Market Wrap 26/07/2010 | d-cyphaTrade

Weekly Highlights

The implied base load Calendar 2011 prices rallied in all states over the last week. SA had the largest rise adding $0.38 moving from $45.00 to $45.38 followed by VIC which increased by $0.28 moving from $37.89 to $38.17. NSW rose $0.21 moving from $41.29 to $41.50 and QLD moved up $0.03 from $31.74 to $31.77.
35% of the weeks trades were in VIC, 33% in QLD and 32% in NSW.
Open interest rose significantly on the week with an overall increase of 1,544 contracts or 3%. Futures increased by 1,936 contracts or 4% and options increased by 608 contracts or 7% on the week.
Options highlights this week included:

55% of the weeks options trades were in QLD, 37% in NSW and 8% in VIC.
QLD base load Calendar 2012 $39 calls traded 160 MW between $0.55 and $0.60.
NSW base load Calendar 2012 $44/$50 call spreads traded 130 MW between $1.80 and $1.85.
Implied at-the-money base load 2011 option volatility settled at 13.40% in NSW, 11.84% in VIC, 13.30% in QLD and 7.50% in SA.
Implied at-the-money base load 2012 option volatility settled at 13.28% in NSW, 13.71% in VIC, 11.64% in QLD and 7.50% in SA.

Calendar Options traded this week = 930 (3,720 quarterly equivalent contracts)
Quarterly Peak Options traded this week = 0
Volume of EFP this week = 0
Volume of Block Trades this week = 2,234
Total MWh traded this week = 12,285,687
Open Interest (including caps and options) as at COB Monday 26/07/2010 = 56,564 contracts (representing 220.7 million MWh and a face value of $8.72 billion approx).

*all contracts are 1 MW calendar quarter equivalent

^volume includes futures trades which result from option exercise, face value of options calculated at strike price.