ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 22/06/2009

Weekly Highlights*

  • This week saw the first Calendar 2012 options trades. Queensland led the way trading 790,560 MWh as options with a face value of approximately $43.5 million.

Trades include:

    • QLD Calendar 2012 $47-puts traded 25 MW at $3.50
    • QLD Calendar 2012 $51-puts traded 25 MW at $5.50
    • QLD Calendar 2012 $60-puts traded 20 MW at $5.50
    • QLD Calendar 2012 $65-puts traded 20 MW at $4.10
  • Implied Base Calendar 2010 prices have fallen in SA, NSW and VIC this week. SA has decreased by $0.98 from $54.36 to $53.38, NSW fell by $0.28 from $45.49 to $45.21 and VIC declined by $0.18 from $47.04 to $46.86. QLD rose by $0.05 from $42.36 to $42.41.
  • Open Interest continued to set new records rising 1,681 contracts to a total of 51,844 contracts. Futures increased by 1,411 (3%) and Options rose by 270 contracts (5%).
  • Implied at-the-money 2010 option volatility settled at 18.46% in NSW, 18.07% in VIC, 10.37% in SA and 15.73% in QLD.

Weekly Volume*

  • Futures contracts traded this week (including Cap Futures) =3,476
    • Base Futures = 3,320
    • Peak Futures = 25
    • Cap Futures = 131
  • Calendar Options traded this week = 290 (or 1,160 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 40
  • Volume of Block Trades this week = 1,470
  • Total MWh traded this week = 10,121,004
  • Open Interest (including caps and options) as at COB Monday 22/06/2009 = 51,844 contracts (representing 147.0 million MWh and a face value of $6.7 billion approx).

Monthly Volume^

  • FY 08/09 average daily volume = 552
  • FY 07/08 average daily volume = 445
  • FY 06/07 average daily volume = 461
  • FY 05/06 average daily volume = 132
  • Jun 2009 volume to date = 12,198 / average daily volume = 813
  • May 2009 total volume = 18,487 / average daily volume = 880
  • Apr 2009 total volume = 3,999 / average daily volume = 200
  • Mar 2009 total volume = 12,355 / average daily volume = 562
  • Feb 2009 total volume = 9,809 / average daily volume = 490
  • Jan 2009 total volume = 8,239 / average daily volume = 412
  • Dec 2008 total volume = 7,985 / average daily volume = 380
  • Nov 2008 total volume = 12,520 / average daily volume = 626
  • Oct 2008 total volume = 8,691 / average daily volume = 378
  • Sep 2008 total volume = 14,951 / average daily volume = 680
  • Aug 2008 total volume = 8,855 / average daily volume = 422
  • Jul 2008 total volume = 18,807 / average daily volume = 818
  • Jun 2008 total volume = 8,987 / average daily volume = 449

*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 Mon 22 Jun 2009

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q22009 164 3,040 185 2,420 50 2,599 18 125
Q32009 188 3,169 140 2,295 66 2,468 0 130
Q42009 267 2,829 232 2,498 261 2,789 5 258
Q12010 25 1,749 35 1,795 135 2,026 0 53
Q22010 51 1,493 32 1,244 0 889 0 14
Q32010 26 1,250 12 1,017 0 820 1 13
Q42010 21 1,191 12 1,063 45 800 0 13
Q12011 15 430 0 652 30 592 0 0
Q22011 15 415 0 435 0 434 0 0
Q32011 0 80 0 244 0 331 0 0
Q42011 0 85 0 241 0 325 0 0
Q12012 0 0 0 5 0 10 0 0
Q22012 0 0 0 5 0 10 0 0
Q32012 0 0 0 5 0 10 0 0
Q42012 0 0 0 5 0 10 0 0
Q12013 0 0 0 0 0 0 0 0
Q22013 0 0 0 0 0 0 0 0
Total 772 15,731 648 13,924 587 14,113 24 606

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 22 Jun 2009

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2010 0 955 15 1,653 15 1,495 0 0
2011 0 75 0 480 0 600 0 0
2012 0 0 0 0 0 90 0 0
Total 0 1,030 15 2,133 15 2,185 0 0