ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 03/09/2018

Weekly Highlights*

  • CY 19 forward curve changed direction and all regions moved considerably up
    • NSW = $86.00 (up $5.74)
    • VIC = $91.67 (up 4.45)
    • QLD = $71.41 (up $2.38)
    • SA = $96.19 (down $0.65)
  • Q3 18 was also sharply up
    • NSW = $93.00 (up $10.75)
    • VIC = $80.00 (up $6.00)
    • QLD = $77.5(up $3.50)
    • SA = $86.00 (unchanged)
  • Q4 18 same theme and up on the week
    • NSW = $85 (up $7.50)
    • VIC = $84.5 (up $8.25)
    • QLD = $74.50 (up $4.00)
    • SA = $81 (down $0.25)
  • Implied at-the-money base load Q3 2018 average rate option volatility settled at 30.00 % 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 16.25% in NSW, 19.00% in VIC, 17.50% in QLD and 7.50% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 7.50% in NSW, 7.5% in VIC, 13.00% in QLD and 7.5% in SA.

This weeks distribution of volume by region: NSW 32%, QLD 32%, VIC 32% and SA 4%.

Overall Open Interest has increased by 995 lots to 57,388. Futures rose by 277 lots to 42,889 lots and Options increased by 6 to 13,504 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $787 million
  • Futures contracts traded this week (including Cap futures) = 4,751
    • Base Months = 200
    • Base Quarters = 3,981
    • Peak Quarters = 12
    • Base Cap Quarters = 272
  • Quarterly Average Rate Options traded this week = 156
  • Calendar Year Options traded this week = 130 (520 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 100
  • Volume of Block Trades this week = 925
  • Total MWh traded this week = 11 million MWh
  • Open Interest (including caps and options) = 57,388 contracts (representing 155.2 million MWh and a face value of $10.58 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 3 Sep 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 1,513 214 2,166 120 1,893 0 315
Q12019 166 1,432 85 2,056 145 1,799 22 418
Q22019 135 1,469 80 1,733 76 1,209 0 229
Q32019 65 1,350 47 1,468 70 1,180 0 206
Q42019 65 1,185 45 1,166 70 1,153 0 231
Q12020 76 837 10 1,226 80 1,510 0 255
Q22020 76 816 10 744 50 1,072 0 147
Q32020 62 571 10 435 0 452 0 125
Q42020 61 576 10 420 0 458 0 125
Q12021 0 86 0 105 0 151 0 50
Q22021 0 87 0 101 0 141 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 9,922 511 11,620 611 11,053 22 2,151

Options Open Interest As at COB Mon 3 Sep 2018

  NSW VIC QLD SA
Dec 2018 625 928 915 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 774 892 961 75
Fin 2020 170 400 780 0
Cal 2020 250 350 435 0
Fin 2021 0 0 225 0
Cal 2021 25 0 25 0
Fin 2022 0 0 0 0
Total 2,554 4,435 4,416 115