ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 01/05/2018

Weekly Highlights*

The CY19 forward curve collectively shifted up over the week. NSW moved up $0.73 to $70.88, VIC lifted $1.23 to $77.18, QLD gained $0.04 to $64.73 and SA rose $0.21 to $88.08.

The spot quarter was generally up, NSW increased $0.40 to $75.25, VIC rose $0.25 to $78.50, however QLD dropped $0.75 to $64 and SA gained $4.50 to $94.50.

Looking forward to Q3 2018, NSW moved up $1.53 to $76.88, VIC put on $1 to $79.75, QLD gained $0.50 to $67.50 and SA remained unchanged at $87.

  • Implied at-the-money base load Q2 2018 average rate option volatility settled at 30.00% in NSW, 30.00% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 13.33% in NSW, 17.15% in VIC, 19.02% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 10.53% in NSW, 13.42% in VIC, 14.70% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 36%, QLD 19%, VIC 42% and SA 3%.

Weekly Volume*^

  • Face Value of electricity traded this week = $289.0
  • Futures contracts traded this week (including Cap futures) = 1,303
    • Base Months = 0
    • Base Quarters = 1,126
    • Peak Quarters = 2
    • Base Cap Quarters = 175
  • Quarterly Average Rate Options traded this week = 105
  • Calendar Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Financial Year Options traded this week = 132 (528 quarterly equivalent contracts)
  • Volume of EFP this week = 125
  • Volume of Block Trades this week = 255
  • Total MWh traded this week = 4.24MWh
  • Open Interest (including caps and options) = 47,485 contracts (representing 139.22 million MWh and a face value of $9.017 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 553
  • 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
  • Apr 18 total volume = 11,632 / avg daily volume = 612
  • Mar 18 total volume = 13,112 / 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 Tue 1 May 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q42018 134 1,403 167 2,050 120 1,669 0 247
Q12019 61 1,262 40 1,454 103 1,573 0 246
Q22019 43 1,298 39 1,347 85 1,118 0 113
Q32019 15 1,064 37 983 25 844 0 86
Q42019 11 939 35 943 25 745 0 90
Q12020 17 500 0 292 0 618 0 33
Q22020 17 486 0 226 0 424 0 33
Q32020 4 77 0 90 0 42 0 33
Q42020 4 77 0 89 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
Q12022 0 0 0 0 0 0 0 0
Q22022 0 0 0 0 0 0 0 0
Total 306 7,106 318 7,574 358 7,081 0 964

Options Open Interest As at COB Tue 1 May 2018

  NSW VIC QLD SA
Dec 2018 525 502 555 0
Mar 2019 160 200 300 0
Jun 2019 0 100 0 0
Sep 2019 0 0 0 0
Dec 2019 0 50 0 0
Mar 2020 0 0 0 0
Cal 2019 698 734 906 40
Fin 2020 120 150 570 0
Cal 2020 30 0 75 0
Fin 2021 0 0 0 0
Cal 2021 0 0 0 0
Total 1,533 1,736 2,406 40