ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 13/11/2017

Weekly Highlights*

The CY18 forward curve was generally up over the week. NSW rose $0.96 to $96.66, VIC moved up $0.12 to $109.68 and SA gained $0.08 to $120.25 but QLD dropped $0.30 to $81.96.

The spot quarter contracts declined this week. NSW fell $3.25 to $80.50, VIC dropped $1.75 to $85.75, QLD lost $4 to $72.25 and SA fell $5 to $84.

Looking ahead to Q1 18, NSW dropped $3.24 to $110, VIC put on $1.50 to $147.50, QLD gained $2.25 to $107 and SA rose $0.11 to $159.11.

  • Implied at-the-money base load Q4 2017 average rate option volatility settled at 30.80% in NSW, 37.90% in VIC, 31.81% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 24.69% in NSW, 23.31% in VIC, 25.12% in QLD and 7.50% 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 by region: NSW 36%, QLD 34%, VIC 29% and SA 1%.

Weekly Volume*^

  • Face Value of electricity traded this week = $278m
  • Futures contracts traded this week (including Cap futures) = 1,246
    • Base Months = 0
    • Base Quarters = 942
    • Peak Quarters = 2
    • Base Cap Quarters = 302
  • Quarterly Average Rate Options traded this week = 425
  • Calendar Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 100
  • Volume of Block Trades this week = 500
  • Total MWh traded this week = 3.65m MWh
  • Open Interest (including caps and options) = 50,637 contracts (representing 159.1 million MWh and a face value of $11.7 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 539
  • 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
  • Nov 17 volume to date = 3,759 / avg daily volume = 376
  • Oct 17 total volume = 11,237 / avg daily volume = 510
  • 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 13 Nov 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Dec 2017 - 0 - 0 - 7 - 0
Jan 2018 - 0 - 0 - 0 - 0
Feb 2018 - 0 - 0 - 0 - 0
Mar 2018 - 0 - 0 - 0 - 0
Q42017 57 1,572 100 2,048 249 2,284 5 372
Q12018 110 1,332 160 1,881 110 2,405 0 266
Q22018 98 1,146 120 1,599 79 1,906 0 187
Q32018 42 1,188 120 1,675 57 1,416 2 129
Q42018 39 1,109 115 1,841 72 1,651 0 114
Q12019 1 761 0 1,192 31 1,118 0 47
Q22019 1 895 0 1,085 40 971 0 44
Q32019 1 561 0 641 5 490 0 26
Q42019 1 540 0 615 5 389 0 26
Q12020 15 245 0 158 0 194 0 8
Q22020 15 243 0 158 0 196 0 8
Q32020 0 51 0 38 0 10 0 8
Q42020 0 51 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 380 9,694 615 12,969 648 13,047 7 1,243

Options Open Interest As at COB Mon 13 Nov 2017

  NSW VIC QLD SA
Dec 2017 340 603 316 10
Mar 2018 335 722 484 0
Jun 2018 425 250 141 0
Sep 2018 50 100 75 0
Dec 2018 50 150 230 0
Mar 2019 0 0 100 0
Jun 2019 0 0 0 0
Sep 2019 0 0 0 0
Fin 2019 400 609 1,060 0
Cal 2019 415 475 271 0
Fin 2020 0 0 430 0
Cal 2020 30 0 0 0
Fin 2021 0 0 0 0
Total 2,045 2,909 3,107 10