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

Weekly Highlights*

The CY19 forward curve continued to drop this week except in SA where it remained at $95.23. NSW lost $0.19 to $77.50, VIC fell $0.79 to $83.16 and QLD dropped $0.25 to $64.25.

Looking forward to Q1 19, prices were mostly up. NSW increased by $0.43 to $87.75, VIC rose $2.08 to $105 and QLD gained $0.56 to $79.06. SA stayed the same at $125. In the corresponding Caps market, NSW lost $0.12 to $15, VIC dropped $0.75 to $25.75, QLD fell $0.25 to $12.50 and SA is unchanged at $32.

  • Implied at-the-money base load Q1 2018 average rate option volatility settled at 30.00% in NSW, 33.66% in VIC, 35.20% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 14.58% in NSW, 18.12% in VIC, 19.02% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 13.73% in NSW, 17.34% in VIC, 14.11% in QLD and 7.50% in SA.

62 lots (42,408 MWh) traded in QLD January month contract this week. All executed on screen at a high traded price of $70 and low of $68.25.

This weeks distribution of volume by region: NSW 43%, QLD 28%, VIC 27% and SA 1%.

Weekly Volume*^

  • Face Value of electricity traded this week = $363.26
  • Futures contracts traded this week (including Cap futures) = 2,143
    • Base Months = 82
    • Base Quarters = 1,447
    • Peak Quarters = 37
    • Base Cap Quarters = 577
  • Quarterly Average Rate Options traded this week = 418
  • Calendar Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Financial Year Options traded this week = 14 (56 quarterly equivalent contracts)
  • Volume of EFP this week = 29
  • Volume of Block Trades this week = 370
  • Total MWh traded this week = 5.56m MWh
  • Open Interest (including caps and options) = 50,190 contracts (representing 137.6 million MWh and a face value of $9.48 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 538
  • 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 = 10,235 / avg daily volume = 569
  • 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 26 Feb 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q42018 75 1,333 155 1,838 110 1,606 0 160
Q12019 36 1,052 28 1,235 88 1,444 0 179
Q22019 31 1,104 25 1,259 50 1,074 0 90
Q32019 5 841 25 804 5 820 0 61
Q42019 1 808 25 773 5 688 0 61
Q12020 17 377 0 158 0 450 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 5,995 258 6,301 258 6,475 0 583

Options Open Interest As at COB Mon 26 Feb 2018

  NSW VIC QLD SA
Dec 2018 175 350 455 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 1,210 0