ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 23/08/2010

Weekly Highlights

  • The implied base load Calendar 2011 prices were basically unchanged over the last week. NSW lost $0.20 moving from $41.28 to $41.08, VIC declined $0.02 moving from $38.20 to $38.18. QLD added $0.02 moving from $31.68 to $31.70 and SA remained unchanged on the week at $44.50.
  • 39% of the weeks trades were in QLD, 38% in VIC and 23% in NSW.
  • Open interest significantly declined this week losing a total of 11,283 contracts or -19%. Futures declined by 11,283 contracts (-23%) and options increased by 260 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) = 3,467
    • Base Futures = 2,581
    • Peak Futures = 497
    • Cap Futures = 389
  • Calendar Options traded this week = 305 (1,220 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 40
  • Volume of EFP this week = 20
  • Volume of Block Trades this week = 2,360
  • Total MWh traded this week = 9,695,991
  • Open Interest (including caps and options) as at COB Monday 23/08/2010 = 49,037 contracts (representing 212.2 million MWh and a face value of $8.47 billion approx).

Monthly Volume*^

  • FY 10/11 average daily volume = 998
  • 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 = 14,433 / avg daily volume = 902
  • 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 23 Aug 2010

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q12012 0 681 21 246 55 512 0 8
Q22012 0 615 20 185 50 502 0 8
Q32012 0 382 20 165 50 492 0 8
Q42012 0 352 20 165 55 487 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 2,030 81 761 210 1,993 0 32

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 23 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