ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 27/11/2017

Weekly Highlights*

CY18 prices dropped this week. NSW fell $0.09 to $95.64, VIC lost $0.74 to $108.47, QLD declined by $1.29 to $78.96 and SA dropped $0.65 to $124.79.

The spot quarter was mixed. NSW rose $1.75 to $80.75 and VIC gained $0.50 to $85.50. QLD and SA remained unchanged at $71.50 and $83.50 respectively.

Q1 18 prices mostly decreased this week. NSW dropped $0.10 to $108.90, VIC lost $3.10 to $145.50, QLD declined $4.76 to $100 but SA gained $2.75 to $174.75.

  • Implied at-the-money base load Q4 2017 average rate option volatility settled at 30.80% in NSW, 37.90% in VIC, 37.90% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 15.70% in NSW, 18.54% in VIC, 18.96% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 15.59% in NSW, 18.65% in VIC, 11.51% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 28%, QLD 37%, VIC 32% and SA 3%.

Weekly Volume*^

  • Face Value of electricity traded this week = $303m
  • Futures contracts traded this week (including Cap futures) = 1,024
    • Base Months = 0
    • Base Quarters = 458
    • Peak Quarters = 223
    • Base Cap Quarters = 343
  • Quarterly Average Rate Options traded this week = 365
  • Calendar Year Options traded this week = 10 (40 quarterly equivalent contracts)
  • Financial Year Options traded this week = 95 (380 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 420
  • Total MWh traded this week = 3.67m MWh
  • Open Interest (including caps and options) = 48,481 contracts (representing 128.6 million MWh and a face value of $9.69 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 = 11,458 / avg daily volume = 603
  • 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 27 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 1,582 100 2,070 249 2,289 5 371
Q12018 110 1,424 205 2,021 125 2,471 0 289
Q22018 98 1,213 144 1,718 79 1,963 0 194
Q32018 43 1,345 134 1,693 62 1,502 2 131
Q42018 40 1,230 129 1,870 77 1,732 0 118
Q12019 1 771 0 1,187 36 1,113 0 47
Q22019 1 910 0 1,075 45 951 0 44
Q32019 1 564 0 631 5 490 0 26
Q42019 1 548 0 605 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 10,187 712 13,262 683 13,317 7 1,278

Options Open Interest As at COB Mon 27 Nov 2017

  NSW VIC QLD SA
Dec 2017 340 658 316 10
Mar 2018 455 772 532 0
Jun 2018 425 250 230 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 1,065 0
Cal 2019 415 485 271 0
Fin 2020 50 0 430 0
Cal 2020 30 0 0 0
Fin 2021 0 0 0 0
Cal 2021 0 0 0 0
Total 2,315 3,024 3,299 10