How are Continuous Day-Ahead Contracts Constructed?

The Continuous Day-Ahead (CONT DA) contracts are synthetic contracts constructed by Montel. These contracts are based on data published by EEX Pegas, but the CONT DA contracts themselves are only made available by Montel. Note that there is no trading on CONT DA contracts, and the purpose of these contracts is solely to provide a continuous view of Day-Ahead prices for all days, including weekends.

 

The Day-Ahead contracts published by EEX Pegas (e.g., PEGAS TTF DA) only include trading and delivery for Monday to Friday. Trading on PEGAS TTF DA conducted on Friday is for delivery on the following Monday. 

 

The Continuous Day-Ahead contracts provided by Montel, are constructed by combining data from Day-Ahead, Weekend, Saturday, and Sunday contracts published by EEX PEGAS. For example, PEGAS TTF CONT DA consists of data from PEGAS TTF DA, PEGAS TTF WE, PEGAS TTF Saturday, and PEGAS TTF Sunday. 

 

View the table below for an overview of the source contracts for each trading day in the Continuous Day-Ahead contracts. Note that OHLC (open, high, low, close) data and settlements can be from different source contracts. PEGAS TTF Cont DA is used as an example: 

Trading day Delivery day Source of OHLC data Source of Settlements
Monday Tuesday PEGAS TTF DA PEGAS TTF DA
Tuesday Wednesday PEGAS TTF DA PEGAS TTF DA
Wednesday Thursday PEGAS TTF DA PEGAS TTF DA
Thursday Friday PEGAS TTF DA PEGAS TTF DA
Friday Saturday PEGAS TTF Saturday PEGAS TTF WE
Saturday Sunday PEGAS TTF Sunday PEGAS TTF WE (Stl from Friday)
Sunday Monday PEGAS TTF DA  PEGAS TTF DA (Stl from Friday)

 

Settlements are published by EEX between 19:30-20:00 CET. The data is usually available in our database no later than 21:00 CET.