In this paper we introduce an additive two-factor model for electricity futures

prices based on Normal Inverse Gaussian Lévy processes, that fulfills

a no-overlapping-arbitrage (NOA) condition. We compute European option

prices by Fourier transform methods, introduce a specific calibration procedure

that takes into account no-arbitrage constraints and fit the model to power option

settlement prices of the European Energy Exchange (EEX). We show that

our model is able to reproduce the different levels and shapes of the implied

volatility (IV) profiles displayed by options with a variety of delivery periods.