Forward markets Discussions

Demand forecasts - historical data

2025-06-11T04:24:14.1170000

Hi there,

Very much appreciate the work you do on keeping the databases up to date.

I'm looking for the NRSS and NRSL historical load forecasts. The data I can see appears to be only price in $/kWh - is that correct? And if so, please could you point me in the direction of the data that em6 is using to make it's "predicted node by load (MW)" graphs.

Thank you

Hedge Disclosure

2025-05-07T02:36:15.8600000

Hi. Are ASX traded contracts included in the Hedge Disclosures data? If they are, then how do we know which ones are ASX contracts as there's no column indicating if they are ASX traded contracts or not.

FTR obligation price map

2023-06-14T20:34:54.1030000

We recently prepared a visualisation of FTR obligation prices.

The visualisation can be found on our Tableau Public site It is our intention to recreate this report on EMI at some point in the future.

OTA minus BEN price chart not working

2022-09-22T23:12:51.6370000

Hi Team

I am getting "No results" when selecting this option on forward markets chart ...

https://www.emi.ea.govt.nz/Forward%20markets/Reports/0NQPKT?DateFrom=20210923&DateTo=20220922&Duration=STR&Maturity=ALL&_rsdr=L364D&Location=OTAMBEN&_si=v|3

Thanks

Shane

ASX Prices not loading for past week

2022-03-08T20:00:56.9000000

Hi - looks like no ASX prices on chart since 1 March ?

Please advise

Thanks

Shane

New report on EMI – Market depth

2021-01-18T21:24:32.4930000

This report includes aggregate measurements of the number of New Zealand electricity futures contracts available to be traded at any point in time throughout the ASX trading sessions. Depth is currently provided via the market-making activities of the four largest generators in the New Zealand wholesale electricity market. The most recent voluntary market-making arrangements came into effect on 13 January 2020. A more enduring and mandatory Code obligation on these current market makers to provide ongoing market-making services is currently being consulted on.

ASX24 market data is used to assemble the market depth report. This data allows us to construct minute-by-minute snapshots of the order book. From these snapshots we are then able to measure the depth of the order book at any point during the trading session. Users can see how the available depth has changed over time, and contrast the depth with the level of service provision emanating from the market-making arrangements that have evolved over time. When hovering on a specific point in the chart, tool tips report a detailed count of available quotes, or orders. Additional information about market-making performance and obligations can be gleaned from our market making performance report.

The market depth report is accompanied by explanatory notes under the more information report tab.

Users can see how the available depth of quarterly contracts during the market making session (all of which are included in market-making requirements) have varied over time. Following an urgent Code amendment in January 2020, we can see how the depth within a 3% spread changed as market makers complied with the new spread requirement.

Average depth of all quarterly New Zealand electricity futures during the market making session - FY 2019/20

New Zealand Aluminium Smelters Ltd announced their intention to exit the market on 9 July 2020. On that day, and in the days that followed, the available market depth dropped significantly before slowly rebuilding in the subsequent weeks. All market makers elected to exercise their right to be exempt from market-making obligations for up to five days per month on 9 July 2020. The market depth report can be used to examine depth during this period. Even though trading volumes were quite high during this period as orders were traded out, market depth was particularly low.

Average depth of all quarterly New Zealand electricity futures during the market making session – July 2020

New report on EMI – Bid-ask spread trends

2020-08-10T22:18:01.4570000

This new report includes aggregate measurements of the bid-ask spread of New Zealand electricity futures contracts throughout the trading session on the ASX platform. The bid-ask spread of quotes made through market-making arrangements are regulated; currently these cannot exceed 3% for market-made quotes. The most recent voluntary market-making arrangements came into effect on 13 January 2020 with a mandatory backstop Code obligation introduced on 3 February 2020.

This is the first report the Authority has published which makes use of ASX24 market data. This data allows us to construct snapshots of the order book and the bid-ask spread between the two best quotes at any point during the trading session. Using these snapshots at a minute-by-minute resolution over the trading session allows us to calculate an average spread value and a range of spread values for selected instruments. Users can see how the spread of futures contracts has behaved at different points of time at the level of service provision included in market making arrangements. When hovering on a specific day in the series, users can see the number of market makers who were providing services on that day. For more information about market-making performance and obligations see our market making performance report and our recent market commentary.

Users can see that long-dated (expiring in more than a year) quarterly contracts were particularly affected on 9 July 2020, the day that NZAS announced their intention to exit the market. The average spread of these contracts was nearly 30%, as all market makers used their ability to opt out of market making on that day.

New tool on EMI – Hedging with electricity futures contracts

2020-04-21T08:03:29.6900000

We’ve released an interactive dashboard on the forward markets tools page that will assist users to better understand hedging with electricity futures contracts.

The hedging dashboard necessarily takes a simplistic approach to constructing a hedge position. That said, it goes into some detail as it demonstrates the daily cost of maintaining the selected position and also reveals the various cost elements, culminating in the calculation of the net cost of the position after final settlement.

The dashboard has been dual hosted and may also be accessed from the Authority’s website, where three contrasting scenarios have been highlighted.

Finally, the dashboard contains a lot of notes, tool tips, and a glossary of terms – there’s a lot going on with this dashboard – so take a few minutes to explore the various aspects.

Covid-19 related change to voluntary market-making regime

2020-04-02T22:11:08.4400000

Please be aware that note 4 (see the 'More information' tab) of the market making activity report on EMI has had the following text appended to it:

On 27 March 2020, ASX introduced additional flexibility for market makers during the period that the Covid-19 level 4 restrictions are in place. The number of exemptions allowed under the voluntary arrangement has been increased from five to seven days per calendar month. These flexibility arrangements will end after three months or at the end of the alert level 4 in Wellington and Auckland, whichever comes first.

