In a competitive electricity market, a GENCO which has wind generation, is able to control and minimize its trading risks by participating in different markets such as spot market and bilateral contracts. Wind generation may have a high level of risk due to uncertainties in wind, energy price fluctuations and penalties due to energy unbalancing. In this paper, we have focused on optimum bidding of wind generation using utility theory, considering the risks which exist in wind generation. We proposed a new method to find the optimum bidding amount in different markets in such a way that maximum benefit and minimum risk could be achievable, simultaneously. We have used historical data of the Spain electricity market (which is available online) to show effectiveness of the proposed method.