ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 29/06/2009

Weekly Highlights*

  • Implied Base Calendar 2010 prices were mixed over the week. VIC rallied by $0.41 from $46.86 to $47.27 and QLD increased by $0.06 from $42.41 to $42.47. NSW declined by $0.15 from $45.21 to $45.06 and SA remained unchanged at $53.38.
  • Open Interest continued to set new records rising 314 contracts to a total of 52,526 contracts. Futures increased by 259 and Options rose by 55 contracts.
  • Option trades of note this week include:
    • VIC Calendar 2011 $60-calls traded 25 MW at $1.00
    • NSW Calendar 2011 $60-calls traded 25 MW at $1.00
    • NSW Calendar 2010 $46-puts traded 20 MW at $2.65
  • 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) =1,678
    • Base Futures = 1,633
    • Peak Futures = 25
    • Cap Futures = 20
  • Calendar Options traded this week = 120 (or 480 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 665
  • Total MWh traded this week = 4,693,230
  • Open Interest (including caps and options) as at COB Monday 29/06/2009 = 52,526 contracts (representing 148.8 million MWh and a face value of $6.8 billion approx).

Monthly Volume^

  • FY 08/09 average daily volume = 550
  • 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 = 14,356 / average daily volume = 718
  • 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 29 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