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This report shows the change in price for exchange traded instruments through time.
The report shows the trend in the settlement prices of exchange-traded instruments, specifically New Zealand electricity futures and options contracts traded on the ASX platform
A settlement price is determined for each contract at the end of every trading day, regardless of whether any trades for the particular contract occur. The process for determining the daily settlement price can be seen at http://www.asx.com.au/documents/products/energy-market-policy.pdf. 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 maturity and series filter parameters enables specific contract maturities to be selected.
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.
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.
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.
The settlement price for options can be reported by selecting options from the instrument parameter. Each option contract is available with one of 90 strike prices; the report presents options prices as the trade weighted average settlement price across all strike prices in each of three strike price bands: <$50/MWh, $50-80/MWh, and >$80/MWh.
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