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
Q22009 164 3,040 185 2,419 50 2,599 18 125
Q32009 188 3,268 140 2,305 66 2,508 0 130
Q42009 272 2,834 232 2,503 271 2,789 5 273
Q12010 30 1,788 35 1,805 140 2,094 0 53
Q22010 56 1,508 32 1,234 0 928 0 14
Q32010 31 1,330 12 1,022 0 825 1 13
Q42010 26 1,221 12 1,063 45 845 0 13
Q12011 15 460 0 671 30 587 0 0
Q22011 15 445 0 430 0 489 0 0
Q32011 0 80 0 249 0 336 0 0
Q42011 0 85 0 246 0 330 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 797 16,059 648 13,967 602 14,370 24 621

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 29 Jun 2009

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2010 0 1,000 15 1,653 15 1,495 0 0
2011 0 100 0 505 0 600 0 0
2012 0 0 0 0 0 90 0 0
Total 0 1,100 15 2,158 15 2,185 0 0