ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 19/2/2018

Weekly Highlights*

The CY19 forward curve decreased everywhere except a small rise in SA,NSW decreased by $0.81 to $77.69 and VIC easier by $0.58 to $84.40. QLD dropped $1.61 to $64.50 with SA posting a small rise of $0.13 to $95.23.

Looking ahead to Q1 19, prices were lower. NSW lost $1.68 to $87.32 , VIC lost $1.42 to $107.08 and QLD lost $3.75 to $78.50. SA was sharply unchanged at $125. In the corresponding Caps market, NSW lost $0.11 to $15.12, VIC unchanged at $26.50, QLD dropped $0.45 to $12.25 and SA is unchanged at $32.

  • Implied at-the-money base load Q1 2018 average rate option volatility settled at 30.03% in NSW, 33.42% in VIC, 47.82% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 15.12% in NSW, 17.47% in VIC, 19.00% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 10.21% in NSW, 12.0% in VIC, 15.00% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 40%, QLD 14%, VIC 40% and SA 6%.

Weekly Volume*^

  • Face Value of electricity traded this week = $477.66
  • Futures contracts traded this week (including Cap futures) = 1,974
    • Base Months = 3
    • Base Quarters = 970
    • Peak Quarters = 58
    • Base Cap Quarters = 363
  • Quarterly Average Rate Options traded this week = 167
  • Calendar Year Options traded this week = 178 (534 quarterly equivalent contracts)
  • Financial Year Options traded this week = 235 (705 quarterly equivalent contracts)
  • Volume of EFP this week = 70
  • Volume of Block Trades this week = 740
  • Total MWh traded this week = 6.96m MWh
  • Open Interest (including caps and options) = 49,391 contracts (representing 135.9 million MWh and a face value of $9.48 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 539
  • 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 = 7,618 / avg daily volume = 586
  • 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

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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 19 Feb 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q42018 75 1,332 155 1,820 110 1,617 0 160
Q12019 36 990 28 1,219 87 1,413 0 179
Q22019 31 1,046 25 1,243 50 1,078 0 90
Q32019 5 819 25 810 5 820 0 61
Q42019 1 788 25 773 5 688 0 61
Q12020 17 377 0 158 0 449 0 8
Q22020 17 378 0 158 0 371 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 190 5,832 258 6,257 257 6,458 0 583

Options Open Interest As at COB Mon 19 Feb 2018

  NSW VIC QLD SA
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
Fin 2020 50 0 555 0
Cal 2020 30 0 0 0
Fin 2021 0 0 0 0
Cal 2021 0 0 0 0
Total 355 625 1,160 0