I found that all of the electricity futures prices (on ICE) at a particular hub changed on December 2, even though a) most had zero open interest and zero volume, and b) the quoted prices are EOD settlement prices. How can this be? Does that mean that, since there is no market, the prices are unreliable? Or does it mean that there is some kind of marking system in the background that prevents the prices from becoming stale? Would you be confident in using these prices and their volatilities for pricing options on those futures? Since we cannot attach files, the example in question is:
ERCOT West 345KV Real-Time Peak Fixed Price Future
from the drop down on this page. The product description does not indicate the calculation methodology in the event of zero volume / OI.