Options on Calendar (Cal) Year Base Load Strip Futures Products
Options over the Calendar Year Base Load Strip Futures Products: 1 Megawatt of electrical energy per hour on a Base Load profile for the respective States (NSW, QLD, VIC and SA) over the duration of a Calendar Year.
 | Options Expiration Dates 2011 - 2013 | PDF, 42Kb |
Contract Unit
1 Megawatt of electrical energy per hour on a Base Load profile for the respective States (NSW, QLD, VIC and SA) over the duration of a Calendar Year.
Contract Years
Options available on 3 Cal Year Strip Futures Products up to three and three quarter years ahead.
Commodity Code
HN = Base Load NSW
HV = Base Load VIC
HQ = Base Load QLD
HS = Base Load SA
Minimum Price Movement
Quoted in Australian Dollars per Megawatt hour. The minimum price fluctuation is $0.01 per MWh.
Exercise Prices
Set at intervals of $1.00 per MWh. New option exercise prices created as the underlying futures contract price moves.
Contract Expiry
Options will cease trading at 12:00pm on the Last Trading Day. The Last Trading Day shall be the day 6 weeks prior to the day immediately preceding the commencement of the Contract Year for the underlying Strip Futures product. If this day is not a business day or is recognised in NSW, QLD, VIC or SA as a Public Holiday then the following business day will be the expiry day. SFE will publish expiry dates in advance of new contracts being listed.
Trading Hours
9.00am - 4.00pm
Settlement Method
Options may be exercised on any business day up to and including the day of expiry. In-the-money options are not automatically exercised at expiry. Buyers may exercise in, at and out-of-the-money option positions held, by lodging a notice of manual exercise with SFE Clearing no later than 1:30pm on the day of expiry.
Formula for Determination of Futures Quarterly Prices Resulting From Strip Option Exercise
Upon exercise, the holder will receive four quarterly futures positions at prices equivalent to the option strike price, after applying the current curve ratio determined from the previous Business Day's settlement price of the 4 quarterly futures contracts underlying the relevant Strip Futures Product, as outline below:
FP = A x B/C
FP = Price allocated to each futures contract resulting from exercised Strip Option.
A = the previous day's Settlement Price for the Contract Quarter for each individual futures contract.
B = Exercise Price.
C = Previous Day's Implied Strip Price, calculated as follows:
Implied Strip Price = F/G
F = a + b + c + d
a = Q1 previous day's Settlement Price x megawatt hours for Q1 as determined by the Exchange.
b = Q2 previous day's Settlement Price x megawatt hours for Q2 as determined by the Exchange.
c = Q3 previous day's Settlement Price x megawatt hours for Q3 as determined by the Exchange.
d = Q4 previous day's Settlement Price x megawatt hours for Q4 as determined by the Exchange.
G = Total number of megawatt hours of all four Futures Contracts.