d-cypha SFE Electricity Futures & Options Update, December 2003
Tue 27 Jul 2004
03/12/2003
We would like to take this opportunity to highlight some key points regarding both the Futures and the new Options:
1. On Friday 5 December 2003, Quarter 1 Options on the d-cypha SFE Australian Electricity Futures were listed for the March quarter, 2005, 2006 and 2007.
2. New Trading Hours for Futures and Options
(NB all times are Sydney times)
- The market opening time for both Futures and Options will be 10:00am.
- The market will close at the new time of 3:30pm for both Futures and Options.
- Block Trades may now be executed up until 5:00pm.
- EFP transactions may continue to be executed up until 6:00pm.
3. Strike ranges
The following table outlines the indicative strike ranges based on the current at-the-money values as of the close of business 2/12/2003. Where necessary, as the at-the-money value moves more strikes will be added.
- BN H5: 38.00 - 50.00
- BN H6: 42.00 - 50.00
- BN H7: 44.00 - 52.00
- BQ H5: 34.00 - 46.00
- BQ H6: 38.00 - 46.00
- BQ H7: 40.00 - 48.00
- BS H5: 54.00 - 66.00
- BS H6: 56.00 - 64.00
- BS H7: 56.00 - 64.00
- BV H5: 40.00 - 52.00
- BV H6: 42.00 - 50.00
- BV H7: 44.00 - 52.00
- PN H5: 55.00 - 85.00
- PN H6: 70.00 - 90.00
- PN H7: 70.00 - 90.00
- PQ H5: 50.00 - 80.00
- PQ H6: 60.00 - 80.00
- PQ H7: 60.00 - 80.00
- PS H5: 90.00 - 120.00
- PS H6: 95.00 - 115.00
- PS H7: 95.00 - 115.00
- PV H5: 65.00 - 95.00
- PV H6: 70.00 - 90.00
- PV H7: 75.00 - 95.00
The above strike ranges are determined by the following:
- Q1 05 - Base load options - At the money (ATM) +/- 3 strikes at $2 intervals
- Q1 05 - Peak period options - ATM +/- 3 strikes at $5 intervals
- Q1 06 and Q1 07 - Base load options - ATM +/- 2 strikes at $2 intervals
- Q1 06 and Q1 07 - Peak period options - ATM +/- 2 strikes at $5 intervals
4. Option Expiry schedule
The following dates are the expiry dates for the electricity options to be listed on December 5, 2003:
Q105 - 19/11/2004
Q106 - 21/11/2005
Q107 - 20/11/2006
5. Holiday Schedule
An updated holiday schedule for the electricity futures and options can now be viewed (and downloaded) at http://www.d-cyphatrade.com.au/products/energy_futures/peak_period_holiday_schedule_
6. Market Makers
The listing of electricity options signals the beginning of formal market -making arrangements for both the electricity options and the underlying futures contracts. We now have commitments from several market participants to make markets in the futures and in the new options.
The composite effect of these commitments will be to provide the market with:
- Request For Quote (RFQ) for options,
- Options expiry day settlement period quotes and,
- RFQ and 2-way markets in the underlying futures.
7. Exchange Fees and Concessions
Effective 5 December, the new exchange fee structure and accompanying rebates and concessions will apply.
A new prepaid exchange fee scheme will also begin on this date. We encourage market participants to register for the prepaid exchange fee scheme at their earliest convenience to enable access to the accompanying exchange fee discounts from the commencement of trading.
Full details of the prepaid exchange fee scheme, rebates and concessions can be viewed at http://www.d-cyphatrade.com.au/clearing/margins_prepiad_exchange_fee_ alternatively contact your SFE Clearing Participant.
If you have any queries please do not hesitate to contact us.
Best regards,