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

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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 Fri 3 Feb 2012

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q12012 619 3,252 315 2,988 329 1,666 5 399
Q22012 498 2,974 312 2,043 89 1,830 90 340
Q32012 190 1,540 101 1,528 70 1,153 10 253
Q42012 181 1,459 125 1,425 75 1,126 12 225
Q12013 158 510 58 465 50 366 0 20
Q22013 50 438 0 378 5 287 0 15
Q32013 0 273 0 223 5 202 0 15
Q42013 1 268 0 228 5 218 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 1,697 10,714 911 9,423 628 6,848 117 1,282

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Fri 3 Feb 2012

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2013 0 735 0 500 0 835 0 50
2014 0 0 0 275 0 175 0 0
2015 0 0 0 0 0 0 0 0
Total 0 735 0 775 0 1,010 0 50