ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 05/11/2018

Weekly Highlights*

  • CY 19 forward curve was up
    • NSW = $96.04 (up $3.04)
    • VIC = $104.37 (up $2.78)
    • QLD = $80.87 (up $4.43)
    • SA = $107.50 (up $3.25)
  • Q4 18 was mixed
    • NSW = $90.25 (unchanged)
    • VIC = $96 (down $2.50)
    • QLD = $84 (up $4)
    • SA = $94 (unchanged)
  • Q1 19 was up
    • NSW = $117.50 (up $2.61)
    • VIC = $138 (up $2.40)
    • QLD = $105.75 (up $7.25)
    • SA = $150.26 (up $7.51)
  • Implied at-the-money base load Q4 2018 average rate option volatility settled at 32.37% in NSW, 31.62% in VIC, 30.35% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 15.14% in NSW, 12.58% in VIC, 17.05% 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, 13.61% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 18.28%, QLD 47.66%, VIC 33.48% and SA 0.59%.

Overall Open Interest has increased by 444 to 55,822 lots. Futures decreased by 528 to 40,968 lots and Options increased by 972 to 14,854 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1.87 million
  • Futures contracts traded this week (including Cap futures) = 6,656
    • Base Months = 0
    • Base Quarters = 6,026
    • Peak Quarters = 223
    • Base Cap Quarters = 407
  • Quarterly Average Rate Options traded this week = 250
  • Calendar Year Options traded this week = 567 (2,268 quarterly equivalent contracts)
  • Financial Year Options traded this week = 480 (1,920 quarterly equivalent contracts)
  • Volume of EFP this week = 1,645
  • Volume of Block Trades this week = 4,675
  • Total MWh traded this week = 24.03 million MWh
  • Open Interest (including caps and options) = 55,822 contracts (representing 168.80 million MWh and a face value of $11.99 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 845
  • 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
  • Nov 18 volume to date = 7,952 / avg daily volume = 2,651
  • 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 5 Nov 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 1,770 233 2,191 120 1,997 0 380
Q12019 198 1,599 100 2,000 140 1,962 22 521
Q22019 136 1,612 104 1,783 93 1,370 1 263
Q32019 66 1,521 47 1,304 70 1,470 1 220
Q42019 66 1,341 48 1,185 70 1,424 1 300
Q12020 76 963 10 1,179 106 1,876 0 290
Q22020 77 874 10 755 50 1,298 0 196
Q32020 62 568 10 591 10 686 0 179
Q42020 61 560 10 531 10 714 0 184
Q12021 0 108 0 206 10 149 0 50
Q22021 0 108 0 212 10 155 0 50
Q32021 0 0 0 8 0 33 0 0
Q42021 0 0 0 6 0 33 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 11,024 572 11,951 689 13,192 25 2,633

Options Open Interest As at COB Mon 5 Nov 2018

  NSW VIC QLD SA
Dec 2018 686 1,216 1,009 0
Mar 2019 385 1,107 600 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
Cal 2019 869 1,065 1,101 75
Fin 2020 180 507 970 0
Cal 2020 330 637 830 0
Fin 2021 0 400 335 0
Cal 2021 25 0 150 0
Fin 2022 0 0 0 0
Total 2,937 6,107 5,695 115