In this paper we present the first comprehensive analysis of the volatility structure in an electricity market. 6 years of price data on futures and forward contracts traded in the Nordic electricity market is analysed. For the forward price function of electricity, we specify two different multifactor term structuremodels in a Heath-Jarrow-Morton framework. Principal component analysis is applied to reveal the volatility structure in the market. The two most important factors resembles those found in other markets, however, we also find that electricity differs from most other commodities and financial markets in several respects. As much as 10 factors are needed to explain 95% of the variation in the price data. Furthermore, correlation between short and long term structure movements is lower than in other markets. We argue that these special properties occur since electricity cannot be stored.