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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. Snapshot price and trade data is received following the close of trade each day. See https://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 Authority also receives so-called tick data from the ASX24 trading platform on a weekly basis. The tick data allows us to observe the state of the market at any point in time. See https://www.asx.com.au/documents/products/asx-market-data-protocol-specification.pdf for a complete description of the ASX24 market data.
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 time period over which futures and options contracts are defined. Currently used durations are monthly, quarterly, or calendar-year strips. Monthly contracts are introduced at the beginning of each quarter for the two quarters ahead. 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 ahead. Monthly and quarterly contracts may be traded from the time they are introduced until they expire. 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 ahead, and may be traded up until the end of the first quarter in their year of expiration.
Maturity or expiry dates apply for all individual contracts for each instrument, commodity type and duration. Users can select a specific contract expiry date that, when combined with a location, commodity type, and duration, define a specific contract.
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.
Besides the number of contracts, we also express trade volumes in energy and dollar terms. Energy (GWh) is derived by multiplying the number of contracts by the contracted megawatts and the number of hours covered by the contract's duration, or the remaining duration in the case of contracts about to expire in the current period. Dollars are derived by summing up the product of the energy value and the settlement price. Energy (unadjusted GWh) is calculated slightly differently to Energy (GWh); the number of hours in the period of expiration is left unadjusted so that it does not account for the fact that the number of hours is diminishing as the period progresses. In the case of options contracts, we naively convert them to an energy basis as if they were futures contracts. Options can be excluded from the report by adjusting the instrument parameter.
The series filter allows specific trade types to be selected. All trades are one of four types:
Normal – these are anonymous trades made during the ASX trading session. The majority of trades are normal.
Strip legs – a strip trade is defined as a trade where four consecutive quarters of a futures product (with the same volume for each of those quarters) are bought or sold simultaneously, at a weighted average yearly price. Strip legs are also trades made during the trading session.
Block – block trades are a form of off-market transaction and are made outside of the trading session. Such trades enable market participants to bilaterally arrange transactions (e.g. via over-the-counter negotiation) which can be registered for clearing by an ASX participant.
Exchange for physical (EFP) – an EFP is another type of off-market transaction between wholesale participants which involves the switching (or exchanging) of an over-the-counter derivative for an exchange-traded derivative.
Beginning on 9 November 2015, contract sizes were changed from 1.0 MW to 0.1 MW for all New Zealand electricity futures and options contracts traded on the ASX platform. For the purposes of consistent reporting on EMI, all New Zealand contracts prior to 9 November 2015 were multiplied by ten and are now expressed as contract equivalents.
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