ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 10/09/2018

Weekly Highlights*

  • CY 19 forward curve was mixed across the regions
    • NSW = $85.84 (down $0.16)
    • VIC = $91.50 (down $0.17)
    • QLD = $71.65 (up $0.24)
    • SA = $96.71 (up $0.52)
  • Q3 18 was mostly up
    • NSW = $89.75 (down $3.25)
    • VIC = $81.75 (up $1.75)
    • QLD = $78 (up $0.50)
    • SA = $89.50 (up $3.50)
  • Q4 18 shifted in the opposite direction
    • NSW = $83.20 (down $1.80)
    • VIC = $81.00 (down $3.50)
    • QLD = $72.50 (up $2.00)
    • SA = $81 (unchanged)
  • Implied at-the-money base load Q3 2018 average rate option volatility settled at 46% in NSW, 30.91% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 13.45% in NSW, 13.76% in VIC, 13.79% in QLD and 14.18% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 7.50% in NSW, 7.5% in VIC, 14.35% in QLD and 7.5% in SA.

This weeks distribution of volume by region: NSW 26%, QLD 31%, VIC 8% and SA 8%.

Overall Open Interest has increased by 516 lots to 57,758. Futures rose by 304 lots to 43,972 lots and Options increased by 212 to 13,786 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $436 million
  • Futures contracts traded this week (including Cap futures) = 2,894
    • Base Months = 100
    • Base Quarters = 1,783
    • Peak Quarters = 35
    • Base Cap Quarters = 976
  • Quarterly Average Rate Options traded this week = 2,894
  • Calendar Year Options traded this week = 10 (40 quarterly equivalent contracts)
  • Financial Year Options traded this week = 25 (100 quarterly equivalent contracts)
  • Volume of EFP this week = 25
  • Volume of Block Trades this week = 925
  • Total MWh traded this week = 7.28 million MWh
  • Open Interest (including caps and options) = 57,758 contracts (representing 159.1 million MWh and a face value of $10.6 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 749
  • 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
  • Sep 18 volume to date = 3,401 / avg daily volume = 485
  • Aug 18 total volume = 19,368 / avg daily volume = 842
  • 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

Subscribe to the Market Wrap by email

Get the Market Wrap delivered to your inbox every Tuesday


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 10 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 1,615 234 2,200 120 1,886 0 315
Q12019 166 1,437 85 2,049 145 1,800 22 420
Q22019 135 1,489 83 1,743 76 1,226 0 254
Q32019 65 1,330 47 1,466 70 1,200 0 206
Q42019 65 1,198 45 1,141 70 1,178 0 237
Q12020 76 842 10 1,204 80 1,561 0 260
Q22020 76 821 10 728 50 1,082 0 152
Q32020 62 576 10 423 0 462 0 130
Q42020 61 581 10 413 0 468 0 130
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 10,062 534 11,573 611 11,190 22 2,204

Options Open Interest As at COB Mon 10 Sep 2018

  NSW VIC QLD SA
Dec 2018 629 1,029 950 0
Mar 2019 360 865 550 40
Jun 2019 105 215 250 0
Sep 2019 100 230 125 0
Dec 2019 152 420 100 0
Mar 2020 0 150 75 0
Jun 2020 0 0 0 0
Cal 2019 774 892 961 75
Fin 2020 180 415 780 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 2,575 4,566 4,476 115