Unbalanced cost management is one of the key issues that need to be resolved in the construction of China’s electricity spot market. By analyzing the composition of unbalanced cost and considering the key characteristics of China’s electricity spot market, a risk management strategy for unbalanced cost based on electricity price swaps is proposed. Based on the basic law of power market operation and market risk management, the price swap trading mechanism not only reallocates the risk of unbalanced cost between the two sides of the transaction, but also reduces the generation of unbalanced cost to a certain extent. Further the expected utility and risk attitude theory are used to give the transaction costs of electricity price swaps, and the analysis of examples shows that electricity price swaps transactions can be effectively used in the unbalanced cost risk management of the electricity spot market.