. The upper limit value and the lower limit value of the predetermined ratio may be appropriately determined according to volatility. The predetermined ratio is a range in which the ratio is substantially 1 or more (including 0.95 close to 1) to 1.5 or less.

  The power option risk hedge transaction planning unit 102, the power option expected profit increasing transaction planning unit 200, the fuel option risk hedge transaction planning unit 300, and the fuel option expected profit increasing transaction planning unit 400 of the first to fourth embodiments are as follows. In any case, it is an option transaction planning department. Further, the option transaction planning unit and the profit / loss analysis unit 103 make an option transaction plan by the option transaction planning unit, and the profit / loss analysis unit 103 analyzes the profit / loss using the option transaction plan. If the analysis result of the profit / loss analysis unit 103 is NG (invalid), the option transaction plan unit again plans another option transaction plan, which is repeated. The determination as to whether the analysis result is NG or OK may be made by the electric power company by the output unit 104, or may be made by the option transaction plan creation device based on a preset judgment criterion.

  A zero cost option combining the put buying of the first embodiment and the call selling of the second embodiment will be described. FIG. 19 is a diagram showing an example of profit / loss by option transaction in the fifth embodiment, and shows profit / loss per unit power. The horizontal axis is the electricity price (yen / kWh), the vertical axis is the profit / loss (yen / kWh), the fine dotted line is the profit from the put purchase (profit / loss), and the dotted line with the coarse interval is the profit from the call sale (profit / loss) The solid line is the total profit (loss) from option trading.

  A put with a strike price (exercise price) of 8 (yen / kWh) is bought at a premium of 1 (yen / kWh). Furthermore, calls with a strike price (exercise price) of 15 (yen / kWh) are sold at a premium of 1 (yen / kWh). Since the put buying premium and the call selling premium are the same price, it is a zero cost option. For example, if you buy two puts and sell one call that is twice the price of the put premium, you get a zero cost option.

  Thus, if the sum of the put buying price (premium) multiplied by the number of sheets matches the sum of the call selling price (premium) multiplied by the number of sheets, a zero cost option is obtained. At this time, a plurality of put buying strike prices (strike prices) may be combined, or a plurality of call selling strike prices (strike prices) may be combined.

  The zero cost option is a strategy that combines buying and selling options so that losses and profits from premiums are offset, and in the case of put buying and call selling, the power price is lower than the strike price of the put. A loss occurs when profit is generated and the power price is higher than the strike price of the call, and the power price is higher than the strike price of the put and higher than the strike price of the call. If it is cheap, the profit / loss is zero. This transaction is a transaction that raises the expected value of profit and loss by eliminating premium payments, instead of losing part of the risk hedging effect of puts when electricity prices soar.

  Of course, the zero cost option may be combined by combining the call buying of the third embodiment and the put selling of the fourth embodiment. Further, the zero cost option may be a combination of call buying in the first embodiment and put selling in the fourth embodiment, or a combination of call buying in the third embodiment and put selling in the second embodiment.

  A data acquisition unit that acquires generator specifications, generator operation plans, electricity prices in the electricity market, purchase price of fuel used for generators, and product data in the option market, and generator specifications and generators Option trading that develops an option trading plan in the option market based on a comparison between the unit price of power generation based on the generator operation plan based on the purchase price of fuel and the power price in the power market (for example, the most recent contract price in the power market) An option transaction plan creation device that includes a planning section and an output section that places an order in the option market based on the option transaction plan. A trading plan can be created.

  In the option trading plan, the power generation cost of the generator in hour units is calculated, and the price based on the limit price by option trading in the power market is determined from the power generation cost and volatility. In the option trading plan, the fuel cost per unit time of the generator is calculated, and the price based on the limit price by option trading in the fuel market is determined from the fuel cost and volatility. By these, the expected value of profit can be raised.

  The Option Trading Planning Department is responsible for the total purchase price, including buying power market put options and buying fuel market call options, and selling power market call options and fuel market put options. Since the total amount of sales including at least one of them is substantially equal, the cost is zero. Here, “substantially equal” includes not only a perfect match of the total amount but also an error of about 10 to 20% before and after the total amount.

Embodiment 6 FIG.
If the option market is booming, the first to fifth embodiments can be executed at a reasonable price by market order. However, if the option market is sluggish, the market order may be executed at an unexpected price, and what has been described in the first to fifth embodiments may not be satisfied.

  For this reason, in the sixth embodiment, the option transaction planning unit (power option risk hedge transaction planning unit 102, power option expected profit increase transaction planning unit 200, fuel option risk hedge transaction planning unit of the first to fifth embodiments. 300, a fuel option expected profit increase transaction planning unit 400) will explain a method of determining a price (a limit price) in the market for option trading.