Market making activity

Historical ASX Prices

2019-12-09T19:30:40.3270000

Hi,

I am searching the wholesale datasets and wanted to know whether historical ASX settlement prices are stored anywhere?

Thanks - Sam.

New report on EMI – Market making activity

2020-02-11T00:38:10.2600000

We have released a new report as part of our ongoing effort to improve the monitoring of hedge market performance. The new report gives an overview of market-making activity in the market for New Zealand electricity futures.

The report summarises how many market makers met the agreed criteria in each trading session. Users of the report can drill down to individual market makers and individual trading sessions to explore further.

The voluntary market-making agreements entered into with ASX allow exemptions from the need to meet the criteria in every trading session. As of 3 February 2020, those agreements are now underpinned by Code obligations.

Number of market makers per session meeting criteria each month

Note that the current month (Feb in this case) shows a summary of sessions for the month to date.

Individual market makers meeting criteria in individual trading sessions

Note that you can hover over the session to see the date.

Try clicking "All dashboard instances" at the top right of the report to see what instances have been added to user dashboards. It's a great way to quickly see what a report can do and gain an impression for the types of insights that can be derived.

EMI report updated – New options in the ASX futures and options trade volume report

2019-10-22T01:40:58.2670000

We have made a number of enhancements to the foward markets trade volume report on EMI.

The volume of futures and options contracts traded on ASX is now shown by one of four trade types:

Normal trades
Block trades
Exchange for physical
Strip legs

See note #8 on the 'More information' tab for a definition of these trade types. Moving trade types into the series filter has necessitated creating a Location parameter, which enables users to filter out trades at Benmore versus Otahuhu.

Additionally, we have enabled trade volumes to be represented in energy (GWh) and dollar terms as well as the number of contracts. See the 'Show' parameter and note #7 for details about these alternative volume representations.

ASX Settlement prices not loading – 17 Sep 2019

2019-09-17T00:34:11.8030000

It's still happening - prices not loaded for last 4 days. Is someone checking this ?

Thanks

Shane

Settlement Price Changes Line Chart - Ability to choose two trade dates

2019-08-20T00:06:33.8570000

The Settlement Price Changes Chart is proving very useful for us to explain to customers why their pricing is so different between two different quotes.

I'd love to be able to choose two trade dates and show on the chart (usually 'last trade date' vs [a particular date over the past year]). At the moment you can only select 'a week ago', 'a month ago' etc.

Any chance this could be added to the list of developments for the next upgrade?

Settlement prices not loading – 27 Sep 2018

2018-09-27T04:40:12.8470000

Hi team. Looks like ASX settlement prices have not loaded since 24th - 2 days now overdue ?

Cheers

Shane

New report on EMI – Implied spot price

2019-06-10T21:13:17.6900000

The traded price of a futures contract provides insight into the market's expectation of the spot price for the contract period. A quarterly futures contract begins to trade about three years before the contract period begins and remains able to be traded right up until the contract period ends and the contract expires (monthly contracts become available about six months before the contract period). Settlement occurs several days after the expiration date. During the contract period, the price at which the contract trades (orange line) will take into account the information already known about the spot price to-date (blue line) and the market’s expectation of the spot price for the remainder of the contract period. This new report derives the implied spot price for the remainder of the contract period from the bid-ask spread (blue area) and trade (the red line) within the contract period.

An example for a contract at Otahuhu, Q2 2017, shows a situation where the market is expecting the spot price to rise during the contract period. If you move your cursor over the chart you’ll highlight a single day; everything to the left of this is known on this day, and everything to the right is unknown. The average spot price to-date (blue line) is the simple average of the half-hourly spot price from the beginning of the contract period at the selected location. A trade (or a willingness to trade) above the average spot price to-date suggests the market expects, or is implying, that the spot price for the remainder of the contract period will be higher than the average so far. The degree to which this trade price is above the average spot price to-date lets us derive the implied spot price for the remainder of the contract. Clearly, the opposite also applies, with a trade price below the average spot price to-date implying a lower spot price is expected for the remainder of the contract. Contracts are settled as a Contract for Differences (CfD) after contract expiry. Holders of a contract at expiry that was purchased at a price above the average spot price (the last blue data point) will owe money to the exchange. Conversely, holders of a contract purchased at a price lower than the average spot price will receive funds from the exchange.

Implied spot price - Otahuhu, Q2

Trade in New Zealand electricity futures tends to be relatively light during the contract period. We have included the settlement price (orange line) only on days when a trade occurs, and have derived the implied spot price (red line) from this trade price. In addition, we have derived the implied spot price range (shaded blue region) that is indicated by the bid-ask spread for the contract, as this ‘willingness to trade’ still provides insight into the market's expectation of spot prices for the remainder of the contract. The settlement price (orange line) and the average spot price to-date (blue line) generally converge as the contract period progresses and uncertainty diminishes regarding both the average spot prices for the contract period (there remains less time that the spot price is unknown) and the future spot price (there exists greater certainty about near-term spot prices).

We include a series for the ‘average spot price to-come’ (green line) once the contract is complete (we can’t see the future either!). This series allows a comparison between the market's expectation of the spot price for the remainder of the period and what the realisation of this expectation turned out to be. Generally, as the contract period progresses, the implied spot price from trade (red line) and the average spot price to-come (green line) will tend to converge when the market's prediction is correct. If the implied spot price from trade (red line) on any day is lower than the average spot price to-come (green line), then the purchaser (and holder) of the futures contract will receive money when the contact is settled by the exchange.

Implied spot price - Otahuhu, Q2 (The red data points are the market prediction of the green data point on the same day.)

Click through to see the implied spot price for the remainder of the current contracts (or follow the public dashboard).