Market Wrap

TRADING SUMMARY FOR THE WEEK ENDING MONDAY 05/01/2009

Weekly Highlights*

  • Approximately 1.9 million MWh traded through the Exchange for Physical mechanism since 16th Dec.
  • Option trades of note since 16th Dec include 20MW of the $50-$55 call spread on NSW 2010 base load and the $60-$65 call spread on QLD 2010 base load.
  • 2010 at the money volatility as at Monday 5th Jan 2009 settled at 24.54% (NSW), 20.29% (VIC), 24.01% (QLD) and 10.37% (SA).

Weekly Volume*

  • Futures contracts traded this week (including Cap Futures) = 748
    • Base Futures = 661
    • Peak Futures = 70
    • Cap Futures = 17
  • Calendar Options traded this week = 30 (or 120 quarterly equivalent contracts)
  • Quarterly Peak Options traded this week = 0
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 75
  • Total MWh traded this week = 1,811,919
  • Open Interest (including caps and options) as at COB Monday 05/01/09 = 46,548 contracts (representing 116.3 million MWh and a face value of $5.66 billion approx).

Monthly Volume^

  • FY 08/09 average daily volume = 545
  • FY 07/08 average daily volume = 445
  • FY 06/07 average daily volume = 461
  • FY 05/06 average daily volume = 132
  • Jan 2009 volume to date = 127 / average daily volume = 64
  • Dec 2008 total volume = 7,985 / average daily volume = 380
  • Nov 2008 total volume = 12,520 / average daily volume = 626
  • Oct 2008 total volume = 8,691 / average daily volume = 378
  • Sep 2008 total volume = 14,951 / average daily volume = 680
  • Aug 2008 total volume = 8,855 / average daily volume = 422
  • July 2008 total volume = 18,807 / average daily volume = 818
  • June 2008 total volume = 8,987 / average daily volume = 449
  • May 2008 total volume = 13,284 / average daily volume = 604
  • Apr 2008 total volume = 8,879 / average daily volume = 404
  • Mar 2008 total volume = 6,973 / average daily volume = 332
  • Feb 2008 total volume = 14,210 / average daily volume = 677
  • Jan 2008 total volume = 7,262 / average daily volume = 363
*volume includes futures trades which result from option exercise, face value of options calculated at strike price.

^all contracts are 1 MW calendar quarter equivalent

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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 5 Jan 2009

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q42008 152 1,676 230 1,027 217 1,426 0 215
Q12009 211 2,796 469 2,735 248 2,784 20 287
Q22009 126 2,203 100 1,909 45 2,137 18 120
Q32009 141 2,385 55 1,859 45 2,347 0 115
Q42009 158 2,135 67 2,036 108 2,524 5 125
Q12010 0 752 25 947 25 750 0 0
Q22010 1 617 12 712 0 597 0 1
Q32010 1 452 12 554 0 613 1 0
Q42010 1 490 12 541 0 608 0 0
Q12011 0 0 0 115 0 105 0 0
Q22011 0 0 0 115 0 120 0 0
Q32011 0 0 0 115 0 100 0 0
Q42011 0 0 0 115 0 100 0 0
Q12012 0 0 0 0 0 0 0 0
Q22012 0 0 0 0 0 0 0 0
Q32012 0 0 0 0 0 0 0 0
Q42012 0 0 0 0 0 0 0 0
Total 791 13,506 982 12,780 688 14,211 44 863

Options Open Interest - Peak=Q1 Options - Base=Calendar Options - as at COB Mon 5 Jan 2009

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
2010 0 415 15 1,358 0 895 0 0
2011 0 0 0 0 0 0 0 0
2012 0 0 0 0 0 0 0 0
Total 0 415 15 1,358 0 895 0 0