ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 05/06/2017

Weekly Highlights*

Prices in FY18 strips fell considerably this week. NSW lost $7.16 to $101.97, VIC fell $8.14 to $117.99, QLD lost $11.37 to $92.63 and SA dropped $7.13 to $135.75.

Similarly FY19 prices also dropped. NSW prices fell $5.69 to $84.25. VIC dropped $3.25 to $92.93, QLD lost $5.77 to $75.80 and SA decreased by $1.97 to $118.36.

The spot quarter also lost a couple of dollars this week. NSW fell $2.25 to $100.25, VIC dropped $2.75 to $111, QLD slipped $1.25 to $93.50 and SA lost $2.75 to $128. Similarly, the caps market in NSW fell $1 to $1, VIC declined $0.75 to $1.50, QLD dropped $0.85 to $0.50 and SA lost $2.50 to $11.

  • Implied at-the-money base load Q2 2017 average rate option volatility settled at 29.13% in NSW, 54.25% in VIC, 16.92% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 19.5% in NSW, 9.45% in VIC, 18.02% in QLD and 7.5% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 13.12% in NSW, 14.02% in VIC, 16.64% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 19%, QLD 46%, VIC 34% and SA 0%.

Overall Open Interest rose by 402 lots to 52,506. Futures increased by 275 lots to 42,138 lots and Options gained 127 lots to 10,368 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $383.5M
  • Futures contracts traded this week (including Cap futures) = 1,226
    • Base Months = 0
    • Base Quarters = 868
    • Peak Quarters = 60
    • Base Cap Quarters = 298
  • Quarterly Average Rate Options traded this week = 237
  • Calendar Year Options traded this week = 35 (140 quarterly equivalent contracts)
  • Financial Year Options traded this week = 135 (540 quarterly equivalent contracts)
  • Volume of EFP this week = 100
  • Volume of Block Trades this week = 500
  • Total MWh traded this week = 4.6m MWh
  • Open Interest (including caps and options) = 52,506 contracts (representing 151.8 million MWh and a face value of $11.5 billion approx.)

Monthly Volume*^

  • FY 16/17 average daily volume = 721
  • 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
  • Jun 17 volume to date = 1,240 / avg daily volume = 413
  • 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
  • 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
*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 5 Jun 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q42017 52 1,401 68 1,869 146 2,216 5 350
Q12018 102 1,127 138 1,762 75 1,899 0 117
Q22018 90 1,063 121 1,508 50 1,576 0 112
Q32018 29 936 115 1,326 30 838 0 110
Q42018 27 974 115 1,385 35 965 0 101
Q12019 1 580 0 778 0 581 0 44
Q22019 1 642 0 765 10 601 0 44
Q32019 1 298 0 406 0 320 0 26
Q42019 1 285 0 397 0 226 0 26
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 304 7,420 557 10,258 346 9,440 5 962

Options Open Interest As at COB Mon 5 Jun 2017

  NSW VIC QLD SA
Dec 2017 0 290 240 0
Mar 2018 0 175 255 0
Jun 2018 150 100 140 0
Sep 2018 50 50 100 0
Dec 2018 50 0 150 0
Mar 2019 0 0 0 0
Fin 2019 375 290 845 0
Cal 2019 335 295 246 0
Fin 2020 0 0 300 0
Cal 2020 0 0 0 0
Fin 2021 0 0 0 0
Total 960 1,200 2,276 0