ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 03/12/2018

Weekly Highlights*

  • CY 19 forward curve was down
    • NSW = $87.63 (down $3.49)
    • VIC = $96.77 (down $4.67)
    • QLD = $76.26 (down $2.44)
    • SA = $102.98 (down $1.15)
  • Q4 18 was down
    • NSW = $84 (down $1)
    • VIC = $97.50 (unchanged)
    • QLD = $84.75 (down $0.50)
    • SA = $98 (unchanged)
  • Q1 19 was down
    • NSW = $104.75 (down $5.25)
    • VIC = $124 (down $6.75)
    • QLD = 95.50 (down $4)
    • SA = $141 (down $4.58)
  • Implied at-the-money base load Q4 2018 average rate option volatility settled at 31.44% in NSW, 31.60% in VIC, 29.42% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 29.04% in NSW, 30% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 7.50% in NSW, 7.50% in VIC, 15.64% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 54.59%, QLD 10.31%, VIC 29.85% and SA 34.19%.

Overall Open Interest has increased by 660 to 56,359 lots. Futures increased by 410 to 43,603 lots and Options increased by 250 to 12,756 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $444 million
  • Futures contracts traded this week (including Cap futures) = 2,272
    • Base Months = 0
    • Base Quarters = 1,498
    • Peak Quarters = 1
    • Base Cap Quarters = 773
  • Quarterly Average Rate Options traded this week = 30
  • Calendar Year Options traded this week = 150 (600 quarterly equivalent contracts)
  • Financial Year Options traded this week = 70 (280 quarterly equivalent contracts)
  • Volume of EFP this week = 1,005
  • Volume of Block Trades this week = 300
  • Total MWh traded this week = 6.97 million MWh
  • Open Interest (including caps and options) = 56,359 (representing 154.07 million MWh and a face value of $10..29 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 888
  • 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
  • Dec 18 volume to date = 1,237 / avg daily volume = 1,087
  • Nov 18 volume to date = 10,317 / avg daily volume = 1,468
  • Oct 18 volume to date = 21,811 / avg daily volume = 948
  • Sep 18 total volume = 11,561 / avg daily volume = 578
  • 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

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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 Dec 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Dec 2018 - 0 - 0 - 25 - 0
Jan 2019 - 0 - 0 - 0 - 0
Feb 2019 - 0 - 0 - 0 - 0
Mar 2019 - 0 - 0 - 0 - 0
Q42018 140 1,776 233 2,192 120 1,998 0 320
Q12019 206 1,770 100 2,218 140 2,203 22 499
Q22019 136 1,771 116 1,906 93 1,440 1 271
Q32019 66 1,748 56 1,481 70 1,554 1 287
Q42019 65 1,614 48 1,435 70 1,546 1 322
Q12020 76 966 10 1,236 107 1,867 0 290
Q22020 77 937 10 848 50 1,281 0 196
Q32020 62 572 10 607 10 691 0 179
Q42020 61 558 10 531 10 724 0 184
Q12021 0 112 0 229 10 191 0 52
Q22021 0 114 0 250 10 186 0 52
Q32021 0 1 0 47 0 45 0 2
Q42021 0 3 0 32 0 45 0 2
Q12022 0 0 0 0 0 0 0 0
Q22022 0 0 0 0 0 0 0 0
Q32022 0 0 0 0 0 0 0 0
Q42022 0 0 0 0 0 0 0 0
Total 889 11,942 593 13,012 690 13,796 25 2,656

Options Open Interest As at COB Mon 3 Dec 2018

  NSW VIC QLD SA
Dec 2018 716 1,281 1,011 0
Mar 2019 460 1,252 600 40
Jun 2019 210 375 400 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
Sep 2020 0 0 0 0
Fin 2020 230 527 970 0
Cal 2020 390 682 980 0
Fin 2021 20 400 385 0
Cal 2021 25 225 225 0
Fin 2022 0 0 0 0
Cal 2022 0 0 0 0
Total 2,303 5,542 4,871 40