Well, in spite of the fact we don’t have the prices we want (see this post), and in spite of the fact that it’s Thursday evening and WESM still hasn’t posted data from last week that they said they would post by Wednesday morning, we still have enough data to do some analyses on the spot market. Data is through 9/3/06.
First, let’s take a look at trends. Here’s a chart of the trailing 7-day average of the LWAP (load-weighted average price).
A big up trend over the past month.
Nobody cares about off-peak prices; they are simply too low to matter. So here’s a plot of the on-peak prices (I’ve eliminated Sunday from the peak prices – it’s actually part of the off-peak period based on price levels).
Looking at this chart made me want to calculate the daily price volatility – it’s 65%. That is very high. Basically the 90% confidence intervals cover the whole exceed the observed range.
I also took a look at trends in volatility by measuring the trailing 12-day volatility.
There hasn’t been much of a trend in volatility, although it may be slightly downward tracking. We’ll watch these over time.
All this data and my worksheets are posted here.