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The trade volume report presents the number of New Zealand electricity futures and options contracts traded each business day on the ASX exchange. Users are able drill down into the volume data by instrument, location, commodity, duration and maturity, or expiration date.
The report is based on the trade volume of exchange-traded instruments, specifically New Zealand electricity futures and options contracts traded on the ASX platform.
The Authority acquires ASX data on a subscription basis and receives it following the close of trade each day. See http://www.asx.com.au/products/energy-derivatives/new-zealand-electricity.htm for a complete description of contract specification terms, including reference locations, units, commodity types, and contract durations.
The series filter enables specific locations to be selected.
Trade volume can be shown as a count of contracts traded, or the daily average number of contracts traded when ‘week’ or ‘month’ is selected on the time scale parameter. Weeks begin on a Monday.
Duration refers to the contract duration and are either monthly, quarterly, or calendar-year strips. Monthly contracts are introduced at the beginning of each quarter for the three months of the subsequent quarter. Quarterly contracts for all quarters in a year are introduced on the first trading day of the fourth quarter for the quarters of the year four years hence. Monthly and quarterly contracts may be traded from the time they are introduced until their date of expiration. Strips contain a strip of four quarterly contracts covering one calendar year. They are introduced at the beginning of the fourth quarter for the year four years hence, and may be traded up until the end of the first quarter in their year of expiration.
Maturity dates apply for all individual contracts for each instrument, commodity type and duration. Users are able to group sets of instruments by maturity and report aggregated measures for the each group. Short-dated contracts are taken to be those contracts maturing within the next 12 months of each trade date in a report. Conversely, long-dated contracts are those maturing more than 12 months hence. Calendar years group selected instruments maturing within a calendar year.
Commodity types are baseload and peak. Baseload commodities refer to 0.1 MW of electrical energy per hour for every hour of the contract's duration. Peak commodities only exist for quarterly durations and refer to 0.1 MW of electrical energy per hour for all hours between 7:00am and 10:00pm on each business day within the contract's duration.
Beginning on 9 November 2015, contract sizes were changed from 1.0 MW to 0.1 MW for all contracts traded on the ASX platform. For the purposes of consistent reporting on EMI, all contracts prior to 9 November 2015 were multiplied by ten and are now expressed as contract equivalents.
Visit the glossary for a list of defined terms used on the website.
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