ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 10/12/2018

Weekly Highlights*

  • CY 19 forward curve was down
    • NSW = $83.64 (down $3.99)
    • VIC = $94.79 (down $1.98)
    • QLD = $72.11 (down $4.15)
    • SA = $102.42 (down $0.56)
  • Q4 18 was down
    • NSW = $84 (unchanged)
    • VIC = $96 (down $1.50)
    • QLD = $82 (down $2.75)
    • SA = $98 (unchanged)
  • Q1 19 was down
    • NSW = $97.45 (down $7.30)
    • VIC = $123 (down $1)
    • QLD = $89.75 (down $5.75)
    • SA = $140 (down $1)
  • Implied at-the-money base load Q4 2018 average rate option volatility settled at 31.44% in NSW, 31.62% in VIC, 30.21% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 21.43% in NSW, 30% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 11.72% in NSW, 15.36% in VIC, 14.60% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 33.11%, QLD 38.47%, VIC 26.81% and SA 1.61%.

Overall Open Interest has increased by 653 to 57,012 lots. Futures increased by 501 to 44,104 lots and Options increased by 152 to 12,908 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $508 million
  • Futures contracts traded this week (including Cap futures) = 3,106
    • Base Months = 0
    • Base Quarters = 1,943
    • Peak Quarters = 124
    • Base Cap Quarters = 1,039
  • Quarterly Average Rate Options traded this week = 54
  • Calendar Year Options traded this week = 120 (480 quarterly equivalent contracts)
  • Financial Year Options traded this week = 55 (220 quarterly equivalent contracts)
  • Volume of EFP this week = 665
  • Volume of Block Trades this week = 470
  • Total MWh traded this week = 8.30 million MWh
  • Open Interest (including caps and options) = 57,012 (representing 156.12 million MWh and a face value of $10.20 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 882
  • 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
  • Dec 18 volume to date = 1,237 / avg daily volume = 850
  • 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 10 Dec 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q22019 136 1,800 129 1,911 93 1,405 1 271
Q32019 66 1,800 67 1,483 72 1,567 1 287
Q42019 65 1,659 55 1,468 72 1,594 1 327
Q12020 76 987 10 1,255 109 1,864 0 292
Q22020 77 978 10 842 50 1,254 0 198
Q32020 62 589 10 611 10 696 0 181
Q42020 64 578 10 540 10 729 0 184
Q12021 0 122 0 230 10 184 0 52
Q22021 0 125 0 250 10 167 0 52
Q32021 0 6 0 47 0 46 0 2
Q42021 0 8 0 32 0 46 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 546 8,652 291 8,669 436 9,552 3 1,848

Options Open Interest As at COB Mon 10 Dec 2018

  NSW VIC QLD SA
Jun 2019 210 375 400 0
Sep 2019 100 232 125 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 2020 400 692 990 0
Fin 2021 20 400 385 0
Cal 2021 25 260 225 0
Fin 2022 0 0 0 0
Cal 2022 0 0 0 0
Total 907 2,529 2,300 0