ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 18/12/2017

Kindly note, this is the last Market Wrap for the year. We will see you back in the New Year from 9 January 2018.

Weekly Highlights*

CY18 forward curve was up in NSW and QLD. NSW rose $0.41 to $95.67 and QLD grew $0.12 to $78.76. VIC fell $1.02 to $106.81 and SA dropped $2.04 to $122.08.

Q4 17 saw NSW ease $0.50 to $82.75, VIC was unchanged at $87.50. QLD increased $0.75 to $72.85 and SA was down $0.50 to $84.00.

Looking ahead to Q1 18, NSW moved up $0.51 to $109.25, VIC dropped $3.65 to $139.35, QLD moved a little higher at $101.75 and SA lost $8.00 to $165.00.

  • 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 10.50% in NSW, 18.57% in VIC, 18.32% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 10.70% in NSW, 12.00% in VIC, 15.00% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 40%, QLD 30%, VIC 26% and SA 4%.

Weekly Volume*^

  • Face Value of electricity traded this week = $317.3m
  • Futures contracts traded this week (including Cap futures) = 1,895
    • Base Months = 0
    • Base Quarters = 693
    • Peak Quarters = 310
    • Base Cap Quarters = 196
  • Quarterly Average Rate Options traded this week = 212
  • Calendar Year Options traded this week = 76 (304 quarterly equivalent contracts)
  • Financial Year Options traded this week = 45 (180 quarterly equivalent contracts)
  • Volume of EFP this week = 170
  • Volume of Block Trades this week = 325
  • Total MWh traded this week = 3.75m MWh
  • Open Interest (including caps and options) = 61,209 contracts (representing 131.3 million MWh and a face value of $9.88 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 546
  • 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 = 4,865 / avg daily volume = 405
  • 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 18 Dec 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q32018 58 1,364 159 1,722 77 1,418 2 137
Q42018 55 1,250 154 1,906 92 1,618 0 126
Q12019 1 808 28 1,195 51 1,120 0 82
Q22019 1 950 25 1,115 50 945 0 44
Q32019 1 644 25 653 5 494 0 26
Q42019 1 618 25 622 5 389 0 26
Q12020 15 305 0 158 0 194 0 8
Q22020 15 303 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 147 6,344 416 7,605 280 6,394 2 473

Options Open Interest As at COB Mon 18 Dec 2017

  NSW VIC QLD SA
Sep 2018 150 100 100 0
Dec 2018 50 150 255 0
Mar 2019 0 100 100 0
Jun 2019 0 0 0 0
Sep 2019 0 0 0 0
Cal 2019 415 516 271 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 695 866 1,156 0