This study develops a model in which changes in the electricity basis are directly related to changes in the fuel's storage level and the fuel's convenience yield. The model is tested with data from the US electricity and natural gas markets during the period 2004–2014. Empirical results show a negative relationship between the electricity basis and the fuel's convenience yield giving support to the argument that non‐storable commodities embody convenience yields. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:522–538, 2017