Marketing of hydro storage capacities in the spot market

Hydro storage capacities offer important flexibilities for the market of system services as well as for the power spot market. As the demand for Swiss reserve energy is capped at about 1 TWh, significant Swiss hydro power capacities are still available for trading in the spot-market. Asset backed trading of hydro storages is driven by the storage capacity, the local inflow characteristic, the volatility structure, and the price shape over the delivery products feasible for the underlying hydro power plants. We develop algorithmic trading strategies with the focus on daily or weekly storage capacities. The moneyness of the associated option rights defines the income potential and is highly dynamic due to its sensitivity with respect to inflow dynamics in the short term and storage level.