The Brazilian electric sector underwent a major restructuring that began at the end of the 1990s, which aimed to increase the efficiency of the agents and the market as a whole. This process created the Regulated Contracting Environment (ACR) where the generators sell their energy through government-organized auctions, and the Free Contracting Environment (ACL) which enables deals between producers and consumers whose demand exceeds 3MW, directly or via brokers. Purchases in the ACL may be at fixed or previously-set prices, or even at floating prices based on the Spot Price (PLD). The PLD may be volatile, becoming a high risk factor for the electric sector agents. Energy supply is divided into four sub-markets: North, South, Northeast and Southeast/Midwest, and each presents a distinct PLD due to restrictions on the transmission lines and other factors. However, it is common for agents to trade in electric power swaps, which means trading energy among different sub-markets and profiting from price differences. The management of risk inherent in such operations is usually performed by the companies themselves, which use financial models to optimize contract portfolios, taking into account risk metrics. Thus, the trader will book a profit or loss depending on the prices in each sub-market. Against this backdrop, this study offers a model of optimal decision in Electric Power Swaps (buying and selling the same amount of energy) using the Omega Measurement as a performance indicator, restricted by value at risk (VaR) to help brokers maximize their profit while minimizing risks.