ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 29/1/2018

Weekly Highlights*

The Calendar 2019 forward curve has continued ease lower this week. NSW is down $1.85 to $76.52, VIC fell $1.93 to $81.42, QLD lost $0.55 to $65.22 and SA unchanged at $95.10.

Q1 2018 prices have followed the same downward trend. NSW fell $2.50 to $84.50, VIC lost $17.70 to $116.50, QLD dropped $3 to $82 and SA declined $8 to $140.00. In the equivalent Caps market, NSW fell $5.70 to $6.00, VIC fell $10.5 to $26.50, QLD eased to $3.50 to $3.25 and SA fell $5.05 to $44.95.

Looking ahead to Q1 2019, prices were also all down. NSW declined by $2.23 to $88.02, VIC lower by $3.25 at $104.25, QLD fell $1.65 to $80.25 and SA unchanged at $125. Likewise in Caps products NSW fell $0.13 to $15.67, VIC dropped $1.56 to $24.75, QLD fell $0.75 to $12.25 and SA was unchanged at $32.

  • Implied at-the-money base load Q1 2018 average rate option volatility settled at 30.43% in NSW, 33.5% in VIC, 43.1% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 15.5% in NSW, 17.38% in VIC, 19.55% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 11% in NSW, 12% in VIC, 14.7% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 46.5%, QLD 21%, VIC 25% and SA 2%.

Weekly Volume*^

  • Face Value of electricity traded this week = $390.9
  • Futures contracts traded this week (including Cap futures) = 2,391
    • Base Months = 0
    • Base Quarters = 896
    • Peak Quarters = 109
    • Base Cap Quarters = 915
  • Quarterly Average Rate Options traded this week = 276
  • Calendar Year Options traded this week = 20 (80 quarterly equivalent contracts)
  • Financial Year Options traded this week = 175 (700 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 715
  • Total MWh traded this week = 6.36m MWh
  • Open Interest (including caps and options) = 57,793 contracts (representing 123.8 million MWh and a face value of $8.74 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 524
  • 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 = 9,907 / avg daily volume = 495
  • 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 29 Jan 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q42018 75 1,291 155 1,881 95 1,640 0 127
Q12019 30 914 28 1,241 52 1,294 0 134
Q22019 31 1,034 25 1,221 50 1,049 0 49
Q32019 1 777 25 760 5 674 0 26
Q42019 1 763 25 744 5 549 0 26
Q12020 17 378 0 158 0 265 0 8
Q22020 17 377 0 158 0 271 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 180 5,636 258 6,239 207 5,762 0 394

Options Open Interest As at COB Mon 29 Jan 2018

  NSW VIC QLD SA
Dec 2018 175 350 405 0
Mar 2019 100 150 100 0
Jun 2019 0 100 0 0
Sep 2019 0 0 0 0
Dec 2019 0 0 0 0
Cal 2019 415 551 281 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 770 1,151 1,216 0