Reply To: “Impact Of Delta” for Power Deals at front end

Richard Knight

I’m wondering whether I have fully understood the setup described since, on biz date 21st wouldn’t delta for “Delivery Day 23rd“ be on the 2nd ( rather than the 3rd) calendar gdpt of the base fwd curve ? where 21st = 0cd, 22nd = 1cd and 23rd = 2cd

Additionally, what setting caused the deal to fix on day ahead prices?

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