ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 01/02/2010

Weekly Highlights*

  • Implied Base load Calendar 2011 prices were lower across most states last week. VIC fell $1.85 from $43.20 to $41.35, while QLD lost $1.36 moving from $39.01 to $37.65. NSW also decreased by $1.24 moving from $42.57 to $41.33 and SA remained unchanged at $53.30.
  • 54% of the weeks trades were in VIC, 25% in NSW, 14% in QLD and 7% in SA.
  • Open inteest grew by over 3% last week, with futures increasing 1,587 contracts and options increasing 40 contracts.
  • Implied at-the-money base load 2011 option volatility settled at 7.50% in NSW, 15.45% in VIC, 14.04% in QLD and 7.50% in SA.
  • Implied at-the-money base load 2012 option volatility settled at 7.50% in NSW, 19.36% in VIC, 22.23% in QLD and 7.50% in SA.

Weekly Volume*

  • Futures contracts traded this week (including Cap Futures) = 2,954
    • Base Futures = 2,166
    • Peak Futures = 345
    • Cap Futures = 443
  • Calendar Options traded this week = 215 (860 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 2,370
  • Total MWh traded this week = 7,902,657
  • Open Interest (including caps and options) as at COB Monday 01/02/2010 = 51,794 contracts (representing 139.7 million MWh and a face value of $6.059 billion approx).

Monthly Volume^

  • FY 09/10 average daily volume = 649
  • FY 08/09 average daily volume = 550
  • FY 07/08 average daily volume = 445
  • FY 06/07 average daily volume = 461
  • Feb 10 volume to date = 331 / avg daily volume = 331
  • Jan 10 total volume = 13,223 / avg daily volume = 661
  • Dec 09 total volume = 10,326 / avg daily volume = 469
  • Nov 09 total volume = 23,199 / avg daily volume = 1,105
  • Oct 09 total volume = 10,916 / avg daily volume = 496
  • Sep 09 total volume = 16,881 / avg daily volume = 767
  • Aug 09 total volume = 12,199 / avg daily volume = 581
  • Jul 09 total volume = 11,533 / avg daily volume = 501
  • Jun 09 total volume = 14,930 / avg daily volume = 711
  • 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

*volume includes futures trades which result from option exercise, face value of options calculated at strike price.

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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 1 Feb 2010

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q12010 177 3,902 305 5,020 200 3,265 30 154
Q22010 93 2,540 172 2,134 150 1,641 0 294
Q32010 86 2,819 35 2,385 25 1,093 1 214
Q42010 76 3,137 12 2,573 65 1,661 0 73
Q12011 80 2,076 15 2,288 40 1,533 0 5
Q22011 70 1,680 0 918 0 883 0 0
Q32011 0 407 0 628 0 655 0 0
Q42011 0 555 0 649 0 630 0 0
Q12012 0 30 0 5 0 75 0 0
Q22012 0 30 0 5 0 75 0 0
Q32012 0 15 0 5 0 70 0 0
Q42012 0 15 0 5 0 75 0 0
Q12013 0 0 0 0 0 0 0 0
Q22013 0 0 0 0 0 0 0 0
Q32013 0 0 0 0 0 0 0 0
Q42013 0 0 0 0 0 0 0 0
Total 582 17,206 539 16,615 480 11,656 31 740

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 1 Feb 2010

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2011 0 475 0 1,465 0 1,695 0 0
2012 0 0 0 0 0 310 0 0
2013 0 0 0 0 0 0 0 0
Total 0 475 0 1,465 0 2,005 0 0