ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 29/10/2018

Weekly Highlights*

  • CY 19 forward curve was up
    • NSW = $93 (up $3.68)
    • VIC = $101.59 (up $5.15)
    • QLD = $76.44 (up $3.03)
    • SA = $104.25 (up $5.91)
  • Q4 18 was up
    • NSW = $90.25 (up $2.25)
    • VIC = $98.50 (up $6.50)
    • QLD = $80 (up $4)
    • SA = $94 (unchanged)
  • Q1 19
    • NSW = $114.89 (down $5.14)
    • VIC = $135.86 (down $3.86)
    • QLD = $98.50 (up $4.40)
    • SA = $145.70 (up $2.70)
  • Implied at-the-money base load Q4 2018 average rate option volatility settled at 32.37% in NSW, 31.55% in VIC, 29.19% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 14.35% in NSW, 12.62% in VIC, 16.34% 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, 15.7% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 25.02%, QLD 24.52%, VIC 47.54% and SA 2.93%.

Overall Open Interest has increased by 2,008 to 55,378 lots. Futures increased by 1,513 to 41,496 lots and Options increased by 495 to 13,882 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $879 million
  • Futures contracts traded this week (including Cap futures) = 4,899
    • Base Months = 0
    • Base Quarters = 3,320
    • Peak Quarters = 55
    • Base Cap Quarters = 1,524
  • Quarterly Average Rate Options traded this week = 105
  • Calendar Year Options traded this week = 165 (660 quarterly equivalent contracts)
  • Financial Year Options traded this week = 250 (1,000 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 1,775
  • Total MWh traded this week = 14.53 million MWh
  • Open Interest (including caps and options) = 55,378 contracts (representing 162.98 million MWh and a face value of $11.40 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 630
  • 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 = 18,669 / avg daily volume = 889
  • 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 29 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 1,762 233 2,193 120 1,961 0 380
Q12019 198 1,538 100 2,191 145 1,928 22 524
Q22019 136 1,596 81 1,923 88 1,341 1 267
Q32019 66 1,452 47 1,494 70 1,376 1 223
Q42019 66 1,330 48 1,284 70 1,373 1 303
Q12020 76 944 10 1,281 80 1,779 0 280
Q22020 77 946 10 876 50 1,243 0 186
Q32020 62 690 10 701 10 633 0 169
Q42020 61 700 10 625 10 653 0 174
Q12021 0 118 0 200 10 136 0 50
Q22021 0 118 0 206 10 132 0 50
Q32021 0 0 0 2 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 882 11,194 549 12,981 663 12,596 25 2,606

Options Open Interest As at COB Mon 29 Oct 2018

  NSW VIC QLD SA
Dec 2018 686 1,216 1,009 0
Mar 2019 385 1,107 575 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 180 447 885 0
Cal 2020 305 627 705 0
Fin 2021 0 300 225 0
Cal 2021 25 0 25 0
Fin 2022 0 0 0 0
Total 2,817 5,900 5,050 115