ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 18/09/2017

Weekly Highlights*

FY18 forward curve moved up in the eastern states. NSW is up $1.32 to $103.34, VIC rose $0.92 to $117.02 and QLD grew $0.14 to $87.80. Whereas SA dropped by $0.08 to $122.55.

The spot quarter has fallen in all regions. NSW fell $0.70 to $96, VIC dropped $2 to $103.90, QLD declined by $1.45 to $80.50 and SA fell $4.50 to $104.50.

Trading concentrated in the VIC Base load quarter contract with 1,096 lots trading (46% of Base qtr volume). With majority of VIC base qtr trading in the 2018 (56%) and 2019 (34%) expiries.

Options trading made up 29% of this weeks volume.

  • Implied at-the-money base load Q3 2017 average rate option volatility settled at 37.41% in NSW, 38.59% in VIC, 31.05% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 23.61% in NSW, 20.85% in VIC, 25.12% in QLD and 7.5% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 14.62% in NSW, 18.74% in VIC, 18.95% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 21%, QLD 37%, VIC 42% and SA 0%.

Weekly Volume*^

  • Face Value of electricity traded this week = $706.85m
  • Futures contracts traded this week (including Cap futures) = 2,830
    • Base Months = 2
    • Base Quarters = 2,395
    • Peak Quarters = 124
    • Base Cap Quarters = 309
  • Quarterly Average Rate Options traded this week = 95
  • Calendar Year Options traded this week = 166 (664 quarterly equivalent contracts)
  • Financial Year Options traded this week = 105 (420 quarterly equivalent contracts)
  • Volume of EFP this week = 50
  • Volume of Block Trades this week = 505
  • Total MWh traded this week = 8.6.2m MWh
  • Open Interest (including caps and options) = 52,704 contracts (representing 161 million MWh and a face value of $12.12 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 538
  • 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 = 8,371 / avg daily volume = 643
  • 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 18 Sep 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 - 2 - 0
Q42017 57 1,440 98 2,139 244 2,290 5 336
Q12018 110 1,046 160 1,832 95 2,168 0 197
Q22018 98 1,043 120 1,464 62 1,741 0 153
Q32018 39 1,011 120 1,539 40 1,240 2 122
Q42018 37 978 115 1,745 45 1,413 0 106
Q12019 1 675 0 1,154 0 860 0 47
Q22019 1 798 0 1,010 10 844 0 44
Q32019 1 445 0 572 0 460 0 26
Q42019 1 442 0 562 0 360 0 26
Q12020 15 175 0 98 0 186 0 8
Q22020 15 173 0 98 0 188 0 8
Q32020 0 31 0 13 0 7 0 8
Q42020 0 31 0 13 0 7 0 8
Q12021 0 0 0 0 0 0 0 0
Q22021 0 0 0 0 0 0 0 0
Total 375 8,288 613 12,239 496 11,766 7 1,089

Options Open Interest As at COB Mon 18 Sep 2017

  NSW VIC QLD SA
Dec 2017 295 560 291 10
Mar 2018 100 226 359 0
Jun 2018 150 150 141 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
Cal 2018 768 1,903 1,135 15
Fin 2019 395 594 1,035 0
Cal 2019 385 450 246 0
Fin 2020 0 0 430 0
Cal 2020 0 0 0 0
Fin 2021 0 0 0 0
Total 2,193 4,083 3,912 25