ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 11/09/2017

Weekly Highlights*

This week saw mixed price movements across the states. FY18 in NSW gained $0.43 to $102.02, VIC rose $1.63 to $116.10, QLD put on $0.93 to $87.66 and SA fell $0.37 to $122.63.

The spot quarter curve dropped slightly this week. NSW fell $2.05 to $96.70 and VIC lost $1.10 to $105.90, QLD lost $0.66 to $81.95 and SA fell the most by $4.51 to $109.

Trading concentrated in the QLD Base load quarter contract with 542 lots trading. With volume moving further out the curve to 2018 (43%) and 2019 (47%) expiries.

200 Fin Year Options traded in VIC this week.

  • Implied at-the-money base load Q3 2017 average rate option volatility settled at 38.04% in NSW, 39.26% in VIC, 35.10% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 24.36% in NSW, 20.17% in VIC, 25% in QLD and 7.5% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 15.70% in NSW, 18.50% in VIC, 18.96% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 21%, QLD 34%, VIC 44% and SA 1%.

Overall Open Interest rose by 601 lots to 51,448 lots; 40,327 futures and 11,121 options.

Weekly Volume*^

  • Face Value of electricity traded this week = $549.98m
  • Futures contracts traded this week (including Cap futures) = 1,525
    • Base Months = 0
    • Base Quarters = 1,127
    • Peak Quarters = 41
    • Base Cap Quarters = 357
  • Quarterly Average Rate Options traded this week = 50
  • Calendar Year Options traded this week = 145 (580 quarterly equivalent contracts)
  • Financial Year Options traded this week = 250 (1,000 quarterly equivalent contracts)
  • Volume of EFP this week = 3
  • Volume of Block Trades this week = 600
  • Total MWh traded this week = 6.85m MWh
  • Open Interest (including caps and options) = 51,448 contracts (representing 158 million MWh and a face value of $11.79 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 506
  • 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
  • Sep 17 volume to date = 4,362 / avg daily volume = 623
  • Aug 17 total volume = 10,276 / avg daily volume = 446
  • 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
*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 11 Sep 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Dec 2017 - 0 - 0 - 0 - 0
Q42017 57 1,443 98 2,137 239 2,260 5 336
Q12018 110 1,023 174 1,747 90 2,181 0 197
Q22018 98 1,033 120 1,426 62 1,736 0 153
Q32018 39 987 120 1,429 40 1,201 2 122
Q42018 37 956 115 1,631 45 1,370 0 106
Q12019 1 650 0 1,019 0 835 0 47
Q22019 1 775 0 920 10 824 0 44
Q32019 1 439 0 572 0 425 0 26
Q42019 1 436 0 562 0 325 0 26
Q12020 0 165 0 98 0 160 0 8
Q22020 0 163 0 98 0 160 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 345 8,132 627 11,665 486 11,487 7 1,089

Options Open Interest As at COB Mon 11 Sep 2017

  NSW VIC QLD SA
Dec 2017 260 560 291 0
Mar 2018 100 226 359 0
Jun 2018 150 100 141 0
Sep 2018 50 50 100 0
Dec 2018 50 150 175 0
Mar 2019 0 0 0 0
Jun 2019 0 0 0 0
Fin 2019 375 594 985 0
Cal 2019 385 415 246 0
Fin 2020 0 0 430 0
Cal 2020 0 0 0 0
Fin 2021 0 0 0 0
Total 1,370 2,095 2,727 0