ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 20/05/2013
- Base load Calendar 2014 settlement prices moved lower across all regions over the week. NSW prices lost $0.94/MWh moving to $51.66/MWh, VIC prices fell $0.74/MWh to $47.89/MWh, QLD prices dropped by $0.77/MWh moving to $54.15/MWh and SA prices decreased by $0.65/MW to $55.22/MWh.
- 61% of the weeks traded volume was in NSW, 21% in VIC, 9% in QLD and 9% in SA.
- Futures Open Interest rose over the week. Futures added 670 contracts and the calendar and financial year options added 141 contracts over the week.
- Implied at-the-money base load Calendar 2014 option volatility settled at 12.07% in NSW, 10.87% in VIC, 11.24% in QLD and 7.50% in SA.
- Implied at-the-money base load Fin Year 2015 option volatility settled at 17.59% in NSW, 10.87% in VIC, 11.24% in QLD and 7.50% in SA.
- Futures contracts traded this week (including Cap futures) = 1,608
- Base Months = 0
- Base Quarters = 1,040
- Peak Quarters = 188
- Base Cap Quarters = 380
- Calendar Year Options traded this week = 261 (1044 quarterly equivalent contracts)
- Financial Year Options traded this week = 65 (260 quarterly equivalent contracts)
- Volume of EFP this week = 125
- Volume of Block Trades this week = 625
- Total MWh traded this week = 6,139,989
- Open Interest (including caps and options) as at COB Monday 20/05/2013 = 38,049 contracts (representing 118.7 million MWh and a face value of $5.89 billion approx).
- FY 12/13 average daily volume = 633
- FY 11/12 average daily volume = 802
- 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 13 volume to date = 6,569 / avg daily volume = 469
- Apr 13 total volume = 9,050 / avg daily volume = 453
- Mar 13 total volume = 9,429 / avg daily volume = 471
- Feb 13 total volume = 8,972 / avg daily volume = 449
- Jan 13 total volume = 14,334 / avg daily volume = 652
- Dec 12 total volume = 15,056 / avg daily volume = 792
- Nov 12 total volume = 19,375 / avg daily volume = 881
- Oct 12 total volume = 15,135 / avg daily volume = 658
- Sep 12 total volume = 14,831 / avg daily volume = 742
- Aug 12 total volume = 13,230 / avg daily volume = 575
- Jul 12 total volume = 16,468 / avg daily volume = 749
- Jun 12 total volume = 17,553 / avg daily volume = 836
- May 12 total volume = 9,936 / avg daily volume = 432
- Apr 12 total volume = 11,411 / avg daily volume = 571
^volume includes futures trades which result from option exercise, face value of options calculated at strike price.
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Futures and Caps Open Interest - Peak=Futures, Base=Futures+Caps - as at COB Mon 20 May 2013
Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 20 May 2013