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Spread trades boost market prices prior to November auction results

November 20, 2017 by Abhilasha Fullonton

CaliforniaCarbon.info, November 20, 2017:

CCA prices saw a 10-cent gain throughout the week. The current front (V17 Nov 17) and benchmark (V17 Dec 17), closed the week at USD 15.23 and USD 15.25, respectively, bouncing back from the drop last week. The 7 cent price rise on Thursday, 11/16 can be attested to two sets of spread trades – one of 500 units between Dec 17 and Dec 18 (V17) with a return of 2.82%, and another of 250 units between Dec 17 and Jun 18 (V18) with a return of 1.51%.

The traded volumes have decreased from 15,587,000 tons to 7,328,000 tons which is a 52.9% decrease in volumes traded. As usual, V2017 was the major contributor with 6,138,000 tons exchanged and accounted for 83.76% of the total trade for the week.  The second highest contributor this week is V2018 with 925,000 tons traded making up 12.62% of total weekly volume. Contributions from V2015 and V2016 made up 0.10% while V2019 showed no traded volumes. V2020 showed some movement with 251,000 tons traded which makes up 3.43% of the total and the third highest of the week.

Delivery-wise, trading was mainly concentrated on four months – Dec17 (3,949,000 tons), Jun18 (2,125,000 tons), Dec18 (1,175,000 tons) and Mar18 (75,000 tons) accounting for 53.89%, 29%, 16.03% and 1.02% of the total. Minor volumes were traded for Nov 14 (4,000 tons) and Mar18 (75,000 tons).

Open interest creation was significant, having an overall positive net change of 3,191,000 contracts. New contracts were seen on four deliveries– Nov 17 (29,000),Dec 17 (1,087,000), Jun 18 (1,375,000), Dec 18 (700,000). All vintages saw positive net changes.

The Ontario carbon market saw no new trades last week and remains consistent with 3,000,000 tons of volume traded for Feb 18 and 780,000 tons for Dec 17. As of Friday (11/16) the OCA front and the benchmark prices now stand at CAD 19.39 and CAD 19.44, respectively

Abhilasha Fullonton (abhilasha.fullonton@californiacarbon.info)

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