ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 20/11/2017

Weekly Highlights*

CY18 Options expiry occurred on Monday 20 November. This coincided with Open Interest increasing by 33 lots to 50,670 lots. Futures rose by 1,000 lots to 39,608 and Options dropped 967 lots to 11,062.

The CY18 forward curve was generally down on the week. NSW dropped $0.93 to $95.73, VIC fell $0.47 to $109.21 and QLD lost $1.71 to $80.25. SA was the only region to gain $5.19 to $125.44.

Q4 17 prices also fell this week with NSW dropping $1.50 to $79, VIC lost $0.75 to $85, QLD declined $0.75 to $71.50 and SA fell $0.50 to $83.50.

Looking ahead to Q1 18, prices were very mixed. NSW lost $1 to $109, VIC rose $1.10 to $ 148.60, QLD dropped $2.24 to $104.76 and SA gained $12.89 to $172.00.

  • Implied at-the-money base load Q4 2017 average rate option volatility settled at 30.80% in NSW, 37.90% in VIC, 31.47% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 24.56% in NSW, 20.20% in VIC, 28.72% in QLD and 7.50% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 15.70% in NSW, 18.54% in VIC, 18.98% in QLD and 7.5% in SA.

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

Weekly Volume*^

  • Face Value of electricity traded this week = $873m
  • Futures contracts traded this week (including Cap futures) = 5,335
    • Base Months = 0
    • Base Quarters = 4,492
    • Peak Quarters = 24
    • Base Cap Quarters = 248
  • Quarterly Average Rate Options traded this week = 386
  • Calendar Year Options traded this week = 110 (440 quarterly equivalent contracts)
  • Financial Year Options traded this week = 75 (300 quarterly equivalent contracts)
  • Volume of EFP this week = 56
  • Volume of Block Trades this week = 490
  • Total MWh traded this week = 12.87m MWh
  • Open Interest (including caps and options) = 50,670 contracts (representing 151.1 million MWh and a face value of $11.25 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 576
  • 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 = 9,649 / avg daily volume = 689
  • 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 20 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 1,568 100 2,044 249 2,289 5 371
Q12018 110 1,401 161 1,981 110 2,469 0 275
Q22018 98 1,217 120 1,696 79 1,957 0 188
Q32018 43 1,335 120 1,704 62 1,497 2 131
Q42018 40 1,220 115 1,880 77 1,731 0 118
Q12019 1 766 0 1,197 36 1,113 0 47
Q22019 1 905 0 1,085 45 966 0 44
Q32019 1 564 0 641 5 490 0 26
Q42019 1 543 0 615 5 389 0 26
Q12020 15 250 0 158 0 194 0 8
Q22020 15 248 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 382 10,119 616 13,235 668 13,318 7 1,258

Options Open Interest As at COB Mon 20 Nov 2017

  NSW VIC QLD SA
Dec 2017 340 658 316 10
Mar 2018 335 722 505 0
Jun 2018 425 250 175 0
Sep 2018 150 100 100 0
Dec 2018 50 150 255 0
Mar 2019 0 0 100 0
Jun 2019 0 0 0 0
Sep 2019 0 0 0 0
Fin 2019 400 609 1,085 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 2,145 2,964 3,237 10