ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 08/05/2017

Weekly Highlights*

Prices in FY18 strips were mixed on the week. NSW is down by $1.69 to $116.45 and QLD dropped $3.92 to $106.30. However VIC crept up $0.49 to $129.19 and SA gained $0.43 to $146.89.

Q2 prices were all down over the week. NSW lost $9 to $117, VIC dropped $3.25 to $135, QLD declined by $1.50 to $103.50 and SA slipped $2 to $145.

  • Implied at-the-money base load Q2 2017 average rate option volatility settled at 31.4% in NSW, 53.86% in VIC, 16.92% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2018 option volatility settled at 22.61% in NSW, 20.04% in VIC, 10.37% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 18.67% in NSW, 9.29% in VIC, 18.23% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 70%, QLD 38%, VIC 22% and SA 0%.

Overall Open Interest increased by 1,155 lots to 52,488. Futures rose by 337 lots and options gained 818 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 8 May 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
May 2017 - 0 - 20 - 0 - 0
Jun 2017 - 0 - 2 - 75 - 0
Jul 2017 - 0 - 0 - 0 - 0
Aug 2017 - 0 - 0 - 0 - 0
Sep 2017 - 0 - 0 - 0 - 0
Q22017 317 1,762 148 1,747 51 1,925 20 317
Q32017 50 1,484 47 1,670 81 2,078 20 267
Q42017 49 1,352 34 1,736 146 1,892 5 343
Q12018 101 1,093 138 1,789 50 1,614 0 107
Q22018 90 1,004 121 1,459 50 1,370 0 102
Q32018 28 932 115 1,325 30 845 0 100
Q42018 27 962 115 1,375 30 910 0 91
Q12019 1 556 0 736 0 603 0 34
Q22019 1 629 0 717 10 600 0 34
Q32019 1 302 0 348 0 320 0 16
Q42019 1 289 0 339 0 221 0 16
Q12020 0 26 0 18 0 88 0 8
Q22020 0 26 0 18 0 90 0 8
Q32020 0 21 0 13 0 5 0 8
Q42020 0 21 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 666 10,459 718 13,303 448 12,566 45 1,459

Options Open Interest As at COB Mon 8 May 2017

  NSW VIC QLD SA
Jun 2017 260 873 425 20
Sep 2017 27 260 450 110
Dec 2017 0 195 250 0
Mar 2018 0 95 230 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 335 205 201 0
Fin 2020 0 0 300 0
Cal 2020 0 0 0 0
Total 1,811 3,728 4,068 130