ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 27/08/2018

Weekly Highlights*

  • CY 19 forward curve changed direction and most regions moved up
    • NSW = $80.26 (up $2.05)
    • VIC = $87.22 (up 3.34)
    • QLD = $69.03 (up $1.75)
    • SA = $95.54 (down $0.14)
  • Q3 18 was mostly up
    • NSW = $82.25 (up $3.25)
    • VIC = $74 (up $3.75)
    • QLD = $74 (up $2.25)
    • SA = $86.00 (unchanged)
  • Q4 18 was mostly up on the week
    • NSW = $77.50 (up $5.50)
    • VIC = $76.25 (up $5.25)
    • QLD = $70.50 (up $2.00)
    • SA = $80.75 (down $0.04)
  • Implied at-the-money base load Q3 2018 average rate option volatility settled at 31.33% in NSW, 29.05% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 15.25% in NSW, 18.82% in VIC, 17.19% in QLD and 7.50% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 7.50% in NSW, 16.24% in VIC, 13.40% in QLD and 7.5% in SA.

This weeks distribution of volume by region: NSW 15%, QLD 55%, VIC 28% and SA 1%.

Overall Open Interest has increased by 633 lots. Futures rose by 488 lots to 42,612 lots and Options increased by 145 to 13,448 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $348 million
  • Futures contracts traded this week (including Cap futures) = 1,957
    • Base Months = 0
    • Base Quarters = 1,587
    • Peak Quarters = 38
    • Base Cap Quarters = 332
  • Quarterly Average Rate Options traded this week = 156
  • Calendar Year Options traded this week = 110 (440 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 = 695
  • Total MWh traded this week = 5.56 million MWh
  • Open Interest (including caps and options) = 56,060 contracts (representing 155.2 million MWh and a face value of $10.07 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 761
  • 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 18 volume to date = 15,031 / avg daily volume = 791
  • 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 27 Aug 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Nov 2018 - 0 - 0 - 0 - 0
Dec 2018 - 0 - 0 - 25 - 0
Q42018 140 1,470 214 2,112 120 1,865 0 315
Q12019 166 1,435 80 2,026 145 1,799 22 429
Q22019 135 1,451 80 1,713 76 1,164 0 227
Q32019 65 1,330 47 1,417 70 1,234 0 191
Q42019 65 1,184 45 1,128 70 1,152 0 225
Q12020 76 794 10 1,136 80 1,488 0 250
Q22020 76 776 10 675 50 1,029 0 147
Q32020 62 510 10 423 0 404 0 125
Q42020 61 515 10 402 0 413 0 125
Q12021 0 45 0 105 0 151 0 50
Q22021 0 40 0 102 0 146 0 50
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 846 9,550 506 11,239 611 10,880 22 2,134

Options Open Interest As at COB Mon 27 Aug 2018

  NSW VIC QLD SA
Dec 2018 590 932 880 0
Mar 2019 360 865 525 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 774 907 976 75
Fin 2020 170 400 780 0
Cal 2020 250 325 435 0
Fin 2021 0 0 225 0
Cal 2021 25 0 25 0
Fin 2022 0 0 0 0
Total 2,519 4,429 4,396 115