ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 01/03/2010

Weekly Highlights*

  • Implied Base load Calendar 2011 prices for all states declined again last week. SA fell by $1.26 moving from $52.99 to $51.73, QLD lost $1.06 moving from $35.56 to $34.50. VIC also decreased, losing $1.01 from $39.38 to $38.37 and NSW lost $0.18 moving from $40.89 to $40.71.
  • 64% of the weeks trades were in VIC, 25% in NSW, 10% in QLD and 2% in SA.
  • Open interest again grew moderately last week rising 2% overall, with futures increasing by 775 contracts and options increasing by 115 contracts.
  • Implied at-the-money base load 2011 option volatility settled at 13.40% 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) = 3,054
    • Base Futures = 2,686
    • Peak Futures = 27
    • Cap Futures = 341
  • Calendar Options traded this week = 140 (560 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 20
  • Volume of Block Trades this week = 2,165
  • Total MWh traded this week = 7,883,898
  • Open Interest (including caps and options) as at COB Monday 01/03/2010 = 56,058 contracts (representing 150.56 million MWh and a face value of $6.28 billion approx).

Monthly Volume^

  • FY 09/10 average daily volume = 651
  • FY 08/09 average daily volume = 550
  • FY 07/08 average daily volume = 445
  • FY 06/07 average daily volume = 461
  • Feb 10 total volume = 13,025 / avg daily volume = 651
  • 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 Mar 2010

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
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 0 90 0 20 0 295 0 0

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

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2013 0 0 0 0 0 0 0 0
Total 0 0 0 0 0 0 0 0