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

Weekly Highlights*

  • CY 19 forward curve was mostly up across the regions
    • NSW = $89.46 (up $3.58)
    • VIC = $97.70 (up $5.38)
    • QLD = $73.25 (up $1.78)
    • SA = $97.55 (up $0.87)
  • Q4 18 was mixed
    • NSW = $84 (up $0.75)
    • VIC = $95 (up $6)
    • QLD = $74.50 (up $2.50)
    • SA = $94 (up $9)
  • Q1 19 shifted upwards
    • NSW = $110 (up $5)
    • VIC = $135 (up $4.12)
    • QLD = $95.30 (up $1.80)
    • SA = $143.34 (up $0.84)
  • Implied at-the-money base load Q4 2018 average rate option volatility settled at 30% in NSW, 41.62% in VIC, 30.08% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 13.52% in NSW, 12.79% in VIC, 15.11% in QLD and 7.50% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 11.79% in NSW, 7.50% in VIC, 14.81% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 12.28%, QLD 33.29%, VIC 47.73% and SA 6.70%.

Overall Open Interest has decreased by 739 lots to 52,002 lots. Futures declined by 5,574 to 38,967 lots and Options declined by 1,849 to 13,035 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $806 million
  • Futures contracts traded this week (including Cap futures) = 3,907
    • Base Months = 0
    • Base Quarters = 2,783
    • Peak Quarters = 2
    • Base Cap Quarters = 1,122
  • Quarterly Average Rate Options traded this week = 0
  • Calendar Year Options traded this week = 254 (1,016) quarterly equivalent contracts)
  • Financial Year Options traded this week = 170 (680 quarterly equivalent contracts)
  • Volume of EFP this week = 75
  • Volume of Block Trades this week = 1,435
  • Total MWh traded this week = 12.29 million MWh
  • Open Interest (including caps and options) = 52,002 contracts (representing 151.2 million MWh and a face value of $10.42 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 750
  • 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
  • Oct 18 volume to date = 6,132 / avg daily volume = 1,022
  • 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 8 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 1,724 233 2,174 120 1,957 0 380
Q12019 196 1,446 100 2,149 145 1,829 22 480
Q22019 135 1,527 81 1,842 80 1,332 0 277
Q32019 65 1,349 47 1,501 70 1,333 0 229
Q42019 65 1,267 48 1,268 70 1,325 0 282
Q12020 76 825 10 1,282 80 1,617 0 260
Q22020 76 823 10 778 50 1,130 0 172
Q32020 62 592 10 512 0 541 0 159
Q42020 61 599 10 417 0 556 0 164
Q12021 0 96 0 90 0 141 0 50
Q22021 0 96 0 101 0 137 0 50
Q32021 0 0 0 0 0 8 0 0
Q42021 0 0 0 5 0 8 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 10,344 549 12,119 615 11,939 22 2,503

Options Open Interest As at COB Mon 8 Oct 2018

  NSW VIC QLD SA
Dec 2018 681 1,191 1,007 0
Mar 2019 360 1,017 550 40
Jun 2019 110 375 300 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 180 442 830 0
Cal 2020 255 562 520 0
Fin 2021 0 0 225 0
Cal 2021 25 0 25 0
Fin 2022 0 0 0 0
Total 1,863 4,387 3,757 40