ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 08/02/2010

Weekly Highlights*

  • Implied Base load Calendar 2011 prices were mixed across the states last week. QLD fell $0.27 from $37.57 to $37.30, while VIC rallied $0.16 moving from $41.43 to $41.59. NSW also rose by $0.14 moving from $41.37 to $41.52 and SA remained unchanged at $53.30.
  • 51% of the weeks trades were in VIC, 25% in QLD, and 24% in NSW.
  • Open interest grew by 1.5% last week, with futures increasing 739 contracts and options increasing 60 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) = 2,076
    • Base Futures = 1,778
    • Peak Futures = 56
    • Cap Futures = 242
  • Calendar Options traded this week = 95 (380 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 1,135
  • Total MWh traded this week = 5,279,970
  • Open Interest (including caps and options) as at COB Monday 08/02/2010 = 52,908 contracts (representing 142.5 million MWh and a face value of $6.3 billion approx).

Monthly Volume^

  • FY 09/10 average daily volume = 644
  • 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 = 2,787 / avg daily volume = 465
  • 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 8 Feb 2010

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q12010 177 3,934 305 4,992 200 3,273 30 155
Q22010 93 2,491 202 2,207 155 1,656 0 299
Q32010 86 2,864 35 2,405 25 1,098 1 214
Q42010 76 3,095 12 2,597 80 1,722 0 73
Q12011 80 2,262 15 2,521 40 1,777 0 5
Q22011 70 1,735 0 948 0 908 0 0
Q32011 0 407 0 638 0 665 0 0
Q42011 0 565 0 675 0 635 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 17,443 569 17,003 500 12,029 31 746

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 8 Feb 2010

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2011 0 475 0 1,505 0 1,715 0 0
2012 0 0 0 0 0 310 0 0
2013 0 0 0 0 0 0 0 0
Total 0 475 0 1,505 0 2,025 0 0