ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 16/01/2012

Weekly Highlights

  • The base load calendar 2013 settlement prices continued to move lower over the last week. NSW lost $0.34/MWh moving to $60.48/MWh, VIC prices decreased by $0.88/MWh to $55.62, QLD declined by $1.04/MWh to reach $55.34 and SA prices fell by $0.31/MWh to $61.69.
  • 33% of the weeks traded volume was in NSW, 38% in VIC, 27% in QLD and 2% in SA.
  • Overall open interest rose slightly last week. Futures increased by 126 contracts and options increased by 125 calendar contracts.
  • Implied at-the-money base load 2013 option volatility settled at 16.45% in NSW, 15.35% in VIC, 13.83% in QLD and 8.27% in SA.

Weekly Volume*^

  • Futures contracts traded this week (including Cap Futures) = 2,048
    • Base Futures = 1,339
    • Peak Futures = 193
    • Cap Futures = 516
  • Calendar Options traded this week = 200 (800 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 1,070
  • Total MWh traded this week = 5,987,754
  • Open Interest (including caps and options) as at COB Monday 16/11/2012 = 31,279 contracts (representing 88.75 million MWh and a face value of $4.12 billion approx).

Monthly Volume*^

  • FY 11/12 average daily volume = 860
  • FY 10/11 average daily volume = 997
  • FY 09/10 average daily volume = 730
  • FY 08/09 average daily volume = 550
  • FY 07/08 average daily volume = 445
  • Jan 12 volume to date = 5,895 / avg daily volume = 590
  • Dec 11 total volume = 12,055 / avg daily volume = 603
  • Nov 11 total volume = 38,018 / avg daily volume = 1,728
  • Oct 11 total volume = 15,388 / avg daily volume = 733
  • Sep 11 total volume = 15,961 / avg daily volume = 726
  • Aug 11 total volume = 18,500 / avg daily volume = 804
  • Jul 11 total volume = 13,685 / avg daily volume = 652
  • Jun 11 total volume = 13,827 / avg daily volume = 629
  • May 11 total volume = 15,959 / avg daily volume = 725
  • Apr 11 total volume = 10,235 / avg daily volume = 539
  • Mar 11 total volume = 31,572 / avg daily volume = 1,373
  • Feb 11 total volume = 30,734 / avg daily volume = 1,537
  • Jan 11 total volume = 26,058 / avg daily volume = 1,371
  • Dec 10 total volume = 13,621 / avg daily volume = 619
  • Nov 10 total volume = 30,025 / avg daily volume = 1,365
*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 Jan 2012

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q12012 620 3,158 314 3,006 310 1,658 5 399
Q22012 444 2,855 312 1,629 70 1,805 90 340
Q32012 189 1,503 101 1,345 70 1,168 10 253
Q42012 181 1,323 125 1,330 100 1,093 12 225
Q12013 148 381 56 293 40 373 0 15
Q22013 50 345 0 273 5 271 0 15
Q32013 0 189 0 218 5 188 0 15
Q42013 1 179 0 223 5 203 0 15
Q12014 0 0 0 35 0 0 0 0
Q22014 0 0 0 35 0 0 0 0
Q32014 0 0 0 40 0 0 0 0
Q42014 0 0 0 35 0 0 0 0
Q12015 0 0 0 0 0 0 0 0
Q22015 0 0 0 0 0 0 0 0
Q32015 0 0 0 0 0 0 0 0
Q42015 0 0 0 0 0 0 0 0
Total 1,633 9,933 908 8,462 605 6,759 117 1,277

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 16 Jan 2012

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2013 0 410 0 475 0 475 0 50
2014 0 0 0 175 0 0 0 0
2015 0 0 0 0 0 0 0 0
Total 0 410 0 650 0 475 0 50