ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 24/07/2017

Weekly Highlights*

Overall the futures curve continued to move down this week. FY18 contracts in NSW lost $1.18 to $92.08, VIC slipped $0.84 to $116.46, QLD dropped $1.99 to $1.99 and SA lost $4.65 to $129.40.

Likewise the spot quarter in NSW slipped $0.95 to $87.55, VIC fell $0.10 to $118.40, QLD dropped $1.44 to $75.45 and SA declined by $4.44 to $126.96.

Looking ahead to Q4 the curve kept declining. NSW shifted down $0.50 to $91.50, VIC lost $3.60 to $115.50, QLD fell $0.84 to $81.35 and SA dropped $1.23 to $120.77.

  • Implied at-the-money base load Q3 2017 average rate option volatility settled at 33.64% in NSW, 47.87% in VIC, 25.30% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 19.98% in NSW, 13.81% in VIC, 19.98% in QLD and 7.5% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 13.04% in NSW, 18.23% in VIC, 21.05% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 28%, QLD 29%, VIC 42% and SA 2%.

Overall Open Interest increased by 467 lots to 47,682; 37,600 futures and 10,082 options.

Weekly Volume*^

  • Face Value of electricity traded this week = $517.68
  • Futures contracts traded this week (including Cap futures) = 2,810
    • Base Months = 0
    • Base Quarters = 2,395
    • Peak Quarters = 5
    • Base Cap Quarters = 410
  • Quarterly Average Rate Options traded this week = 55
  • Calendar Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Financial Year Options traded this week = 25 (100 quarterly equivalent contracts)
  • Volume of EFP this week = 490
  • Volume of Block Trades this week = 325
  • Total MWh traded this week = 6.49m MWh
  • Open Interest (including caps and options) = 47,682 contracts (representing 147.1 million MWh and a face value of $10.8 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 550
  • FY 16/17 average daily volume = 710
  • 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
  • Jul 17 volume to date = 8,797 / avg daily volume = 550
  • Jun 17 total volume = 11,817 / avg daily volume = 537
  • 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 24 Jul 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Dec 2017 - 0 - 0 - 0 - 0
Q42017 57 1,475 78 1,965 139 2,254 5 335
Q12018 105 1,070 148 1,749 80 2,061 0 143
Q22018 98 1,063 120 1,384 52 1,665 0 153
Q32018 38 959 115 1,375 30 995 2 112
Q42018 37 962 115 1,543 35 1,133 0 101
Q12019 1 649 0 880 0 640 0 44
Q22019 1 758 0 791 10 668 0 44
Q32019 1 351 0 437 0 345 0 26
Q42019 1 337 0 422 0 250 0 26
Q12020 0 76 0 43 0 113 0 8
Q22020 0 76 0 43 0 115 0 8
Q32020 0 31 0 13 0 5 0 8
Q42020 0 31 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 339 7,838 576 10,658 346 10,249 7 1,016

Options Open Interest As at COB Mon 24 Jul 2017

  NSW VIC QLD SA
Dec 2017 150 415 250 0
Mar 2018 0 175 359 0
Jun 2018 150 100 141 0
Sep 2018 50 50 100 0
Dec 2018 50 0 175 0
Mar 2019 0 0 0 0
Jun 2019 0 0 0 0
Fin 2019 375 491 960 0
Cal 2019 335 395 246 0
Fin 2020 0 0 430 0
Cal 2020 0 0 0 0
Fin 2021 0 0 0 0
Total 1,110 1,626 2,661 0