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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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 | |
| 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 | 0 | 0 | 0 | 20 | 0 | 40 | 0 | 0 |