ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 05/03/2018

Weekly Highlights*

The CY19 forward curve lowered this week. NSW fell $0.92 to $76.58, VIC lost $0.17 to $82.99, QLD was the only state to rise by $0.04 to $64.29 and SA declined by $0.87 to $94.36.

Looking ahead to Q1 19, the curve followed the same downward trend. NSW lost $1.25 to $86.50, VIC fell $0.64 to $104.36, QLD increasedd by $0.54 and SA dropped $2 to $123. In the corresponding Caps market, NSW lost $0.50 to $14.50, VIC dropped $0.49 to $25.26, QLD is back up $0.25 to $12.75 and SA is unchanged at $32.

  • Implied at-the-money base load Q1 2018 average rate option volatility settled at 30.00% in NSW, 33.02% in VIC, 35.13% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 15.64% 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.

This weeks distribution of volume by region: NSW 24%, QLD 50%, VIC 18% and SA 8%.

Weekly Volume*^

  • Face Value of electricity traded this week = $304.704
  • Futures contracts traded this week (including Cap futures) = 2,020
    • Base Months = 5
    • Base Quarters = 655
    • Peak Quarters = 45
    • Base Cap Quarters = 205
  • Quarterly Average Rate Options traded this week = 110
  • Calendar Year Options traded this week = 250 (1,000 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 340
  • Total MWh traded this week = 4.35m MWh
  • Open Interest (including caps and options) = 50,702 contracts (representing 140.2 million MWh and a face value of $9.61 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 534
  • 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
  • Mar 18 volume to date = 1,074 / avg daily volume = 358
  • Feb 18 total volume = 11,181 / avg daily volume = 559
  • 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 5 Mar 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jun 2018 - 2 - 0 - 0 - 0
Q22018 176 1,391 184 1,901 145 2,042 0 232
Q32018 155 1,682 169 1,800 76 1,452 2 166
Q42018 75 1,335 155 1,827 110 1,608 0 160
Q12019 36 1,072 28 1,231 88 1,445 0 179
Q22019 31 1,122 25 1,252 50 1,074 0 90
Q32019 5 861 25 799 5 830 0 61
Q42019 1 818 25 768 5 698 0 61
Q12020 17 377 0 158 0 463 0 8
Q22020 17 378 0 158 0 384 0 8
Q32020 4 51 0 38 0 19 0 8
Q42020 4 51 0 38 0 19 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 521 9,140 611 9,970 479 10,034 2 981

Options Open Interest As at COB Mon 5 Mar 2018

  NSW VIC QLD SA
Jun 2018 630 677 295 12
Sep 2018 515 125 270 0
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
Cal 2019 525 551 786 40
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 2,025 1,978 2,561 52