  For example, the generator operation plan analysis unit 101 of the third embodiment or the fourth embodiment calculates the power generation cost at each time from the generator operation plan data, and refers to the in-house power generation cost and the past data of the fuel cost. Thus, the volatility of the expected fuel price at each time can be calculated by statistical processing.

  FIG. 20 is a diagram illustrating an example of volatility calculation in the sixth embodiment. Volatility is a parameter that represents the severity of fluctuations in the underlying asset price (market power price, market fuel price, etc.). The horizontal axis represents past power generation costs, the vertical axis represents past fuel costs, and is a diagram showing the distribution of power generation costs in a power generation plan. The dotted line parallel to the vertical axis is the average of past power generation costs, and the solid line parallel to the horizontal axis is the average of past fuel costs. In addition, the mountain drawn on the right side of the intersection of the dotted line and the solid line shows the distribution centered on the average, and the thick arrow is the standard deviation σ, corresponding to past fuel cost volatility.

  There are two types of volatility. One is historical volatility obtained from the past fluctuations in the underlying asset price as shown in FIG. Using this historical volatility, an optional theoretical price can be determined from the Black-Scholes equation. The other is implied volatility obtained by back-calculating from the option price (premium) in the actual option market using the Black-Scholes equation. If the fluctuation of the fuel cost is severe, the implied volatility becomes a large value, and if the fluctuation of the fuel cost is small, the implied volatility becomes a small value.

  The following equation is the Black-Scholes equation.

  Whether the theoretical price of an option is obtained from historical volatility using the Black-Scholes equation, or the option price (premium) on the market is implied volatility. It is possible to obtain a theoretical price of an option from historical volatility, and use that value as an option trading plan that is the limit price in the market.

  For example, you may purchase a fuel option whose current price is lower than the theoretical price, sell a fuel option whose current price is higher than the theoretical price, or sell the fuel option and the current price. Purchase or sale may be performed for a case where the difference or magnification exceeds the threshold set by the operator, or the current price may be evaluated from the theoretical price using other methods and used for planning.

  For example, a limit order may be placed at an optional theoretical price determined using historical volatility. As a result, the contract is not executed at an unexpected price, and if the contract is not executed, the operation plan using the option need only be canceled.

  Historical volatility can be set to a single value, but implied volatility varies for each strike price, and also fluctuates every time an option transaction is executed. In addition, since options that are in-the-money are quiet transactions, the real-time nature of implied volatility is usually impaired. Therefore, if the put is in-the-money, the implied volatility is calculated using the latest contract price of the out-of-the-money call for the same strike price. Similarly, when the call is in-the-money, the implied volatility is calculated by using the latest contract price of the out-of-the-money put of the same strike price. Here, the latest contract price is the latest contract price in the market.

  At-the-money is theoretical and usually the underlying asset price and strike price are not equal. However, the implied volatility determined from the most recent commitment at the put and call strike prices closest to at-the-money is the most reliable. This is because the implied volatility determined from out-of-the-money tends to increase as the distance from at-the-money increases.

  The option transaction planning section (electric power option risk hedge transaction planning section 102, electric power option expected profit increase transaction planning section 200, fuel option risk hedge transaction planning section 300, fuel option expected profit increase transaction planning section 400) does the following: May be. For example, using the implied volatility obtained from the latest execution at the strike price of the put and call closest to at-the-money, the theoretical price of the other strike price is obtained by the Black-Scholes equation and the limit price is indicated. It is good also as an order by.

  Also, using this corrected implied volatility multiplied by a coefficient corresponding to the rate of departure from at-the-money, etc., using the corrected volatility, the theoretical price of the other strike price is calculated using the Black-Scholes equation, and the limit price is indicated. It is good also as an order by.

  Further, time-series data of implied volatility obtained from the latest execution at the strike price of the put and call closest to at-the-money is accumulated in the option transaction plan data storage unit 114. The fluctuation range of volatility from the implied volatility fluctuation data to the maturity date of the option (for example, the average including the time variable, the standard deviation, etc.) may be predicted, or the order price by the limit price may be changed.

  In electricity market options, prices may soar due to unpredictable events, in particular large-scale grid accidents over time, the occurrence of extreme weather events in summer and winter, and terrorism. In such a case, as in the second embodiment, the selling of the power option call is immediately bought back to reduce the loss. In addition, if you are actively pursuing profits, you may buy a call for a power option at such times.

  The determination of whether the electricity market and the fuel market are soaring or crashing can be easily understood if the implied volatility is constantly increasing, if the implied volatility is soaring. As a criterion, for example, when the implied volatility is 1.5 times or more of the previous day, it can be determined that the electric power market and the fuel market are rapidly rising or falling. When the electricity market or the fuel market soars, call sales will be repurchased immediately and even calls will be bought. Conversely, in the event of a crash in the electricity or fuel market, put sales will be repurchased immediately and even puts will be bought.

