ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 01/05/2017

Weekly Highlights*

Another short week with ANZAC day public holiday. Prices in Calendar 2018 strips had a small decline over the week. NSW dropped by $2.58 to $104, VIC fell $0.62 to $113.58, QLD slipped by $0.89 to $95.86 and SA rose $0.03 to $132.03.

Similarly Q2 17 prices also dropped slightly over the week. NSW by $1.75 to $126, VIC fell by $0.25 to $131.75, QLD lost $3.25 to $105 and SA fell by $3 to $147. The caps market remained unchanged in NSW at $6.25 and SA at $16.25. But VIC lost $0.25 to $7 and QLD dropped by $1.75 to $3.75.

  • Implied at-the-money base load Q2 2017 average rate option volatility settled at 28.57% in NSW, 52.79% in VIC, 16.92% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2018 option volatility settled at 21.69% in NSW, 20.33% in VIC, 23.12% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 17.61% in NSW, 9.29% in VIC, 18.43% in QLD and 7.5% in SA.

This weeks distribution of volume: QLD 37%, NSW 36%, VIC 22% and SA 5%.

Overall Open Interest increased by 373 lots to 51,333. Futures rose by 129 lots and options gained 244 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $680M
  • Futures contracts traded this week (including Cap futures) = 1,940
    • Base Months = 1
    • Base Quarters = 1,155
    • Peak Quarters = 3
    • Base Cap Quarters = 781
  • Quarterly Average Rate Options traded this week = 595
  • Calendar Year Options traded this week = 254 (1,016 quarterly equivalent contracts)
  • Financial Year Options traded this week = 50 (200 quarterly equivalent contracts)
  • Volume of EFP this week = 300
  • Volume of Block Trades this week = 1,225
  • Total MWh traded this week = 8.21m MWh
  • Open Interest (including caps and options) = 52,488 contracts (representing 170.4 million MWh and a face value of $13.4 billion approx.)

Monthly Volume*^

  • FY 16/17 average daily volume = 724
  • 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 = 3,751 / avg daily volume = 750
  • 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.

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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 1 May 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jul 2017 - 0 - 0 - 0 - 0
Aug 2017 - 0 - 0 - 0 - 0
Sep 2017 - 0 - 0 - 0 - 0
Q32017 50 1,486 47 1,597 81 2,105 20 267
Q42017 49 1,334 34 1,727 146 1,896 5 343
Q12018 101 1,057 138 1,824 50 1,639 0 107
Q22018 90 996 121 1,468 50 1,395 0 102
Q32018 28 925 115 1,305 30 841 0 95
Q42018 27 948 115 1,370 30 925 0 91
Q12019 1 517 0 736 0 628 0 34
Q22019 1 576 0 717 10 625 0 34
Q32019 1 255 0 348 0 295 0 16
Q42019 1 242 0 339 0 196 0 16
Q12020 0 26 0 18 0 70 0 7
Q22020 0 26 0 18 0 65 0 7
Q32020 0 21 0 13 0 5 0 7
Q42020 0 21 0 13 0 5 0 7
Q12021 0 0 0 0 0 0 0 0
Q22021 0 0 0 0 0 0 0 0
Total 349 8,430 570 11,493 397 10,690 25 1,133

Options Open Interest As at COB Mon 1 May 2017

  NSW VIC QLD SA
Sep 2017 27 185 450 100
Dec 2017 0 195 100 0
Mar 2018 0 95 130 0
Jun 2018 50 0 140 0
Sep 2018 50 0 100 0
Dec 2018 50 0 150 0
Mar 2019 0 0 0 0
Cal 2018 581 1,710 987 0
Fin 2019 350 290 780 0
Cal 2019 185 185 201 0
Fin 2020 0 0 300 0
Cal 2020 0 0 0 0
Total 1,293 2,660 3,338 100