ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 02/10/2017

Weekly Highlights*

Small price movements in the FY18 forward curve. NSW dropped $0.10 to $97.81, VIC lost $1 to $110.79, QLD fell $0.16 to $85.692 and SA lost $0.67 to $122.62.

Q3 17 followed the same downward trend. NSW lost $0.35 to $94, VIC dropped $1.50 to $100.50, QLD declined $0.51 to $80.49 and SA lost $4.50 to $97.75. Looking ahead to Q4 17, NSW lost $3.50 to $93.50, VIC dropped $5.75 to $98, QLD fell $3 to $82.50 and SA remained unchanged at $118.75.

Heavy trading concentrated in the QLD Base load quarter contract this week with 426 lots trading (47.5% of Base qtr volume).

Options trading made up 47% of this weeks quarterly equivalent contract volume.

  • Implied at-the-money base load Q3 2017 average rate option volatility settled at 36.25% in NSW, 37.77% in VIC, 31.05% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 27.21% in NSW, 20.04% in VIC, 28.72% in QLD and 7.5% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 15.37% in NSW, 18.57% in VIC, 18.96% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 9%, QLD 35%, VIC 55% and SA 1%.

Weekly Volume*^

  • Face Value of electricity traded this week = $397.1m
  • Futures contracts traded this week (including Cap futures) = 2,185
    • Base Months = 0
    • Base Quarters = 897
    • Peak Quarters = 14
    • Base Cap Quarters = 239
  • Quarterly Average Rate Options traded this week = 35
  • Calendar Year Options traded this week = 225 (900 quarterly equivalent contracts)
  • Financial Year Options traded this week = 25 (100 quarterly equivalent contracts)
  • Volume of EFP this week = 100
  • Volume of Block Trades this week = 225
  • Total MWh traded this week = 4.76m MWh
  • Open Interest (including caps and options) = 53,964 contracts (representing 165.9 million MWh and a face value of $12.31 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 564
  • 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 total volume = 14,994 / avg daily volume = 714
  • 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 2 Oct 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Dec 2017 - 0 - 0 - 2 - 0
Jan 2018 - 0 - 0 - 0 - 0
Feb 2018 - 0 - 0 - 0 - 0
Mar 2018 - 0 - 0 - 0 - 0
Q42017 57 1,446 98 2,062 249 2,319 5 341
Q12018 110 1,124 160 1,855 94 2,221 0 219
Q22018 98 1,051 120 1,432 72 1,789 0 153
Q32018 41 1,007 120 1,591 30 1,300 2 122
Q42018 37 1,018 115 1,769 45 1,457 0 106
Q12019 1 681 0 1,186 0 928 0 47
Q22019 1 796 0 1,042 10 871 0 44
Q32019 1 459 0 625 0 475 0 26
Q42019 1 452 0 615 0 375 0 26
Q12020 15 190 0 158 0 194 0 8
Q22020 15 188 0 158 0 196 0 8
Q32020 0 46 0 38 0 10 0 8
Q42020 0 46 0 38 0 10 0 8
Q12021 0 0 0 0 0 0 0 0
Q22021 0 0 0 0 0 0 0 0
Q32021 0 0 0 0 0 0 0 0
Q42021 0 0 0 0 0 0 0 0
Total 377 8,504 613 12,569 500 12,147 7 1,116

Options Open Interest As at COB Mon 2 Oct 2017

  NSW VIC QLD SA
Dec 2017 295 550 291 10
Mar 2018 100 226 359 0
Jun 2018 150 150 141 0
Sep 2018 50 100 100 0
Dec 2018 50 150 175 0
Mar 2019 0 0 0 0
Jun 2019 0 0 0 0
Sep 2019 0 0 0 0
Fin 2019 395 604 1,035 0
Cal 2019 385 475 246 0
Fin 2020 0 0 430 0
Cal 2020 0 0 0 0
Fin 2021 0 0 0 0
Total 1,425 2,255 2,777 10