A Model to Prevent Spot Transaction Risk for Generation Company by Use of Electricity Futures and Analysis on Calculation Example

By use of traditional future price decision theory the authors analyze the relation between the price fluctuation of electricity future and the expectation long-term spot price; on this basis according to the quantitative relation between spot price at the beginning of period and electricity future price, the strategy selection of generation companies’ future transaction, the hedging mechanism of electricity futures and the arbitrage speculation strategy with electricity futures are expounded. Under the condition of reasonably selecting the hedge strategy for futures, electricity futures can reduce the electricity price fluctuation range that the long-term spot transaction of generation companies will face with, and increase the expected revenue from long-term spot transactions. Besides, the arbitrages of electricity future can raise total profit of generation companies while the risk of generation companies increases.