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

Subscribe to the Market Wrap by email

Get the Market Wrap delivered to your inbox every Tuesday


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
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 117 5,968 263 7,453 230 6,587 2 424

Options Open Interest As at COB Mon 27 Nov 2017

  NSW VIC QLD SA
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
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 695 735 1,156 0