ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 31/07/2017

Weekly Highlights*

The FY18 futures curves across the eastern states shifted up this week. NSW gained $3.11 to $95.19, VIC grew $1.37 to $117.83, QLD rose $1.15 to $83.20 and SA was the only region to fall by $4.03 to $125.37.

NSW Q317 leapt $6.45 to $94 (with 134 lots trading), however the other regions didn't follow suit. VIC lost $3.15 to $115.25, QLD slipped $1.70 to $77.15 and SA fell $5.96 to $121.

Looking ahead to Q4 the curve across eastern states rose slightly. NSW increased $1.10 to $92.60, VIC gained $2.50 to $118, QLD grew $0.65 to $82. However, SA dropped $3 to $117.77.

  • Implied at-the-money base load Q3 2017 average rate option volatility settled at 36.25% in NSW, 43.88% in VIC, 26.86% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 20.21% in NSW, 16.29% in VIC, 19.95% in QLD and 7.5% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 13.09% in NSW, 18.26% in VIC, 18.46% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 45%, QLD 20%, VIC 35% and SA 0%.

Overall Open Interest increased by 267 lots to 47,949; 37,772 futures and 10,177 options.

Weekly Volume*^

  • Face Value of electricity traded this week = $572.15
  • Futures contracts traded this week (including Cap futures) = 2,929
    • Base Months = 0
    • Base Quarters = 2,518
    • Peak Quarters = 45
    • Base Cap Quarters = 366
  • Quarterly Average Rate Options traded this week = 50
  • Calendar Year Options traded this week = 55 (220 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 10
  • Volume of Block Trades this week = 75
  • Total MWh traded this week = 6.944m MWh
  • Open Interest (including caps and options) = 47,949 contracts (representing 148 million MWh and a face value of $10.95 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 699
  • 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 total volume = 11,996 / avg daily volume = 571
  • 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.

Subscribe to the Market Wrap by email

Get the Market Wrap delivered to your inbox every Tuesday


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 31 Jul 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Dec 2017 - 0 - 0 - 0 - 0
Q42017 57 1,398 78 1,979 139 2,252 5 335
Q12018 105 1,010 154 1,768 80 2,107 0 148
Q22018 98 1,034 120 1,391 52 1,672 0 153
Q32018 39 948 115 1,406 30 985 2 112
Q42018 37 924 115 1,565 35 1,112 0 101
Q12019 1 649 0 961 0 641 0 44
Q22019 1 756 0 870 10 678 0 44
Q32019 1 351 0 505 0 345 0 26
Q42019 1 336 0 496 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 340 7,620 582 11,053 346 10,280 7 1,021

Options Open Interest As at COB Mon 31 Jul 2017

  NSW VIC QLD SA
Dec 2017 150 465 250 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 1,676 2,661 0