ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 16/08/2010

Weekly Highlights

  • The implied base load Calendar 2011 prices were mostly higher except QLD which declined slightly over the last week. SA moved up $0.42 from $44.08 to $44.50, VIC rallied $0.14 moving from $38.14 to $38.28 and NSW added $0.10 moving from $41.34 to $41.44. QLD lost $0.12 moving from $31.86 to $31.74.
  • 58% of the weeks trades were in NSW, 26% in VIC and 16% in QLD.
  • Open interest continued to climbed steadily on the week with an overall increase of 741 contracts or 1.2%. Futures increased by 716 contracts and options increased by 25 contracts.
  • Implied at-the-money base load 2011 option volatility settled at 11.15% in NSW, 9.84% in VIC, 9.44% in QLD and 7.50% in SA.
  • Implied at-the-money base load 2012 option volatility settled at 10.93% in NSW, 13.71% in VIC, 14.61% in QLD and 7.50% in SA.

Weekly Volume*^

  • Futures contracts traded this week (including Cap Futures) = 2,593
    • Base Futures = 1,655
    • Peak Futures = 143
    • Cap Futures = 795
  • Calendar Options traded this week = 50 (200 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 2,065
  • Total MWh traded this week = 5,945,622
  • Open Interest (including caps and options) as at COB Monday 09/08/2010 = 60,154 contracts (representing 233.4 million MWh and a face value of $9.2 billion approx).

Monthly Volume*^

  • FY 10/11 average daily volume = 1,006
  • FY 09/10 average daily volume = 730
  • FY 08/09 average daily volume = 550
  • FY 07/08 average daily volume = 445
  • FY 06/07 average daily volume = 461
  • Aug 10 volume to date = 9,706 / avg daily volume = 882
  • Jul 10 total volume = 23,482 / avg daily volume = 1,067
  • Jun 10 total volume = 23,893 / avg daily volume = 1,138
  • May 10 total volume = 16,628 / avg daily volume = 792
  • Apr 10 total volume = 16,727 / avg daily volume = 880
  • Mar 10 total volume = 16,228 / avg daily volume = 706
  • 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
*all contracts are 1 MW calendar quarter equivalent

^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 16 Aug 2010

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q12012 0 655 21 250 5 477 0 8
Q22012 0 609 20 180 0 478 0 8
Q32012 0 349 20 165 0 452 0 8
Q42012 0 319 20 165 0 452 0 8
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
Q12014 0 0 0 0 0 0 0 0
Q22014 0 0 0 0 0 0 0 0
Total 0 1,932 81 760 5 1,859 0 32

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 16 Aug 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