Calendar rolls continue under steady liquidity, price momentum

December 4, 2017 by Abhilasha Fullonton

CaliforniaCarbon.info, December 4, 2017:

The California carbon allowances (CCA) prices experienced frequent price changes throughout the week.  CCA prices saw a 2-cent gain at the start of the week and continued a steady increase until a 1 cent drop as the week ended. The current front and benchmark (V17 Dec17), closed the week at USD 15.19, indicating a 4-cent increase in price since last week.

This weeks’ volumes traded were concentrated within four vintages. The total traded volumes saw a slight increase from 7,360,000 tons to 7,513,000 tons which is a 2.08% increase since last week. V2017 was the major contributor with 5,504,000 tons exchanged and accounted for 73.26% of total traded volume.  The second highest contributor this week is V2018 with 1,700,000 tons traded making up 22.63% of total weekly volume. Contributions from V2019 made up 3.99% and V2016 contributed 0.16% of weekly volume, while V2015 and V2020 showed no traded volumes.

Delivery-wise, majority of the trading was spread out between three deliveries – Dec17 (3,988,000 tons), Dec 18 (3,125,000 tons) and Jun 18 (400,000 tons). These accounted for 53.08%, 41.59% and 5.32% of the total. 2.3 million were traded as spreads between Dec17 and Dec18 at an implied funding rate of 2.89% (annualized).

Open interest contracts saw a dramatic gain since last week of 4,377,000 contracts. Last week 147 contracts closed as Nov17 ended, however the overall net gain seen on other deliveries more than made up for the closed contracts. Dec17 and Dec18 had the largest share of OI gain with 1,852,000 for Dec17 and 2,525,000 for the latter. We see this continuing trend of entities rolling their trades over to next year because of market certainty as a result of AB398.

While the Ontario carbon market saw no new trades last week, frequent price changes continued in anticipation of the upcoming auction. Beginning of the week OCA gained 12 cents followed by a 33 cent drop as the week came to a close. As of Friday (11/16) the OCA front and the benchmark prices now stand at CAD 19.28.

Abhilasha Fullonton (abhilasha.fullonton@californiacarbon.info)

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