ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 15/05/2017

Weekly Highlights*

Base FY18 strip prices were mostly up on the week. NSW was the only region who dropped $1.10 to $114.97. VIC gained $2.76 to $131.12, QLD rose $1.68 to $107.15 ans SA put on $0.93 to $147.82.

However in the spot quarter prices were all down again this week. NSW lost $1.55 to $112, VIC dropped $1.75 to $127, QLD declined by $3 to $99.75 and SA slipped $2 to $143.

  • Implied at-the-money base load Q2 2017 average rate option volatility settled at 29.13% in NSW, 55.88% in VIC, 16.92% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2018 option volatility settled at 21.15% in NSW, 20.98% in VIC, 10.34% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 18.67% in NSW, 9.28% in VIC, 18.67% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 33%, QLD 35%, VIC 32% and SA 0%.

Overall Open Interest increased by 919 lots to 53,407.

Weekly Volume*^

  • Face Value of electricity traded this week = $761M
  • Futures contracts traded this week (including Cap futures) = 2,642
    • Base Months = 2
    • Base Quarters = 2,118
    • Peak Quarters = 44
    • Base Cap Quarters = 478
  • Quarterly Average Rate Options traded this week = 258
  • Calendar Year Options traded this week = 135 (540 quarterly equivalent contracts)
  • Financial Year Options traded this week = 115 (460 quarterly equivalent contracts)
  • Volume of EFP this week = 5
  • Volume of Block Trades this week = 250
  • Total MWh traded this week = 8.49m MWh
  • Open Interest (including caps and options) = 53,407 contracts (representing 172.7 million MWh and a face value of $13.6 billion approx.)

Monthly Volume*^

  • FY 16/17 average daily volume = 726
  • 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 = 8,006 / avg daily volume = 727
  • 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 15 May 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q42017 49 1,338 48 1,754 146 1,938 5 348
Q12018 101 1,087 138 1,847 50 1,670 0 107
Q22018 90 1,014 121 1,508 50 1,422 0 102
Q32018 28 934 115 1,316 30 876 0 100
Q42018 27 973 115 1,378 30 960 0 91
Q12019 1 562 0 779 0 603 0 34
Q22019 1 627 0 770 10 596 0 34
Q32019 1 298 0 406 0 320 0 16
Q42019 1 285 0 397 0 221 0 16
Q12020 0 26 0 18 0 103 0 8
Q22020 0 26 0 18 0 105 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 299 7,212 537 10,217 316 8,824 5 880

Options Open Interest As at COB Mon 15 May 2017

  NSW VIC QLD SA
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
Fin 2019 350 290 795 0
Cal 2019 335 245 231 0
Fin 2020 0 0 300 0
Cal 2020 0 0 0 0
Total 935 1,020 2,186 0