  In this paper we introduce an additive two-factor model for electricity
futures prices based on Normal Inverse Gaussian L\'evy 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.
