ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 15/10/2018

Weekly Highlights*

  • CY 19 forward curve was mixed
    • NSW = $88.84 (down $0.62)
    • VIC = $96.75 (down $0.95)
    • QLD = $73.53 (up $0.28)
    • SA = $98.27 (up $0.72)
  • Q4 18 was mixed
    • NSW = $84.50 (up $0.50)
    • VIC = $92 (down $3)
    • QLD = $75.75 (up $1.25)
    • SA = $94 (unchanged)
  • Q1 19
    • NSW = $110 (unchanged)
    • VIC = $131 (down $4)
    • QLD = $94.05 (down $1.25)
    • SA = $143.34 (unchanged)
  • Implied at-the-money base load Q4 2018 average rate option volatility settled at 31.44% in NSW, 41.25% 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, 16.41% in VIC, 16.29% in QLD and 7.50% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 7.50% in NSW, 7.50% in VIC, 14.60% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 23.87%, QLD 36.97%, VIC 36.58% and SA 0.03%.

Overall Open Interest has decreased by increased by 821 lots to 52,823 lots. Futures increased by 681 to 39,648 lots and Options increased by 140 to 13,175 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $409 million
  • Futures contracts traded this week (including Cap futures) = 2,414
    • Base Months = 0
    • Base Quarters = 1,837
    • Peak Quarters = 46
    • Base Cap Quarters = 531
  • Quarterly Average Rate Options traded this week = 30
  • Calendar Year Options traded this week = 85 (340 quarterly equivalent contracts)
  • Financial Year Options traded this week = 35 (140 quarterly equivalent contracts)
  • Volume of EFP this week = 240
  • Volume of Block Trades this week = 1,457
  • Total MWh traded this week = 6.35 million MWh
  • Open Interest (including caps and options) = 52,823 contracts (representing 153.7 million MWh and a face value of $10.57 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 739
  • 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 = 9,056 / avg daily volume = 823
  • 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 15 Oct 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
Jan 2019 - 0 - 0 - 0 - 0
Feb 2019 - 0 - 0 - 0 - 0
Mar 2019 - 0 - 0 - 0 - 0
Q42018 140 1,730 233 2,181 120 1,960 0 380
Q12019 197 1,451 100 2,179 145 1,828 22 500
Q22019 136 1,555 81 1,879 80 1,336 0 295
Q32019 66 1,387 47 1,483 70 1,328 0 241
Q42019 66 1,280 48 1,280 70 1,314 0 295
Q12020 76 842 10 1,287 80 1,604 0 260
Q22020 77 834 10 824 50 1,159 0 174
Q32020 62 614 10 553 10 618 0 159
Q42020 61 623 10 470 10 633 0 164
Q12021 0 103 0 100 10 141 0 50
Q22021 0 103 0 111 10 137 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 881 10,522 549 12,352 655 12,099 22 2,568

Options Open Interest As at COB Mon 15 Oct 2018

  NSW VIC QLD SA
Dec 2018 681 1,196 1,007 0
Mar 2019 385 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
Cal 2019 874 1,028 1,026 75
Fin 2020 180 447 860 0
Cal 2020 255 572 570 0
Fin 2021 0 0 225 0
Cal 2021 25 0 25 0
Fin 2022 0 0 0 0
Total 2,762 5,435 4,863 115