This market's index
Tracks how far the day-ahead power price ran from the real-time price in New York City.
How it updates
The index sits near 1.0, which means the day-ahead auction and the real-time market agreed. It rises when day-ahead cleared above what real-time delivered and falls when real-time overshot the auction. It is mean-reverting and spends roughly two hours in five below 1.0.
What it measures
The day-ahead price for the current hour minus the trailing 60-minute real-time average, both for the N.Y.C. zone. The dollar gap is converted to an index where 1.0 means the two met exactly.
Methodology
Each run takes the day-ahead price for the hour in progress and subtracts the rolling real-time average computed from settled dispatch prices, then converts the resulting dollar gap through an exponential transform. That transform is what lets a quantity which is negative about 41% of the time be published as a price that is always positive, and it makes a given dollar move the same percentage move whatever the level.
| Price | Size | Trader | Time |
|---|
Source
NYISO MIS public CSV feeds.
Know the limits
Price, index, and funding
The traded price and the index are different numbers. The index is the measured value. Trades set the price, and the price moves freely around the index.
NYCDART
