ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 07/05/2018

Weekly Highlights*

The market was relatively stable last week with all regions moving no more than $0.34 in the 2019 calendar strip. NSW gained $0.01 to $70.71, VIC lost $0.34 to $76.42, QLD dropped $0.06 to $64.59 and SA remained unchanged at $88.08.

The spot quarter saw a slight drop off last week. NSW fell $2.01 to $73.25, VIC dropped $2.30 to $74.50, QLD lost $0.05 and SA remained unchanged at $94.50.

Looking ahead to Q3 2018, prices followed a similar trend. NSW dropped $0.95 to $75.45, VIC fell $0.65 to $79 and both QLD and SA remained stable at $67 and $87 respectively.

  • 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, 14.83% in VIC, 14.70% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 32%, QLD 27%, VIC 37% and SA 3%.

Trading volume concentrated in the Base Qtrs this month with 58% of total traded volume, followed by Calendar options at 22% and Caps at 14%.

Open Interest was up 269 contracts to end the week at 47,866 contracts. Futures increased by 253 lots and Options rose by 16 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $244.8
  • Futures contracts traded this week (including Cap futures) = 1,325
    • Base Months = 0
    • Base Quarters = 985
    • Peak Quarters = 104
    • Base Cap Quarters = 236
  • Quarterly Average Rate Options traded this week = 1
  • Calendar Year Options traded this week = 95 (380 quarterly equivalent contracts)
  • Financial Year Options traded this week = 15 (60 quarterly equivalent contracts)
  • Volume of EFP this week = 150
  • Volume of Block Trades this week = 225
  • Total MWh traded this week = 3.74MWh
  • Open Interest (including caps and options) = 47,866 contracts (representing 140.47 million MWh and a face value of $9.06 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
  • May 18 volume to date = 1,766 / avg daily volume = 353
  • 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
*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 7 May 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
May 2018 - 2 - 0 - 0 - 0
Jun 2018 - 7 - 0 - 0 - 0
Jul 2018 - 0 - 0 - 0 - 0
Aug 2018 - 0 - 0 - 0 - 0
Sep 2018 - 0 - 20 - 0 - 0
Q22018 177 1,493 186 2,024 174 2,174 0 337
Q32018 156 1,783 165 1,875 90 1,575 2 225
Q42018 134 1,403 169 2,066 120 1,645 0 247
Q12019 61 1,300 42 1,474 103 1,583 0 293
Q22019 43 1,346 39 1,362 85 1,124 0 113
Q32019 15 1,051 37 993 25 849 0 86
Q42019 11 939 35 953 25 744 0 92
Q12020 17 500 0 292 0 623 0 33
Q22020 17 481 0 226 0 434 0 33
Q32020 4 77 0 90 0 47 0 33
Q42020 4 77 0 89 0 48 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 639 10,459 673 11,564 622 10,851 2 1,575

Options Open Interest As at COB Mon 7 May 2018

  NSW VIC QLD SA
Jun 2018 655 843 371 12
Sep 2018 540 395 500 0
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 698 749 906 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 2,728 2,989 3,277 52