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Trading activity rises as bid guarantees close for November auction

November 6, 2017 by Ronjoy Bezbarua

CaliforniaCarbon.info, November 6, 2017:

Trading on the California carbon allowance (CCA) market continued to show a strong performance last week as volumes continued to climb and increased by over 41% last week. Price movements reverted back to the previous trend of having a high weekly range with no weekly momentum.

The inter-day volatility remained high as weekly price range on the InterContinental Exchange (ICE) stood at a significant USD 0.12 for both the current front and benchmark, despite the neutral weekly momentum.

The current front (V17 Nov17) and benchmark (V17 Dec17), closed the week at USD 15.33 and USD 15.35, respectively. This represents no change in the week-on-week movement of prices for the former while the latter gained a cent. Front-to-benchmark spreads widened by a cent on Friday last week causing the year-ahead implied funding rate (annualized) to reach 2.74%.

Weekly volumes traded increased by over 41% to reach 16,499,000 tons by the end of the week. The V2017 was the major contributor to trading with 15,081,000 tons exchanged and comprised of 91.41% of the total trade for the week.  The V2018 traded 800,000 tons with a 4.85% contribution. Minor volumes were traded for the remaining vintages – V2015 (a contribution of 0.15%), V2016 (0.41%), V2019 (1.21%) and V2020 (1.97%). Delivery-wise, trading was mainly concentrated on four months – Dec17 (7,619,000 tons), Jun18 (3,420,000), Jul18 (2,000,000), May18 (1,500,000) accounting for 46.18%, 20.73%, 12.12% and 9.09% of the total. Minor volumes of 100,000 tons were seen for Mar18 with a contribution of 0.61%.

Open interest creation was significant, having an overall positive net change of 6,006,000 contracts. New contracts were seen on seven deliveries last week – Nov17 (95,000 contracts added), Mar18 (100,000), May18 (1,500,000), Jun18 (1,760,000), Jul18 (2,000,000), Dec18 (780,000) and Dec19 (200,000). Conversely, the Dec17 contract had a dilution of 429,000 contracts. In terms of vintages, V2016, V2017, V2019 and V2020 saw positive net changes of 11,000, 5,840,000, 200,000 and 5,000 contracts respectively.

The Ontario carbon market saw a loss of CAD 0.06 for the week in terms of the current benchmark. OCA front and benchmark prices now stand at CAD 19.60 and CAD 19.65, respectively. No trade or any change in open interest was observed.

 

Ronjoy Bezbarua (ronjoy.bezbarua@californiacarbon.info)

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