ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 14/05/2012

Weekly Highlights

  • The base load calendar 2013 settlement prices continued to ease across the eastern states over the last week. NSW prices slipped $0.01/MWh moving to $57.00/MWh, VIC prices decreased $0.45/MWh moving to $51.90, QLD lost $0.15/MWh to $53.05/MWh and SA prices added $0.03/MWh moving to $55.85.
  • 40% of the weeks traded volume was in NSW, 35% in VIC, 22% in QLD and 3% in SA.
  • Open interest increased by 428 contracts over the week. Futures rose by 346 contracts and options increased by 82 calendar contracts.
  • Implied at-the-money base load 2013 option volatility settled at 13.50% in NSW, 12.07% in VIC, 12.69% in QLD and 8.27% in SA.

Weekly Volume*^

  • Futures contracts traded this week (including Cap futures) = 1,047
    • Base Futures = 786
    • Peak Futures = 1
    • Cap Futures = 260
  • Calendar Options traded this week = 150 (600) quarterly equivalent contracts
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 350
  • Total MWh traded this week = 3,609,540
  • Open Interest (including caps and options) as at COB Monday 14/05/2012 = 36,570 contracts (representing 173.9 million MWh and a face value of $8.89 billion approx).

Monthly Volume*^

  • FY 11/12 average daily volume = 817
  • 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
  • May 12 volume to date = 3,508 / avg daily volume = 351
  • Apr 12 total volume = 11,411 / avg daily volume = 571
  • Mar 12 total volume = 16,841 / avg daily volume = 766
  • Feb 12 total volume = 24,410 / avg daily volume = 1,162
  • Jan 12 total volume = 12,374 / avg daily volume = 589
  • 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 14 May 2012

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q22012 745 3,253 396 2,316 355 2,100 190 453
Q32012 179 1,898 82 2,157 105 1,296 10 487
Q42012 177 1,516 135 1,781 105 1,218 12 399
Q12013 195 885 68 987 56 750 0 134
Q22013 50 789 0 892 5 535 0 115
Q32013 0 564 0 483 5 377 1 70
Q42013 1 523 0 413 5 381 0 70
Q12014 0 76 0 40 0 35 0 0
Q22014 0 41 0 41 0 40 0 5
Q32014 0 26 0 46 0 30 0 30
Q42014 0 16 0 41 0 35 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
Q12016 0 0 0 0 0 0 0 0
Q22016 0 0 0 0 0 0 0 0
Total 1,347 9,587 681 9,197 636 6,797 213 1,763

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 14 May 2012

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2013 0 1,800 0 1,057 0 1,442 0 50
2014 0 280 0 1,235 0 485 0 0
2015 0 0 0 0 0 0 0 0
Total 0 2,080 0 2,292 0 1,927 0 50