evaluation of a gas storage option

The Verbund - Austrian Power Trading is the electricity trading company of the largest Austrian electricity producer called Verbund. The company commissioned Decision Trees with a study to evaluate a gas storage option. The purpose was to determine the value of the storage option that could be achieved in the future by trading the stored natural gas on forward and spot markets. A key element of the study was the modeling of the volatility of spot market prices. In addition, we carried out comprehensive sensitivity analyses with regard to the technical features of the storage facility and in view of different market assessments.

The study showed that, on the one hand, trading on the spot market significantly increased the value of the gas storage facility and that, on the other hand, risks and chances of spot market trading can be assessed by evaluating them with a stochastic optimization model.