Daily Settlement Price Determination Process
The Daily Settlement Prices for Electricity products will be determined using the following procedures.
Please see the following link for a copy of the full ASX 24 Operating Rules and ASIC Market Integrity Rules (ASX 24 Market). Additionally please see Energy Market Policy for further details.
Daily Settlement Price Determination Process for Electricity Futures
For further information on Daily Settlement Price determination refer to ASX 24 Operating Rule 2500.
*Please note than the ASX applies an algorithm to minimise arbitrage conditions between strip settlement prices and quarterly settlement prices. Please see ASX 24 Operating Rules for full details.The determination of the Daily Settlement Prices will comply with all of the below procedures.
- Daily Settlement Price (DSP) will not be generated at levels less competitive than outright orders at market close
- DSP will be generated from last traded price (including strip leg prices) where more competitive than orders at market close
- If last traded price is outside closing bid / ask spread DSP will be the extreme of the bid / ask spread closest to the last traded price
- Strip leg prices (excluding off-peak strip prices) traded at levels less than the minimum tick increment will be rounded to the closest full tick for settlement purposes.
- Off Peak Strip leg prices will not be used for DSP purposes
- In absence of trades or valid orders DSP will be prior settlement price
- On Listing Date the DSP will be equal to the DSP of the nearest same calendar month contract
- Block Trade prices will not be used for DSP determination
Daily Settlement Price Determination Process for Electricity Options
For further information on Daily Settlement Price determination refer to ASX 24 Operating Rule 2500.
The determination of the Daily Settlement Prices will comply with all of the below procedures.
- Daily Settlement Price (DSP) will be generated from last traded price, where more competitive than orders at market close
- If last traded price is outside closing bid / ask spread DSP will be the extreme of the bid / ask spread closest to the last traded price
- DSP will be generated using the At-the-Money (ATM) Volatility and the Black and Scholes pricing model
- ATM Volatility will be generated from i) last traded price ii) if more competitive ATM orders at market close
- ATM orders include ATM outright and basis Futures Puts, Calls and Straddle Orders (orders that are not ATM at market close will not be considered for ATM DSP generation)
- DSP will not be generated that are less competitive than outright orders at market close
- On Listing Date the Volatility level for generating DSP will be equal to the Volatility of the nearest shorter dated Contract
- A movement in ATM Volatility will be reflected in all Contract exercise prices, subject to valid orders at market close in the individual exercise prices
- DSP of Strike Prices will not settle at premium levels above that of same contract strikes that are further In-the-Money (ITM)
- Flat Volatility skews, determined from the ATM Volatility, will be maintained prior to generation of DSP
- Block Trade prices will not be used for DSP determination