ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 04/12/2017

Weekly Highlights*

CY18 continued to drop over the first week of Summer. NSW fell $0.85 to $94.79, VIC lost $0.27 to $108.20, QLD declined by $0.51 to $78.45 and SA dropped $0.37 to $124.42.

The spot quarter was mostly up over the week. NSW gained $0.25 to $81, QLD rose $1 to $72.50 and SA was up $2.75 to $86.25. VIC was the only region to drop $0.50 to $85.

Looking ahead to Q1 18, NSW dropped $0.40 to $108.50, VIC remained unchanged at $145.50, QLD put on $1.25 to $101.25 and SA gained $1.50 to $173.25.

  • 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 Financial Year 2019 option volatility settled at 15.52% in NSW, 18.54% in VIC, 18.98% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 15.59% in NSW, 18.82% in VIC, 11.51% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 32%, QLD 46%, VIC 19% and SA 3%.

Weekly Volume*^

  • Face Value of electricity traded this week = $219.6m
  • Futures contracts traded this week (including Cap futures) = 647
    • Base Months = 0
    • Base Quarters = 330
    • Peak Quarters = 92
    • Base Cap Quarters = 225
  • Quarterly Average Rate Options traded this week = 331
  • Calendar Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Financial Year Options traded this week = 85 (340 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 375
  • Total MWh traded this week = 2.77m MWh
  • Open Interest (including caps and options) = 48,798 contracts (representing 129.4 million MWh and a face value of $9.74 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
  • Dec 17 volume to date = 76 / avg daily volume = 38
  • Nov 17 total volume = 12,700 / avg daily volume = 577
  • 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 4 Dec 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 1,583 100 2,108 249 2,294 5 374
Q12018 106 1,434 205 2,031 127 2,471 7 291
Q22018 98 1,247 144 1,721 79 1,952 0 194
Q32018 48 1,340 134 1,690 77 1,492 2 136
Q42018 45 1,230 129 1,874 92 1,722 0 123
Q12019 1 771 0 1,187 51 1,113 0 47
Q22019 1 910 0 1,075 50 945 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 388 10,227 712 13,314 735 13,285 14 1,293

Options Open Interest As at COB Mon 4 Dec 2017

  NSW VIC QLD SA
Dec 2017 352 658 316 10
Mar 2018 535 772 532 0
Jun 2018 450 250 255 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 1,100 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 2,432 3,024 3,359 10