ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 08/1/2018

Weekly Highlights*

With the new year we'll look at the next forward year. The CY19 forward curve has dropped this week with NSW falling $0.99 to $81.90, VIC lost $0.81 to $86.32, QLD declined $1.09 to $66.91 and SA remained unchanged at $93.68.

The current quarter being Q1 2018 has also seen a decline across all states. NSW fell $12.10 to $88, VIC lost $7 to $123.50, QLD dropped $11.50 to $83 and SA also fell $6.50 to $158.

Looking ahead to Q1 2019 prices continued to fall but not as drastic as Q1 2018. NSW lost $3 to $92, VIC is down $2.20 to $108, QLD dropped $3.29 and SA remained unchanged at 120.50.

  • Implied at-the-money base load Q1 2018 average rate option volatility settled at 30.66% in NSW, 42.53% in VIC, 36.19% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 16.10% 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 15.86% in NSW, 18.65% in VIC, 11.45% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 38%, QLD 32%, VIC 28% and SA 2%.

Weekly Volume*^

  • Face Value of electricity traded this week = $286.6
  • Futures contracts traded this week (including Cap futures) = 1,894
    • Base Months = 2
    • Base Quarters = 494
    • Peak Quarters = 113
    • Base Cap Quarters = 368
  • Quarterly Average Rate Options traded this week = 417
  • Calendar Year Options traded this week = 25 (100 quarterly equivalent contracts)
  • Financial Year Options traded this week = 100 (400 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 550
  • Total MWh traded this week = 3.99m MWh
  • Open Interest (including caps and options) = 43,086 contracts (representing 117.0 million MWh and a face value of $8.64 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 523
  • 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
  • Jan 18 volume to date = 1,894 / avg daily volume = 379
  • Dec 17 total volume = 6,475 / avg daily volume = 341
  • 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
*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 8 Jan 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Apr 2018 - 0 - 1 - 0 - 0
May 2018 - 0 - 0 - 0 - 0
Jun 2018 - 0 - 0 - 0 - 0
Q22018 134 1,252 173 1,747 99 1,940 0 195
Q32018 68 1,387 159 1,759 77 1,398 2 138
Q42018 55 1,223 154 1,881 92 1,583 0 127
Q12019 1 828 28 1,214 51 1,209 0 134
Q22019 1 973 25 1,145 50 1,035 0 49
Q32019 1 694 25 663 5 599 0 26
Q42019 1 673 25 632 5 494 0 26
Q12020 17 344 0 158 0 214 0 8
Q22020 17 343 0 158 0 216 0 8
Q32020 4 51 0 38 0 10 0 8
Q42020 4 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 303 7,819 589 9,434 379 8,708 2 727

Options Open Interest As at COB Mon 8 Jan 2018

  NSW VIC QLD SA
Jun 2018 535 250 245 0
Sep 2018 150 100 100 0
Dec 2018 50 200 255 0
Mar 2019 0 150 100 0
Jun 2019 0 100 0 0
Sep 2019 0 0 0 0
Dec 2019 0 0 0 0
Fin 2019 400 609 1,140 0
Cal 2019 415 491 271 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 1,630 1,900 2,541 0