ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 27/01/2020

Weekly Highlights*

  • CY 20 forward curve was down
    • NSW = $70.32 (down $3.21)
    • VIC = $71.79 (down $2.65)
    • QLD = $56.36 (down $2.81)
    • SA = $66.35 (down $1.74)
  • Q1 20 was down
    • NSW = $80 (down $5)
    • VIC = $85 (down $4.85)
    • QLD = $65.25 (down $4.75)
    • SA = $83 (down $4.50)
  • Q2 20 was down
    • NSW = $66.80 (down $1.20)
    • VIC = $67.90 (down $1.85)
    • QLD = $55 (down $1.25)
    • SA = $60.50 (down $2.50)
  • Implied at-the-money base load Q1 2020 average rate option volatility settled at 37.23% in NSW, 0% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 25.89% in NSW, 30% in VIC, 26.44% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 22.58% in NSW, 25.09% in VIC, 15.26% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 37.46%, QLD 30.33%, VIC 31.54% and SA 0.67%.

Overall Open Interest has increased by 1,681 to 68,465 lots. Futures increased by 1,529 to 49,316 lots and Options increased by 152 to 19,149 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $884.67 Million
  • Futures contracts traded this week (including Cap futures) = 5,207
    • Base Months = 0
    • Base Quarters = 4,813
    • Peak Quarters = 1
    • Base Cap Quarters = 393
  • Quarterly Average Rate Options traded this week = 37
  • Calendar Year Options traded this week = 251 (1,004 quarterly equivalent contracts)
  • Financial Year Options traded this week = 85 (340 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 555
  • Total MWh traded this week = 14.42 million MWh
  • Open Interest (including caps and options) = 68,465 (representing 220.20 million MWh and a face value of $14.52 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,216
  • FY 18/19 average daily volume = 865
  • FY 17/18 average daily volume = 608
  • FY 16/17 average daily volume = 710
  • FY 15/16 average daily volume = 705
  • FY 14/15 average daily volume = 812
  • FY 13/14 average daily volume = 702
  • FY 12/13 average daily volume = 637
  • Jan 20 volume to date = 24,819 / avg daily volume = 1,379
  • Dec 19 total volume = 23,380 / avg daily volume = 1,169
  • Nov 19 total volume = 30,915 / avg daily volume = 1,472
  • Oct 19 total volume = 23,384 / avg daily volume = 1,017
  • Sep 19 total volume = 24,529 / avg daily volume = 1,168
  • Aug 19 total volume = 22,307 / avg daily volume = 1,297
  • Jul 19 total volume = 24,389 / avg daily volume = 1,060
  • Jun 19 total volume = 20,563 / avg daily volume = 1,028
  • May 19 total volume = 24,896 / avg daily volume = 1,082
  • Apr 19 total volume = 12,260 / avg daily volume = 645
  • Mar 19 total volume = 20,022 / avg daily volume = 953
  • Feb 19 total volume = 16,582 / avg daily volume = 829
  • Jan 19 total volume = 14,670 / avg daily volume = 667
  • Dec 18 total volume = 13,493 / avg daily volume = 710
  • Nov 18 total volume = 28,376 / avg daily volume = 1,290
  • Oct 18 total volume = 21,811 / avg daily volume = 948
  • Sep 18 total volume = 11,561 / avg daily volume = 578
  • Aug 18 total volume = 19,368 / avg daily volume = 842
  • Jul 18 total volume = 16,190 / avg daily volume = 735
  • Jun 18 total volume = 21,906 / avg daily volume = 1,043
  • May 18 total volume = 16,292 / avg daily volume = 708
  • Apr 18 total volume = 11,632 / avg daily volume = 612
  • Mar 18 total volume = 13,112 / avg daily volume = 642
  • Feb 18 total volume = 11,181 / avg daily volume = 559
  • Jan 18 total volume = 12,593 / avg daily volume = 572
  • Dec 17 total volume = 6,475 / avg daily volume = 340
  • Nov 17 total volume = 12,700 / avg daily volume = 577
  • Oct 17 total volume = 11,237 / avg daily volume = 510
  • Sep 17 total volume = 14,994 / avg daily volume = 714
  • Aug 17 total volume = 10,276 / avg daily volume = 446
  • Jul 17 total volume = 11,996 / avg daily volume = 571
  • Jun 17 total volume = 11,817 / avg daily volume = 537
  • May 17 total volume = 16,637 / avg daily volume = 723
  • Apr 17 total volume = 11,547 / avg daily volume = 642
  • Mar 17 total volume = 13,800 / avg daily volume = 600
  • Feb 17 total volume = 25,211 / avg daily volume = 1,261
  • Jan 17 total volume = 15,608 / avg daily volume = 743
*all contracts are 1 MW calendar quarter equivalent

^volume includes futures trades which result from option exercise, face value of options calculated at strike price

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Chart Futures, Caps and Options VolumeChart Futures, Caps and Options Volume

Futures and Caps Open Interest - Peak=Futures, Base=Futures+Caps - as at COB Mon 27 Jan 2020

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base