ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING FRIDAY 09/06/2017

Weekly Highlights*

With a short trading week due to the Queen's Birthday, the market saw FY18 prices rally this week. NSW gained $5.42 to $107.39, VIC rose $3.49 to $121.48, QLD won $3.94 to $96.57 and SA climbed $0.38 to $136.13.

Looking ahead to Q317, prices also increased. NSW gained $5 to $117, VIC rose $3 to $126, QLD increased $1.25 to $100 and SA remained unchanged at $133. The caps market also rose this week, NSW rallied $0.89 to $7.39, VIC climbed $0.25 to $5.75, QLD rose $1 to $4.90 ans SA remained unchanged at $12.

  • Implied at-the-money base load Q2 2017 average rate option volatility settled at 29.13% in NSW, 54.09% in VIC, 16.92% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 20.62% in NSW, 9.33% in VIC, 19.35% in QLD and 7.5% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 13.15% in NSW, 13.93% in VIC, 16.34% in QLD and 7.5% in SA

This weeks distribution of volume: NSW 23%, QLD 66%, VIC 10% and SA 0%.

Overall Open Interest rose by 407 lots to 52,890. Futures increased by 339 lots and Options gained 68 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $523.5M
  • Futures contracts traded this week (including Cap futures) = 1,651
    • Base Months = 0
    • Base Quarters = 1,289
    • Peak Quarters = 62
    • Base Cap Quarters = 300
  • Quarterly Average Rate Options traded this week = 124
  • Calendar Year Options traded this week = 220 (880 quarterly equivalent contracts)
  • Financial Year Options traded this week = 75 (300 quarterly equivalent contracts)
  • Volume of EFP this week = 150
  • Volume of Block Trades this week = 200
  • Total MWh traded this week = 6.4m MWh
  • Open Interest (including caps and options) = 52,890 contracts (representing 154.3 million MWh and a face value of $11.9 billion approx.)

Monthly Volume*^

  • FY 16/17 average daily volume = 719
  • 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 = 4,195 / avg daily volume = 524
  • 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 Fri 9 Jun 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q42017 52 1,424 73 1,871 140 2,181 5 340
Q12018 104 1,161 138 1,764 79 1,929 0 117
Q22018 91 1,104 121 1,409 52 1,589 0 112
Q32018 29 951 115 1,276 30 852 0 110
Q42018 27 983 115 1,392 35 954 0 101
Q12019 1 577 0 784 0 593 0 44
Q22019 1 645 0 770 10 601 0 44
Q32019 1 302 0 406 0 320 0 26
Q42019 1 285 0 397 0 231 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 307 7,546 562 10,131 346 9,468 5 952

Options Open Interest As at COB Fri 9 Jun 2017

  NSW VIC QLD SA
Dec 2017 40 300 240 0
Mar 2018 0 175 284 0
Jun 2018 150 100 140 0
Sep 2018 50 50 100 0
Dec 2018 50 0 175 0
Mar 2019 0 0 0 0
Fin 2019 375 290 845 0
Cal 2019 335 295 246 0
Fin 2020 0 0 375 0
Cal 2020 0 0 0 0
Fin 2021 0 0 0 0
Total 1,000 1,210 2,405 0