Viabilidad de introducir contratos de derivados de gas natural en el Mercado Mexicano de Derivados: Un enfoque Hubbert-Grey

Abstract

Feasibility of introducing natural gas derivatives contracts in the Mexican Derivatives Market: A Hubbert-Gray approach

After the enactment of the 2013 energy reform in Mexico, the possibility of incorporating natural gas derivative contracts into the Mexican Derivatives Market (MexDer) was opened. The aim of this research is to examine the feasibility of introducing natural gas derivative contracts in the MexDer. For this, we use the Hubert model to calculate the projection of the natural gas supply, and the demand projection is obtained through a novel combination of the Gray and the Vasicek models. Subsequently, employing Monte Carlo simulation, we calculate the premiums of a futures contract and a contract of the European options over the price of natural gas, both were designed according to the regulations of the MexDer. The results obtained show that at the moment such contracts are not viable, mainly due to the reduced volume of production for possible contracts, compared to the growing demand, so it is recommended to promote investment in the productive and commercial platform so that the natural gas derivatives transaction is viable.