Dear all,I would very much appreciate any help on the following:I am looking for trade data wrt electricity options and would primarily be interested in the following types of contracts:- outright/standard options on peakload/baseload futures (or forwards)- spark/dark spread options- heat rate optionsFrom a very first glance, I suppose that liquidity for some of the above contracts might not be too high for major European markets, irrespective of whether traded OTC or exchange-based. Not sure about liquidity in major US markets?I know this is not very creative for my first post here, but would be happy if someone knew any (OTC?) source that might have such data for major European or US markets (e.g., UK/Germany/France/Nordpool or PJM, NEPOOL, ERCOT etc).Thanks a lot!

Hello,I can't provide you with such datas but i can tell you:In europe, consider only 1 market liquid: Germany, and basicely everything is on OTC so you have to record brokers quote that's why it could be hard to get price for you.The market is highly illiquid, so you can find quotes sometimes which are not updated.The implied vol is very low now with a realized around < 10% and it's the case for a long time.I don't know about the US market.Good luck.

In US, this is very hard to get. I believe that it is close to impossible. If you wanted prices, some brokers have it (and publish it every day). However, trades go usually either through few brokers or directly between companies. PM me if you have any more specific question.

Dear all,thank you very much for help and information. I'd appreciate if anyone may have additional info although the picture already looks pretty clear...Thanks again and regards.

Have a look at http://www.eex.com/en/DownloadEEX sell most of their data for a price.

The SFE has listed flat/base options on futures for each of the NEM regions SA1, NSW1, QLD1, VIC1 in the Australian market, see for examplehttp://d-cyphatrade.com.au/market_options#ANfor prices.The options are on calendar year strips of the underlying futures contract, so for example, if you buy one of these options and exercise you will be getting a Q1, Q2, Q3, and Q4 contract (one of each) They did have options on Q1 peak futures contracts but they have recently axed this product.Be careful if you are valuing options on these as the option premium is margined throughout the contract so an Asay like formula (not Black) should be employed.(If anyone has a link to the original Asay paper could they post it, or a link, I have been looking for it for ages).The underlying futures that the options are on are also on the http://d-cyphatrade.com.au site. If you are after volume info about how much volume there is, have a look around their site (I think in their news section ) as they often do a summary of how much volume has been traded in the last year. The current open interest is also listed on each pricing page.

Thank you for your replies. I will take a look - thanks.Cheers,T.