The influence of the trade of generation options on the strategy and profit of two power plants with random power generation capacities is studied. Two different situations with and without the trade of generation options are considered. The optimal strategy models of the power plant in these situations are established. It is proved that there should be Nash equilibriums with the trade of generation options, and the power plant can obtain higher profit expectation. The range of the trade price of the generation options is also given. The example shows that the number of option bought in the primary market increases with the trade price in the secondary market, and there exits the highest profit expectation for the power plant.