ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 30/08/2010

Weekly Highlights

  • The implied base load Calendar 2011 prices were moderately lower over the last week. SA lost the most moving down $1.13 from $44.96 to $43.83, NSW declined $0.22 moving from $41.53 to $41.31, VIC decreased $0.21 moving from $38.50 to $38.29 and QLD remained fairly steady losing only $0.02 on the week moving from $31.93 to $31.91.
  • 36% of the weeks trades were in VIC, 34% in QLD and 30% in NSW.
  • Open interest built substantially this week increasing by a total of 1,609 contracts or 3%. Futures increased by 1,124 contracts and options increased by 485 calendar contracts or nearly 5%.
  • Implied at-the-money base load 2011 option volatility settled at 11.50% 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 11.78% in NSW, 15.69% in VIC, 15.24% in QLD and 7.50% in SA.

Weekly Volume*^

  • Futures contracts traded this week (including Cap Futures) = 5,244
    • Base Futures = 4,421
    • Peak Futures = 156
    • Cap Futures = 667
  • Calendar Options traded this week = 875 (3,500 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 110
  • Volume of Block Trades this week = 4,120
  • Total MWh traded this week = 18,972,588
  • Open Interest (including caps and options) as at COB Monday 30/08/2010 = 51,055 contracts (representing 226.9 million MWh and a face value of $9.12 billion approx).

Monthly Volume*^

  • FY 10/11 average daily volume = 1,085
  • 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 = 23,177 / avg daily volume = 1,104
  • 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.

Subscribe to the Market Wrap by email

Get the Market Wrap delivered to your inbox every Tuesday


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 30 Aug 2010

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q12012 0 671 41 325 55 715 0 8
Q22012 0 620 40 230 50 695 0 8
Q32012 0 372 40 205 50 575 0 8
Q42012 0 356 40 220 55 605 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 2,019 161 980 210 2,590 0 32

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 30 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