ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 05/06/2009 **QUEEN'S BIRTHDAY, MONDAY 08/06/2009**

Weekly Highlights

  • Implied Base Calendar 2010 prices have fallen across the Eastern states. QLD decreased by $0.30 from $42.82 to $42.52 and VIC fell $0.14 from $47.85 to $47.71. NSW declined by $0.12 from $45.63 to $45.51 and SA remained unchanged at $58.84.
  • Overall Open Interest rose by 850 contracts. Futures increased by 860 and Options decreased by 10 contracts.
  • Options trading highlights this week included the 2010 NSW $55-strike calls trading at $0.23 and $0.25, and the 2010 NSW $42-strike put trading at $0.50.
  • Implied at-the-money 2010 option volatility settled at 18.46% in NSW, 18.07% in VIC, 10.37% in SA and 18.92% in QLD.
  • Implied at-the-money 2011 option volatility settled at 7.5% in NSW, 18.8% in VIC, 7.5% in SA and 17.4% in QLD.

Weekly Volume*

  • Futures contracts traded this week (including Cap Futures) = 2,193
    • Base Futures = 2,040
    • Peak Futures = 118
    • Cap Futures = 35
  • Calendar Options traded this week = 215 (or 860 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 30
  • Volume of Block Trades this week = 1,400
  • Total MWh traded this week = 6,532,641
  • Open Interest (including caps and options) as at COB Friday 05/06/2009 = 49,542 contracts (representing 138 million MWh and a face value of $6.34 billion approx).

Monthly Volume^

  • FY 08/09 average daily volume = 537
  • FY 07/08 average daily volume = 445
  • FY 06/07 average daily volume = 461
  • FY 05/06 average daily volume = 132
  • Jun 09 volume to date = 3,088 / avg daily volume = 618
  • May 09 total volume = 18,487 / avg daily volume = 880
  • Apr 09 total volume = 3,999 / avg daily volume = 200
  • Mar 09 total volume = 12,355 / avg daily volume = 562
  • Feb 09 total volume = 9,809 / avg daily volume = 490
  • Jan 09 total volume = 8,239 / avg daily volume = 412
  • Dec 08 total volume = 7,985 / avg daily volume = 380
  • Nov 08 total volume = 12,520 / avg daily volume = 626
  • Oct 08 total volume = 8,691 / avg daily volume = 378
  • Sep 08 total volume = 14,951 / avg daily volume = 680
  • Aug 08 total volume = 8,855 / avg daily volume = 422
  • Jul 08 total volume = 18,807 / avg daily volume = 818
  • Jun 08 total volume = 8,987 / avg daily volume = 449
  • May 08 total volume = 13,284 / avg daily volume = 604
*volume includes futures trades which result from option exercise, face value of options calculated at strike price.

^all contracts are 1 MW calendar quarter equivalent

Subscribe to the Market Wrap by email

Get the Market Wrap delivered to your inbox every Tuesday


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

Futures and Caps Open Interest - Peak=Futures, Base=Futures+Caps - as at COB Fri 30 Jul 2010

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q32010 321 3,714 336 2,564 120 1,669 1 319
Q42010 206 3,444 156 3,506 150 2,178 0 213
Q12011 225 3,490 40 3,547 123 1,937 0 160
Q22011 216 2,716 20 1,441 90 1,198 0 105
Q32011 95 1,990 35 1,251 25 1,285 0 60
Q42011 95 2,030 35 1,275 40 1,149 0 60
Q12012 0 500 21 200 5 370 0 8
Q22012 0 454 20 146 0 381 0 8
Q32012 0 264 20 141 0 370 0 8
Q42012 0 234 20 141 0 370 0 8
Q12013 0 0 0 0 0 0 0 0
Q22013 0 0 0 0 0 0 0 0
Q32013 0 0 0 0 0 0 0 0
Q42013 0 0 0 0 0 0 0 0
Q12014 0 0 0 0 0 0 0 0
Q22014 0 0 0 0 0 0 0 0
Total 1,158 18,836 703 14,212 553 10,907 1 949

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Fri 30 Jul 2010

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2011 0 915 20 1,993 0 2,906 0 0
2012 0 1,515 0 420 0 2,265 0 0
2013 0 0 0 0 0 0 0 0
Total 0 2,430 20 2,413 0 5,171 0 0