ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 12/2/2018

Weekly Highlights*

The CY19 forward curve rose in NSW and VIC but dropped in QLD. NSW grew by $0.24 to $78.50 and VIC went up $1.53 to $84.98. QLD dropped $0.09 to $66.11 and SA continued to remain unchanged at $95.10.

Looking ahead to Q1 19, prices were mixed. NSW lost $0.50 to $89 whereas VIC gained $2.55 to $108.50 and QLD grew $0.50 to $82.25. SA stayed the same at $125. In the corresponding Caps market, NSW lost $1.02 to $15.23, VIC rose $1 to $26.50, QLD dropped $0.30 to $12.70 and SA is unchanged at $32.

  • Implied at-the-money base load Q1 2018 average rate option volatility settled at 30.03% in NSW, 37.42% in VIC, 35.82% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 16.12% in NSW, 18.47% in VIC, 19.00% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 16.21% in NSW, 18.33% in VIC, 16.77% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 18%, QLD 46%, VIC 35% and SA 0%.

Weekly Volume*^

  • Face Value of electricity traded this week = $303.9
  • Futures contracts traded this week (including Cap futures) = 1,649
    • Base Months = 0
    • Base Quarters = 999
    • Peak Quarters = 87
    • Base Cap Quarters = 563
  • Quarterly Average Rate Options traded this week = 290
  • Calendar Year Options traded this week = 25 (100 quarterly equivalent contracts)
  • Financial Year Options traded this week = 15 (60 quarterly equivalent contracts)
  • Volume of EFP this week = 150
  • Volume of Block Trades this week = 415
  • Total MWh traded this week = 4.46m MWh
  • Open Interest (including caps and options) = 48,443 contracts (representing 131.85 million MWh and a face value of $9.34 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 536
  • 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
  • Feb 18 volume to date = 4,405 / avg daily volume = 550
  • Jan 18 total volume = 12,593 / avg daily volume = 572
  • Dec 17 total volume = 6,475 / avg daily volume = 340
  • 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

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 12 Feb 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
May 2018 - 2 - 0 - 0 - 0
Jun 2018 - 2 - 0 - 0 - 0
Q22018 171 1,457 185 1,859 139 2,028 0 219
Q32018 110 1,542 168 1,775 75 1,462 2 138
Q42018 75 1,306 155 1,860 110 1,607 0 127
Q12019 36 960 28 1,219 80 1,399 0 134
Q22019 31 1,026 25 1,243 50 1,079 0 49
Q32019 1 801 25 810 5 810 0 26
Q42019 1 783 25 773 5 677 0 26
Q12020 17 377 0 158 0 440 0 8
Q22020 17 378 0 158 0 367 0 8
Q32020 4 51 0 38 0 11 0 8
Q42020 4 51 0 38 0 11 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 467 8,736 611 9,931 464 9,891 2 751

Options Open Interest As at COB Mon 12 Feb 2018

  NSW VIC QLD SA
Jun 2018 560 675 295 0
Sep 2018 350 125 150 0
Dec 2018 175 350 405 0
Mar 2019 100 175 200 0
Jun 2019 0 100 0 0
Sep 2019 0 0 0 0
Dec 2019 0 0 0 0
Cal 2019 465 551 486 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 1,730 1,976 1,966 0