ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 01/10/2018

Weekly Highlights*

  • CY 19 forward curve was mostly up across the regions
    • NSW = $85.88 (up $0.73)
    • VIC = $92.32 (up $1.61)
    • QLD = $71.47 (up $0.39)
    • SA = $96.68 (up $0.04)
  • Q4 18 was mixed
    • NSW = $83.25 (down $0.75)
    • VIC = $89 (up $3)
    • QLD = $72 (down $1)
    • SA = $85 (up $5)
  • Q1 19 shifted upwards
    • NSW = $105 (up $0.50)
    • VIC = $130.88 (down $0.12)
    • QLD = $93.50 (up $2)
    • SA = $142.50 (unchanged)
  • Implied at-the-money base load Q4 2018 average rate option volatility settled at 30% in NSW, 31.61% 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, 13.91% in VIC, 15.11% in QLD and 14.18% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 7.50% in NSW, 12.29% in VIC, 16.41% in QLD and 7.5% in SA.

This weeks distribution of volume by region: NSW 26.86%, QLD 10.11%, VIC 57.51% and SA 5.51%.

Overall Open Interest has decreased by 6,192 lots to 52,741 lots. Futures declined by 6,684 to 44,541 lots and Options increased by 492 to 14,884 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $368 million
  • Futures contracts traded this week (including Cap futures) = 1,348
    • Base Months = 0
    • Base Quarters = 1,044
    • Peak Quarters = 38
    • Base Cap Quarters = 266
  • Quarterly Average Rate Options traded this week = 391
  • Calendar Year Options traded this week = 111 (444) quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 6
  • Volume of Block Trades this week = 550
  • Total MWh traded this week = 4.735 million MWh
  • Open Interest (including caps and options) = 52,741 contracts (representing 151.5 million MWh and a face value of $10.33 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 722
  • 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 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 1 Oct 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 1,727 233 2,167 120 1,944 0 380
Q12019 196 1,449 100 2,127 145 1,844 22 460
Q22019 135 1,525 81 1,775 80 1,246 0 264
Q32019 65 1,333 47 1,436 70 1,203 0 216
Q42019 65 1,242 46 1,185 70 1,223 0 257
Q12020 76 824 10 1,193 80 1,578 0 260
Q22020 76 823 10 766 50 1,079 0 152
Q32020 62 583 10 469 0 474 0 155
Q42020 61 578 10 389 0 490 0 160
Q12021 0 96 0 105 0 146 0 50
Q22021 0 96 0 101 0 137 0 50
Q32021 0 0 0 0 0 5 0 0
Q42021 0 0 0 5 0 5 0 0
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 876 10,276 547 11,718 615 11,399 22 2,404