Modelo de opções reais para avaliar a estratégia de produção em uma indústria eletrointensiva face ao preço da energia elétrica

Abstract

Commodity prices in general have a stochastic behavior, which means that future prices are uncertain and difficult to predict. In Brazil, the spot price of electric energy is not different. The National System Operator (ONS) publishes the new electricity price weekly in order to minimize the operational cost. However, this price is characterized by a high volatility, which generates great uncertainties about future prices. In an uncertainty environment, as the energy sector, there are also opportunities. When energy prices are high may be more profitable for a company temporarily suspend part of its production and sell the electricity at the spot price, taking advantage of this moment to perform preventive maintenance on its machinery and equipment. This works objective is to auxiliary electro companies defining the optimal production strategy taking into account the uncertainties of the future electricity price. As an illustrative example, we examine the case of an aluminum industry, which have the option of temporarily suspend their production and sell to the market the resulting electricity. To evaluate the electricity spot price, we analyze its historical series and treat the data for projecting future prices. We consider two approaches: (i) linear regressions and (ii) mean reversion movements. In each of the approaches, we presented two different models. To compare our results we verify which model presented the lower mean squared prediction error. The results showed that the linear regression had a better perform to predict future prices. Then, we present an illustrative example using these models to assess a switch option between product aluminum and sell the electricity. The results show that this flexibility adds significant value to the operating income in an aluminum industry and the mean reversion model super estimates the option value compared with the linear regression model. The result of this work may be applied to other electro-intensive industries and thus leverage the operational result of these companies at the same time they contribute to alleviate the electricity demand in the country. Moreover, this switch option might make an investment that was not feasible becomes feasible.