ASX AU & NZ Electricity Contracts - Change to Options Daily Settlement Price Update

Fri 7 Aug 2015

Further to ASX Notice 0858.15.07 released on Friday 24 July 2015, ASX Clear wishes to advise that due to system enhancements required, the proposed implementation detailed in the previous notice will be deferred until 31 August 2015.

The following changes will become effective Trade Date Monday 31 August 2015.

The following enhancements will be implemented:

1. An electricity options implied volatility surface will be derived using a new volatility smoothing algorithm to reflect the relative liquidity of the electricity market when compared to more liquid option markets.

2. Valid trade and valid orders will be considered in the determination of the Daily Settlement Price:
a) Valid trades will have precedence over valid orders
b) Valid non-ATM trade and order data that changes the volatility of a particular strike will be preserved without being overridden by ATM volatility on the next trading day

3. Block trades will now be considered in the Daily Settlement Price process if received and approved by ASX prior to the close of trading session

What do I need to do and by when?

Changes to Daily Settlement Process to be introduced on Monday 31 August 2015

For further information please contact Darko Roupell on the contact details below:

Darko Roupell
Manager, Clearing Risk Quantification
T: +61 2 9227 0350

Kind regards,

The ASX Energy Team