ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 23/01/2012

Weekly Highlights

  • The base load calendar 2013 settlement prices continued to lose ground last week. NSW lost a further $0.53/MWh moving to $60.08/MWh, VIC prices decreased $0.43/MWh moving to $55.19, QLD declined an additional $0.20/MWh to $55.14 and SA prices fell by $0.80/MWh to $60.59.
  • 45% of the weeks traded volume was in NSW, 40% in VIC, 15% in QLD and less than 1% in SA.
  • Overall open interest again rose slightly last week. Futures increased by 517 contracts and options increased by 50 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) = 1,946
    • Base Futures = 1,183
    • Peak Futures = 291
    • Cap Futures = 472
  • Calendar Options traded this week = 150 (600 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 41
  • Volume of Block Trades this week = 1,067
  • Total MWh traded this week = 5,203,131
  • Open Interest (including caps and options) as at COB Monday 23/11/2012 = 31,825 contracts (representing 90.75 million MWh and a face value of $4.12 billion approx).

Monthly Volume*^

  • FY 11/12 average daily volume = 848
  • 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 = 8,441 / avg daily volume = 563
  • 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 23 Jan 2012

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q12012 609 3,203 314 3,022 350 1,704 5 399
Q22012 437 2,887 312 1,757 70 1,802 90 340
Q32012 189 1,528 101 1,375 70 1,168 10 253
Q42012 181 1,373 125 1,301 75 1,068 12 225
Q12013 153 435 56 312 45 373 0 15
Q22013 50 374 0 282 5 271 0 15
Q32013 0 218 0 218 5 188 0 15
Q42013 1 213 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 1,620 10,231 908 8,635 625 6,777 117 1,277

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 23 Jan 2012

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2013 0 435 0 500 0 475 0 50
2014 0 0 0 175 0 0 0 0
2015 0 0 0 0 0 0 0 0
Total 0 435 0 675 0 475 0 50