Energy storage systems (ESS) may provide the required flexibility to cost-effectively integrate weather-dependent renewable generation, in particular by offering operating reserves. However, since the real-time deployment of these services is uncertain, ensuring their availability requires merchant ESS to fully reserve the associated energy capacity in their day-ahead schedule. To improve such conservative policies, we propose a data-driven probabilistic characterization of the real-time balancing stage to inform the day-ahead scheduling problem of an ESS owner. This distributional information is used to enforce a tailored probabilistic guarantee on the availability of the scheduled reserve capacity via chance constrained programming, which allows a profit-maximizing participation in energy, reserve and balancing markets. The merit order-based competition with rival resources in reserve capacity and balancing markets is captured via a bi-level model, which is reformulated as a computationally efficient mixed-integer linear problem. Results show that a merchant ESS owner may leverage the competition effect to avoid violations of its energy capacity limits, and that the proposed risk-aware method allows sourcing more reserve capacity, and thus more value, from storage, without jeopardizing the real-time reliability of the power system. Index Terms-Chance-constrained programming, Data-driven optimization, Energy storage, Energy-operating reserve markets, Balancing markets. NOMENCLATUREA. Superscripts ch Charge mode of storage system. d Downward reserve. da Downward reserve activation. dis Discharge mode of storage system. u Upward reserve. ua Upward reserve activation. B. Sets and indices G Set of G conventional generators, index g. J Set of J demands, index j. L Set of L reserve activation levels, index l.

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