ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 26/11/2018

Weekly Highlights*

  • CY 19 forward curve was down
    • NSW = $91.12 (down $3.69)
    • VIC = $101.44 (down $4.05)
    • QLD = $78.70 (down $2.46)
    • SA = $104.13 (down $2.96)
  • Q4 18 was down
    • NSW = $85 (down $4.50)
    • VIC = $97.50 (unchanged)
    • QLD = $85.25 (down $0.25)
    • SA = $98 (unchanged)
  • Q1 19 was down
    • NSW = $110 (down $7.50)
    • VIC = $130.75 (down $9.75)
    • QLD = $104 (down $4.50)
    • SA = $145.58 (down $4.68)
  • Implied at-the-money base load Q4 2018 average rate option volatility settled at 30.07% in NSW, 31.60% in VIC, 29.42% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 29.02% in NSW, 12.64% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 7.50% in NSW, 7.50% in VIC, 15.72% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 19.12%, QLD 46.72%, VIC 29.85% and SA 4.32%.

Overall Open Interest has decreased by 890 to 55,699 lots. Futures decreased by 44 to 43,193 lots and Options decreased by 846 to 12,506 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $756 million
  • Futures contracts traded this week (including Cap futures) = 4,093
    • Base Months = 0
    • Base Quarters = 3,339
    • Peak Quarters = 25
    • Base Cap Quarters = 729
  • Quarterly Average Rate Options traded this week = 165
  • Calendar Year Options traded this week = 70 (280 quarterly equivalent contracts)
  • Financial Year Options traded this week = 70 (280 quarterly equivalent contracts)
  • Volume of EFP this week = 1,264
  • Volume of Block Trades this week = 675
  • Total MWh traded this week = 10.52 million MWh
  • Open Interest (including caps and options) = 55,699 (representing 151.18 million MWh and a face value of $10.32 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 900
  • 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 = 10,317 / avg daily volume = 1,468
  • 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 26 Nov 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 1,773 233 2,192 120 2,033 0 320
Q12019 206 1,737 100 2,230 140 2,208 22 499
Q22019 136 1,667 117 1,924 93 1,450 1 271
Q32019 66 1,597 56 1,466 70 1,564 1 287
Q42019 65 1,473 48 1,424 70 1,543 1 322
Q12020 76 981 10 1,201 107 1,857 0 290
Q22020 77 910 10 847 50 1,273 0 196
Q32020 62 582 10 606 10 711 0 179
Q42020 61 565 10 531 10 724 0 184
Q12021 0 111 0 222 10 198 0 52
Q22021 0 114 0 245 10 193 0 52
Q32021 0 1 0 42 0 45 0 2
Q42021 0 2 0 27 0 45 0 2
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 889 11,513 594 12,957 690 13,869 25 2,656

Options Open Interest As at COB Mon 26 Nov 2018

  NSW VIC QLD SA
Dec 2018 686 1,281 1,011 0
Mar 2019 460 1,252 600 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
Fin 2020 180 527 970 0
Cal 2020 390 682 980 0
Fin 2021 0 400 385 0
Cal 2021 25 75 225 0
Fin 2022 0 0 0 0
Cal 2022 0 0 0 0
Total 2,203 5,392 4,871 40