ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 26/03/2018

Weekly Highlights*

The CY 19 forward curve has declined over the week. NSW lost $1.03 to $73.64, VIC dropped $1.54 to $80.95, QLD fell $0.01 to $65.99 and SA lost $0.13 to $93.43.

Prices were also down in the spot qtr with SA losing $2.85 to $116.15 with 10 lots trading this week. NSW fell $0.60 to $72, VIC decreased by $1.60 to $103 and QLD dropped $0.10 to $70.67.

Looking ahead to Q1 19 prices were mostly down. NSW fell $1.25 to $83.10, VIC dropped $2.75 to $100.85, QLD was the only region to gain $0.03 to $82.70 and SA lost $0.50 to $120.

  • Implied at-the-money base load Q1 2018 average rate option volatility settled at 30.00% in NSW, 33.02% in VIC, 35% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 14.95% in NSW, 17.82% in VIC, 15.47% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 11.93% in NSW, 16.02% in VIC, 15.32% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 37%, QLD 17%, VIC 34% and SA 12%.

Weekly Volume*^

  • Face Value of electricity traded this week = $286.8
  • Futures contracts traded this week (including Cap futures) = 1,195
    • Base Months = 0
    • Base Quarters = 627
    • Peak Quarters = 24
    • Base Cap Quarters = 544
  • Quarterly Average Rate Options traded this week = 151
  • Calendar Year Options traded this week = 156 (624 quarterly equivalent contracts)
  • Financial Year Options traded this week = 35 (140 quarterly equivalent contracts)
  • Volume of EFP this week = 160
  • Volume of Block Trades this week = 540
  • Total MWh traded this week = 4.59m MWh
  • Open Interest (including caps and options) = 53,615 contracts (representing 147.9 million MWh and a face value of $9.923 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 547
  • 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 = 11,560 / avg daily volume = 642
  • 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 26 Mar 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q32018 155 1,691 174 1,785 85 1,481 2 218
Q42018 84 1,366 165 1,853 110 1,626 0 219
Q12019 36 1,121 28 1,330 88 1,485 0 184
Q22019 31 1,140 25 1,235 70 1,088 0 112
Q32019 5 936 25 861 5 880 0 86
Q42019 1 862 25 829 5 743 0 86
Q12020 17 391 0 208 0 598 0 33
Q22020 17 392 0 208 0 402 0 33
Q32020 4 56 0 88 0 43 0 33
Q42020 4 56 0 88 0 43 0 33
Q12021 0 0 0 50 0 0 0 25
Q22021 0 0 0 50 0 5 0 25
Q32021 0 0 0 0 0 0 0 0
Q42021 0 0 0 0 0 0 0 0
Total 354 8,011 442 8,585 363 8,394 2 1,087

Options Open Interest As at COB Mon 26 Mar 2018

  NSW VIC QLD SA
Sep 2018 515 125 400 0
Dec 2018 445 350 455 0
Mar 2019 160 175 250 0
Jun 2019 0 100 0 0
Sep 2019 0 0 0 0
Dec 2019 0 0 0 0
Cal 2019 683 604 811 40
Fin 2020 50 0 560 0
Cal 2020 30 0 0 0
Fin 2021 0 0 0 0
Cal 2021 0 0 0 0
Total 1,883 1,354 2,476 40