ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 22/05/2017

Weekly Highlights*

FY18 strip options expired on Friday 19 May. As a result 840 strips were exercised or 3,360 base quarterly futures were executed. Kindly note, futures volumes reported below will include futures trades as a result of options exercise.

Base FY18 strip prices were on the decline this week. NSW dropped $1.84 to $113.13, VIC fell $1.96 to $129.16, QLD lost $2.13 to $105.02 and SA slipped $1.67 to $146.15.

Likewise, prices in Q2 fell significantly this week. NSW lost $4.25 to $107.75, VIC dropped $9.33 to $117.67, QLD slipped $2.75 to $97 and SA lost $8.00 to $135.

  • Implied at-the-money base load Q2 2017 average rate option volatility settled at 29.13% in NSW, 54.87% in VIC, 16.92% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 18.67% in NSW, 9.29% in VIC, 18.53% in QLD and 7.5% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 13.21% in NSW, 14.42% in VIC, 15.78% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 17%, QLD 46%, VIC 37% and SA 0%.

With FY18 options expiry, overall Open Interest dropped 1,828 lots to 51,579. Futures increased by 1,117 lots and Options fell 2,945 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $953M
  • Futures contracts traded this week (including Cap futures) = 6,138
    • Base Months = 12
    • Base Quarters = 5,451
    • Peak Quarters = 140
    • Base Cap Quarters = 205
  • Quarterly Average Rate Options traded this week = 50
  • Calendar Year Options traded this week = 25 (100 quarterly equivalent contracts)
  • Financial Year Options traded this week = 45 (180 quarterly equivalent contracts)
  • Volume of EFP this week = 130
  • Volume of Block Trades this week = 250
  • Total MWh traded this week = 13.2m MWh
  • Open Interest (including caps and options) = 51,579 contracts (representing 149 million MWh and a face value of $12 billion approx.)

Monthly Volume*^

  • FY 16/17 average daily volume = 737
  • 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
  • May 17 volume to date = 14,144 / avg daily volume = 884
  • 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
  • Dec 16 total volume = 12,300 / avg daily volume = 615
  • Nov 16 total volume = 24,280 / avg daily volume = 1,104
  • Oct 16 total volume = 13,128 / avg daily volume = 625
  • Sep 16 total volume = 15,358 / avg daily volume = 698
  • Aug 16 total volume = 13,309 / avg daily volume = 579
  • Jul 16 total volume = 8,643 / avg daily volume = 412
  • Jun 16 total volume = 17,453 / avg daily volume = 793
  • May 16 total volume = 16,758 / avg daily volume = 762
  • Apr 16 total volume = 11,788 / avg daily volume = 575
  • Mar 16 total volume = 13,199 / avg daily volume = 629
  • Feb 16 total volume = 15,092 / avg daily volume = 718
  • Jan 16 total volume = 14,219 / avg daily volume = 710
  • Dec 15 total volume = 9,578 / avg daily volume = 456
  • Nov 15 total volume = 16,791 / avg daily volume = 799
  • Oct 15 total volume = 18,920 / avg daily volume = 860
  • Sep 15 total volume = 18,675 / avg daily volume = 849
  • Aug 15 total volume = 17,438 / avg daily volume = 830
  • Jul 15 total volume = 10,912 / avg daily volume = 476
  • Jun 15 total volume = 15,184 / avg daily volume = 690
  • May 15 total volume = 17,073 / avg daily volume = 813
  • Apr 15 total volume = 13,536 / avg daily volume = 676
  • Mar 15 total volume = 11,613 / avg daily volume = 681
  • Feb 15 total volume = 13,485 / avg daily volume = 674
  • Jan 15 total volume = 17,691 / avg daily volume = 842
  • Dec 14 total volume = 14,051 / avg daily volume = 669
  • Nov 14 total volume = 25,469 / avg daily volume = 1,273
  • Oct 14 total volume = 21,845 / avg daily volume = 949
  • Sep 14 total volume = 19,449 / avg daily volume = 884
*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.

Subscribe to the Market Wrap by email

Get the Market Wrap delivered to your inbox every Tuesday


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 22 May 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
May 2017 - 0 - 23 - 0 - 0
Jun 2017 - 0 - 2 - 75 - 0
Jul 2017 - 0 - 0 - 0 - 0
Aug 2017 - 0 - 0 - 0 - 0
Sep 2017 - 0 - 10 - 0 - 0
Q22017 317 1,760 149 1,744 51 1,930 20 317
Q32017 152 1,574 52 1,750 81 2,304 20 267
Q42017 52 1,398 68 1,829 146 2,158 5 348
Q12018 101 1,119 138 1,807 75 1,831 0 107
Q22018 90 1,025 121 1,448 50 1,612 0 102
Q32018 28 936 115 1,325 30 868 0 100
Q42018 27 969 115 1,385 30 969 0 91
Q12019 1 563 0 774 0 566 0 34
Q22019 1 627 0 765 10 596 0 34
Q32019 1 298 0 406 0 320 0 16
Q42019 1 285 0 397 0 221 0 16
Q12020 0 31 0 18 0 103 0 8
Q22020 0 31 0 18 0 105 0 8
Q32020 0 26 0 13 0 5 0 8
Q42020 0 26 0 13 0 5 0 8
Q12021 0 0 0 0 0 0 0 0
Q22021 0 0 0 0 0 0 0 0
Total 771 10,668 758 13,692 473 13,593 45 1,464

Options Open Interest As at COB Mon 22 May 2017

  NSW VIC QLD SA
Jun 2017 260 898 425 20
Sep 2017 105 270 450 110
Dec 2017 0 240 240 0
Mar 2018 0 145 230 0
Jun 2018 150 100 140 0
Sep 2018 50 0 100 0
Dec 2018 50 0 150 0
Mar 2019 0 0 0 0
Cal 2018 589 1,710 1,027 0
Fin 2019 350 290 795 0
Cal 2019 335 245 231 0
Fin 2020 0 0 300 0
Cal 2020 0 0 0 0
Fin 2021 0 0 0 0
Total 1,889 3,898 4,088 130