ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 08/03/2010

Weekly Highlights*

  • Implied Base load Calendar 2011 prices for the eastern seaboard states increased moderately this week. VIC rallied by $0.95 moving from $38.49 to $39.44, QLD rose $0.74 moving from $34.75 to $35.49. NSW also increased, rising $0.65 from $40.81 to $41.46 and SA remained unchanged on the week at $51.73.
  • 45% of the weeks trades were in VIC, 32% in QLD, and 23% in NSW.
  • Open interest again grew moderately last week, with futures increasing by 663 contracts and options increasing by 50 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) = 2,650
    • Base Futures = 2,148
    • Peak Futures = 60
    • Cap Futures = 442
  • Calendar Options traded this week = 250 (1,000 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 125
  • Volume of Block Trades this week = 2,090
  • Total MWh traded this week = 7,918,278
  • Open Interest (including caps and options) as at COB Monday 08/03/2010 = 57,498 contracts (representing 154.6 million MWh and a face value of $6.42 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
  • Mar 10 volume to date = 3,915 / avg daily volume = 653
  • 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 8 Mar 2010

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q12010 177 4,047 305 5,085 200 3,367 30 174
Q22010 108 2,927 203 2,514 200 1,727 0 339
Q32010 106 3,167 95 2,594 70 1,243 1 249
Q42010 87 3,217 12 2,690 115 1,897 0 133
Q12011 80 2,355 20 2,924 45 1,990 0 20
Q22011 70 1,825 0 1,131 10 998 0 5
Q32011 0 522 0 732 5 700 0 5
Q42011 0 640 0 830 5 712 0 5
Q12012 0 30 0 10 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 628 18,790 635 18,525 650 12,929 31 930

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

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2011 0 515 0 1,665 0 1,890 0 0
2012 0 0 0 0 0 310 0 0
2013 0 0 0 0 0 0 0 0
Total 0 515 0 1,665 0 2,200 0 0