Quarterly Equivalent Volume
- Calendar options volume represents the 4 quarters that make up the strip.
- E.g. If Cal Option = 5 lots, the quarterly equivalent volume = 5*4 = 20 lots.
- MWh calculation = Traded volume * Contract volume
- E.g. BNZ2010 traded 5 lots at $55.00 --> Traded MWh = 5*2,208 = 11,040
- FV calculation = Traded price * Traded MWh
- E.g. BNZ2010 traded 5 lots at $55.00 --> Face Value = $55.00*11,040 = $607,200
- Option Face Value is calculated using the option strike price
- Futures volume that results from the exercise of options, is included as volume.
- Mandatory settlements of futures are excluded from volume.