ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 30/01/2012

Weekly Highlights

  • The base load calendar 2013 settlement prices eased lower again last week. NSW declined $0.26/MWh moving to $60.05/MWh, VIC prices lost $0.32/MWh moving to $54.85, QLD remained unchanged at $55.03 and SA prices fell by $0.08/MWh to $58.78.
  • 21% of the weeks traded volume was in NSW, 42% in VIC, 34% in QLD and 2% in SA.
  • Overall open interest again rose slightly last week. Futures increased by 114 contracts and options increased by 25 calendar contracts.
  • Implied at-the-money base load 2013 option volatility settled at 16.45% in NSW, 15.35% in VIC, 13.83% in QLD and 8.27% in SA.

Weekly Volume*^

  • Futures contracts traded this week (including Cap Futures) = 1,737
    • Base Futures = 1,240
    • Peak Futures = 49
    • Cap Futures = 448
  • Calendar Options traded this week = 300 (1,200) quarterly equivalent contracts
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 825
  • Total MWh traded this week = 6,359,775
  • Open Interest (including caps and options) as at COB Monday 30/01/2012 = 32,228 contracts (representing 96.2 million MWh and a face value of $4.39 billion approx).

Monthly Volume*^

  • FY 11/12 average daily volume = 839
  • FY 10/11 average daily volume = 997
  • FY 09/10 average daily volume = 730
  • FY 08/09 average daily volume = 550
  • FY 07/08 average daily volume = 445
  • Jan 12 volume to date = 11,378 / avg daily volume = 569
  • Dec 11 total volume = 12,055 / avg daily volume = 603
  • Nov 11 total volume = 38,018 / avg daily volume = 1,728
  • Oct 11 total volume = 15,388 / avg daily volume = 733
  • Sep 11 total volume = 15,961 / avg daily volume = 726
  • Aug 11 total volume = 18,500 / avg daily volume = 804
  • Jul 11 total volume = 13,685 / avg daily volume = 652
  • Jun 11 total volume = 13,827 / avg daily volume = 629
  • May 11 total volume = 15,959 / avg daily volume = 725
  • Apr 11 total volume = 10,235 / avg daily volume = 539
  • Mar 11 total volume = 31,572 / avg daily volume = 1,373
  • Feb 11 total volume = 30,734 / avg daily volume = 1,537
  • Jan 11 total volume = 26,058 / avg daily volume = 1,371
  • Dec 10 total volume = 13,621 / avg daily volume = 619
  • Nov 10 total volume = 30,025 / avg daily volume = 1,365
*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.

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Chart Futures, Caps and Options VolumeChart Futures, Caps and Options Volume

Futures and Caps Open Interest - Peak=Futures, Base=Futures+Caps - as at COB Mon 30 Jan 2012

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q12012 619 3,242 314 2,920 349 1,723 5 399
Q22012 428 2,897 312 1,948 75 1,711 90 340
Q32012 189 1,532 101 1,400 70 1,151 10 253
Q42012 181 1,383 125 1,305 75 1,073 12 225
Q12013 153 429 57 327 45 348 0 20
Q22013 50 379 0 278 5 271 0 15
Q32013 0 223 0 218 5 188 0 15
Q42013 1 218 0 223 5 203 0 15
Q12014 0 0 0 35 0 0 0 0
Q22014 0 0 0 35 0 0 0 0
Q32014 0 0 0 40 0 0 0 0
Q42014 0 0 0 35 0 0 0 0
Q12015 0 0 0 0 0 0 0 0
Q22015 0 0 0 0 0 0 0 0
Q32015 0 0 0 0 0 0 0 0
Q42015 0 0 0 0 0 0 0 0
Total 1,621 10,303 909 8,764 629 6,668 117 1,282

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 30 Jan 2012

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2013 0 435 0 500 0 500 0 50
2014 0 0 0 275 0 175 0 0
2015 0 0 0 0 0 0 0 0
Total 0 435 0 775 0 675 0 50