Deriving storage value

Following an article Energy Risk published in July, TransCanada's Farzan Nathoo looks at how companies can extract value from their natural gas storage assets

Natural gas storage assets or contracts provide a series of calendar spread options to their owners. However, optimising the value of storage assets should be consistent with the risk-return appetite of the company and its approved trading strategies.

Market participants may use different strategies to extract value from the storage assets. These fall into two broad categories:

- Linear strategies: These include capturing the spreads in forward markets and re-establishing the positions on a daily