ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 20/05/2013

Weekly Highlights*

  • 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.

Weekly Volume*^

  • 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).

Monthly Volume*^

  • 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
*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 20 May 2013

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q22013 475 2,553 167 1,931 84 1,806 40 399
Q32013 522 2,092 400 1,584 60 1,361 35 429
Q42013 301 1,755 271 1,250 75 1,292 0 373
Q12014 265 1,932 245 1,148 95 963 35 188
Q22014 300 1,088 180 667 20 790 0 105
Q32014 0 673 0 444 5 544 0 85
Q42014 0 709 0 337 5 524 0 20
Q12015 0 342 0 101 0 118 0 85
Q22015 0 132 0 96 0 103 0 40
Q32015 0 32 0 45 0 88 0 15
Q42015 0 32 0 40 0 88 0 15
Q12016 0 0 0 0 0 0 0 0
Q22016 0 0 0 0 0 0 0 0
Q32016 0 0 0 0 0 0 0 0
Q42016 0 0 0 0 0 0 0 0
Q12017 0 0 0 0 0 0 0 0
Q12017 0 0 0 0 0 0 0 0
Q22017 0 0 0 0 0 0 0 0
Q22017 0 0 0 0 0 0 0 0
Total 1,863 11,340 1,263 7,643 344 7,677 110 1,754

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 20 May 2013

  NSW VIC QLD SA
  Base Base Base Base
2015 115 371 325 0
2016 0 0 0 0
2017 0 0 0 0
2014 2,212 1,956 1,071 0
Total 2,327 2,327 1,396 0