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Argus North American Correlation Curves

An Argus risk data service, published daily

The Argus Electricity / Natural Gas Correlation Curves service provides a powerful, independent market valuation tool to support risk management and trading decisions in electricity and natural gas markets across North America.

Argus uses a wide range of data sources to determine market values for power and natural gas locations and forward periods. For illiquid locations and terms, locational spreads and time spreads are used as the basis for establishing current fair market values.

Markets Covered

Argus produces daily electricity/natural gas correlation curves for 46 major electricity trading hubs/markets. Power markets are paired with CME Henry Hub Natural Gas Futures and 26 non-NYMEX natural gas markets to produce Argus’ Electricity / Natural Gas Correlation Curves.

Key Features

  • 46 power market locations
  • 19 different tenors provided (monthly, seasonal blocks, annual)
  • Correlations on a 5, 10, 20, 30 and 50 day basis
  • Forward price curves for standard On Peak, Off Peak and Round-the-Clock (“RTC”) forward contracts
  • Independently produced and transparent methodology
  • Delivery options: Email, FTP data feed and third-party delivery partners, such as LIM and ZEMA.

Argus Forward Curves Usages

Curves service is a reliable tool for analytical and risk-management processes, including:

  • Independent evaluations
  • Mark-to-market (“MTM”) validation 
  • Value-at-risk (“VaR”)
  • Potential future exposure (“PFE”)
  • Risk disaggregation
  • In-house forward positions validation

Quick Links

  Learn more about the Argus North American Electricity Forward Curves methodology

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