  A data acquisition unit that acquires generator specifications, generator operation plans, electricity prices in the electricity market, purchase price of fuel used for generators, and product data in the option market, and generator specifications and generators Option trading that develops an option trading plan in the option market based on a comparison between the unit price of power generation based on the generator operation plan based on the purchase price of fuel and the power price in the power market (for example, the most recent contract price in the power market) An option transaction plan creation device that includes a planning section and an output section that places an order in the option market based on the option transaction plan. A trading plan can be created.

  When the implied volatility calculated by substituting the contract price of the strike price option near the at-the-money into the Black-Scholes equation exceeds 1.5 times the implied volatility calculated the previous day, the option Buy back the sale of This avoids losses incurred when option prices skyrocket.

  The present invention is not limited to the embodiments described so far, and various modifications can be made within the scope of the present invention. That is, the configuration of the embodiment described so far may be improved as appropriate, and at least a part of the configuration may be replaced with another configuration. Further, the configuration requirements that are not particularly limited with respect to the arrangement are not limited to the arrangement disclosed in the embodiment, and can be arranged at a position where the function can be achieved. Further, the invention may be formed by appropriately combining a plurality of constituent elements disclosed in the embodiments described so far. Further, the present invention is shown not by the scope of the embodiments described so far but by the scope of the claims, and includes all modifications within the meaning and scope equivalent to the scope of the claims.

1 Computer, 2 CPU, 3 Main storage device, 4 Auxiliary storage device, 5 External storage device, 6 Network, 7 Output device, 8 Input device, 100 Data setting unit, 101 Generator operation plan analysis unit, 102 Power option risk hedge Transaction Planning Unit, 103 Profit and Loss Analysis Unit, 104 Output Unit, 105 Setting Data Storage Unit, 106 Generator Operation Plan Data Storage Unit, 107 Generator Data Storage Unit, 108 Fuel Price Data Storage Unit, 109 Electricity Price Data Storage Unit, 110 Option product data storage unit, 111 calculation result storage unit, 112 startup number data storage unit, 113 power generation amount data storage unit, 114 option transaction plan data storage unit, 115 profit / loss analysis data storage unit, 200 power option expected profit increase transaction plan unit , 300 Fuel option risk hedging transactions Planning Department, 400 Fuel Option Expected Profit Increase Transaction Planning Department.

Claims (9)

A data acquisition unit for acquiring specifications of the generator, an operation plan of the generator, an electric power price in the electric power market, a purchase price of fuel used for the electric generator, and product data in the option market;
An option transaction planning unit that formulates an option transaction plan in the option market based on a comparison between the power generation price and the power price based on the operation plan based on the specifications and the purchase price;
An option transaction plan creation device comprising: an output unit for placing an order on the option market based on the option transaction plan. An option transaction plan creation device according to claim 1,
The option transaction plan creation apparatus characterized in that the option transaction plan creation device increases the purchase of put options in the electric power market as the power generation amount of the operation plan or the number of activated generators increases. The option transaction plan creation device according to claim 1 or claim 2,
In the option transaction plan, the option transaction plan creation device increases the sales of call options in the electric power market as the power generation amount of the operation plan or the number of activated generators increases. The option transaction plan creation device according to any one of claims 1 to 3,
The option transaction plan creation apparatus according to claim 1, wherein the option transaction plan increases the purchase of call options in the fuel market as the power generation amount or the number of activated generators using the oil in the operation plan increases. The option transaction plan creation device according to any one of claims 1 to 4,
The option transaction plan creating apparatus according to claim 1, wherein the option transaction plan increases the sales of put options in the fuel market as the power generation amount or the number of activated generators of the generator using oil increases. The option transaction plan creation device according to claim 2 or claim 3,
The option transaction plan is an option transaction plan creation device that calculates a power generation cost of the power generator in a unit of time and determines a price based on a limit price by option trading in the power market from the power generation cost and volatility. The option transaction plan creation device according to claim 4 or claim 5,
The option transaction plan is an option transaction plan creation device that calculates a fuel cost per unit time of the generator and determines a price based on a limit price by option trading in the fuel market from the fuel cost and volatility. An option transaction plan creation device according to claim 1,
The Option Trading Planning Department is responsible for the total purchase price, including buying power market put options and buying fuel market call options, and selling power market call options and fuel market put options. An option transaction plan creation device, wherein the total amount of sales including at least one of them is equal. The option transaction plan creation device according to claim 3 or claim 5,
When the implied volatility of the strike price near the at-the-money in the option market is 1.5 times or more the previous day's implied volatility calculated back from the contract price using the Black-Scholes equation, the option sale is repurchased. Optional transaction plan creation device.

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