Indicative Yield
9.6%
Bid 9.0% · Ask 9.6%
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Market prices, positions, participants and transactions are simulated for demonstration purposes.
THEORI-WTR-US-CA-SD27
California Hydro & Snowpack Deficit
Protection against materially below-normal Sierra Nevada snowpack and associated hydroelectric inflow risk.
WaterCaliforniaOpen
Implied Probability
16.8%
Historical frequency 15.1%
Total Notional
$46M
$12.8M available
Maturity
15 Apr 2027
1 November 2026 – 1 April 2027
Contract Definition
Objective terms governing observation and settlement.
Trigger
The designated Sierra Nevada snow-water-equivalent index falls below 65% of the long-term seasonal average.
Geographic Scope
California
Observation Period
1 November 2026 – 1 April 2027
Data Source
Independent snowpack, hydrology and reservoir observation data
Indicative Market History
Illustrative yield and probability movements.
Historical pricing chart workstream pending
Settlement
Cash settlement following publication and verification of the contracted seasonal snowpack index.
AI Risk Brief
Current pricing reflects elevated seasonal uncertainty
The current indicative premium is above the historical event frequency, reflecting recent forecast conditions, elevated energy-market sensitivity and constrained available capacity.