The number of companies that are exposed to the revenues loss risk caused by weather variability is still increasing. The businesses that are mostly exposed to weather risk are following: energy, agriculture, constructions and transport. That situation has initiated dynamic growth of weather derivatives markets as well as the awareness of the weather risk among the market participants. Presently, the weather derivatives markets evaluate rapidly in all the mature economies: USA, Asia and Europe. Constructing weather derivatives relies on quantifying climate factors in the form of indexes, what is quite simple task, more difficultly can be gathering precise historical data of required climate factors. Taking into consideration so far development of derivatives n especially the financial derivatives based on different types of indexes n financial market has at disposal wide range of different types of proved derivatives (futures, forward, options, swaps), which can be successfully utilized on the weather-driven markets both for hedging weather risk and speculating.