Uncertainties in different parameters such as the output power of renewable energy sources, available capacity of generators, or the condition of grid lines in the future, face market players with financial risks in the power system. Futures contracts are used in parallel with the day-ahead electricity markets to protect market players against financial risks of undesirable price fluctuations. Supplying a demand by both futures and day-ahead markets leads to mutual impacts between these two markets. In this paper, a Nash equilibrium approach is introduced to model the interactions between the futures and day-ahead markets. The proposed model includes producers, retailers, and speculators as market players, the uncertainty in the output power of wind farms (WFs), the possibility of the financial settlement of contracts, market players’ risk preferences, and transmission system limitations. Using this approach, the optimal strategy of market players in futures and day-ahead markets, the effects of transmission system congestion on the Nash equilibrium of the system, and the role of the financial settlement of contracts in dealing with the uncertainty of WFs’ output power and transmission lines capacity are discussed. Eventually, the behavior of speculators and their impacts on the gaming of other market players are evaluated. Simulation results highlight the role of the financial delivery feature in the effective utilization of futures contracts and the behavior of market players.

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