ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 06/08/2018

Weekly Highlights*

  • CY 19 forward curve continued to increase this week
    • NSW = $78.04 (up $0.79)
    • VIC = $84.93 (up $0.35)
    • QLD = $67.69 (up $1.47)
    • SA = $93.50 (up $1.25)
  • Q3 18 was again mixed on the week
    • NSW = $76.50 (down $0.25)
    • VIC = $71 (down $1.21)
    • QLD = $70.75 (up $0.75)
    • SA = $93 (unchanged)
  • Q4 18 followed a different upward trend
    • NSW = $76 (down $0.50)
    • VIC = $76.29 (down $2.46)
    • QLD = $70.75 (up $0.50)
    • SA = $80.79 (unchanged)
  • Implied at-the-money base load Q3 2018 average rate option volatility settled at 30% in NSW, 30% in VIC, 28.59% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 17.79% in NSW, 16.88% in VIC, 17.56% in QLD and 7.50% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 17.13% in NSW, 7.50% in VIC, 12.89% in QLD and 7.5% in SA.

This weeks distribution of volume by region: NSW 25%, QLD 41%, VIC 33% and SA 2%.

Overall Open Interest has increased by 973 lots. Futures rose by 813 lots to 39,411 lots and Options increased by 160 to 12,716 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $682.1 million
  • Futures contracts traded this week (including Cap futures) = 4,362
    • Base Months = 0
    • Base Quarters = 3,018
    • Peak Quarters = 233
    • Base Cap Quarters = 1,111
  • Quarterly Average Rate Options traded this week = 100
  • Calendar Year Options traded this week = 263 (1,052 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 58
  • Volume of Block Trades this week = 1,565
  • Total MWh traded this week = 11.8m MWh
  • Open Interest (including caps and options) = 52,127 contracts (representing 145 million MWh and a face value of $9.34 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 691
  • FY 17/18 average daily volume = 608
  • 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
  • Aug volume to date = 3,832 / avg daily volume = 958
  • Jul 18 total volume = 16,190 / avg daily volume = 735
  • Jun 18 total volume = 21,906 / avg daily volume = 1,043
  • May 18 total volume = 16,292 / avg daily volume = 708
  • 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 6 Aug 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Oct 2018 - 0 - 0 - 0 - 0
Nov 2018 - 0 - 0 - 0 - 0
Dec 2018 - 0 - 0 - 0 - 0
Q42018 140 1,428 179 2,088 120 1,832 0 315
Q12019 146 1,334 55 1,909 145 1,639 22 429
Q22019 111 1,413 46 1,644 76 1,153 0 227
Q32019 36 1,276 37 1,345 70 1,151 0 156
Q42019 36 1,123 35 1,085 70 1,052 0 174
Q12020 17 752 1 1,048 81 1,319 0 210
Q22020 17 734 0 633 50 880 0 102
Q32020 4 395 0 370 0 324 0 93
Q42020 4 400 0 344 0 325 0 93
Q12021 0 11 0 60 0 131 0 25
Q22021 0 11 0 56 0 121 0 25
Q32021 0 0 0 0 0 5 0 0
Q42021 0 0 0 0 0 5 0 0
Q12022 0 0 0 0 0 0 0 0
Q22022 0 0 0 0 0 0 0 0
Total 511 8,877 353 10,582 612 9,937 22 1,849

Options Open Interest As at COB Mon 6 Aug 2018

  NSW VIC QLD SA
Dec 2018 590 867 830 0
Mar 2019 210 620 500 40
Jun 2019 100 200 250 0
Sep 2019 100 230 125 0
Dec 2019 150 420 100 0
Mar 2020 0 150 75 0
Jun 2020 0 0 0 0
Cal 2019 764 885 996 75
Fin 2020 170 375 780 0
Cal 2020 250 300 310 0
Fin 2021 0 0 225 0
Cal 2021 25 0 25 0
Fin 2022 0 0 0 0
Total 2,359 4,047 4,216 115