ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 07/08/2017

Weekly Highlights*

The FY18 futures curves across the eastern states was mixed this week. NSW gained $2.21 to $97.40, VIC decreased $0.28 to $117.57, QLD rose $0.37 to $83.57 and SA was the other region to fall, down by $1.37 to $124.00.

NSW Q317 firmed $2.21 to $96.21 (with 134 lots trading), however like the FY18 the other regions didn't follow suit. VIC lost $0.25 to $115.00, QLD firmed $2.35 to $79.50 and SA fell $1.76 to $119.24

Looking ahead to Q4 the curve across eastern states moved in similar fashion. NSW increased $4.10 to $96.60, VIC slipped $1.00 to $117, QLD grew $0.50 to $82.50.and, SA dropped $1.23 to $116.54.

  • Implied at-the-money base load Q3 2017 average rate option volatility settled at 30.25% in NSW, 38% in VIC, 25% in QLD and 31% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 19% in NSW, 10.3% in VIC, 19.00% in QLD and 7.5% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 15% in NSW, 17% in VIC, 19% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 42%, QLD 38%, VIC 19% and SA 1%.

Overall Open Interest decreased by 1,976 lots to 45,973; 37,754 futures and 8,219 options.

Weekly Volume*^

  • Face Value of electricity traded this week = $453.5
  • Futures contracts traded this week (including Cap futures) = 1,921
    • Base Months = 0
    • Base Quarters = 1,754
    • Peak Quarters = 18
    • Base Cap Quarters = 149
  • Quarterly Average Rate Options traded this week = 50
  • Calendar Year Options traded this week = 120 (480 quarterly equivalent contracts)
  • Financial Year Options traded this week = 3 (12 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 150
  • Total MWh traded this week = 0.978 m MWh
  • Open Interest (including caps and options) = 45,973 contracts (representing 132 million MWh and a face value of $9.82 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 554
  • 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
  • Aug 17 total volume = 2,410 / avg daily volume = 482
  • 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.

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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 7 Aug 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Oct 2017 - 0 - 0 - 0 - 0
Nov 2017 - 0 - 0 - 0 - 0
Dec 2017 - 0 - 0 - 0 - 0
Q42017 57 1,403 78 1,985 139 2,262 0 335
Q12018 105 994 171 1,774 80 2,107 0 105
Q22018 98 1,030 120 1,416 52 1,677 0 153
Q32018 39 896 115 1,384 30 1,022 2 117
Q42018 37 902 115 1,582 35 1,166 0 81
Q12019 1 642 0 941 0 656 0 44
Q22019 1 749 0 856 10 683 0 44
Q32019 1 356 0 505 0 345 0 26
Q42019 1 349 0 496 0 250 0 26
Q12020 0 101 0 43 0 113 0 8
Q22020 0 101 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 7,585 599 11,051 346 10,406 2 963

Options Open Interest As at COB Mon 7 Aug 2017

  NSW VIC QLD SA
Dec 2017 150 465 200 0
Mar 2018 0 175 309 0
Jun 2018 150 100 141 0
Sep 2018 50 50 100 0
Dec 2018 50 0 125 0
Mar 2019 0 0 0 0
Jun 2019 0 0 0 0
Cal 2018 609 1,235 977 0
Fin 2019 275 368 860 0
Cal 2019 235 295 31 0
Fin 2020 0 0 220 0
Cal 2020 0 0 0 0
Fin 2021 0 0 0 0
Total 1,519 2,688 2,963 0