ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 17/12/2018

Weekly Highlights*

  • CY 19 forward curve was down
    • NSW = $86.24 (up $2.60)
    • VIC = $96.60 (up $1.81)
    • QLD = $76.39 (up $4.28)
    • SA = $100 (down $2.42)
  • Q4 18 was down
    • NSW = $85.50 (up $1.50)
    • VIC = $98 (up $2)
    • QLD = $82.50 (up $0.50)
    • SA = $98 (unchanged)
  • Q1 19 was down
    • NSW = $104 (up $6.55)
    • VIC = $124.75 (up $1.75)
    • QLD = $97.75 (up $8)
    • SA = $137.02 (down $2.98)
  • Implied at-the-money base load Q4 2018 average rate option volatility settled at 32.54% in NSW, 31.55% in VIC, 30.21% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 24.15% 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 11.79% in NSW, 7.50% in VIC, 15.88% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 27.74%, QLD 34.07%, VIC 36.37% and SA 1.82%.

Overall Open Interest has decreased by 15 to 56,997 lots. Futures decreased by 210 to 43,894 lots and Options increased by 195 to 13,103 lots .

Weekly Volume*^

  • Face Value of electricity traded this week = $473 million
  • Futures contracts traded this week (including Cap futures) = 2,404
    • Base Months = 0
    • Base Quarters = 1,629
    • Peak Quarters = 80
    • Base Cap Quarters = 695
  • Quarterly Average Rate Options traded this week = 75
  • Calendar Year Options traded this week = 145 (580 quarterly equivalent contracts)
  • Financial Year Options traded this week = 60 (240 quarterly equivalent contracts)
  • Volume of EFP this week = 852
  • Volume of Block Trades this week = 560
  • Total MWh traded this week = 7.12 million MWh
  • Open Interest (including caps and options) = 56,997 (representing 156.90 million MWh and a face value of $10.41 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 874
  • 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 = 763
  • 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 17 Dec 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Mar 2019 - 0 - 0 - 0 - 0
Q12019 206 1,846 98 2,216 142 2,153 22 526
Q22019 136 1,775 129 1,935 93 1,370 1 273
Q32019 66 1,776 67 1,496 72 1,441 1 292
Q42019 65 1,701 55 1,473 72 1,454 1 347
Q12020 76 975 30 1,260 109 1,860 0 292
Q22020 77 969 30 862 50 1,252 0 198
Q32020 62 571 30 632 10 706 0 181
Q42020 64 571 30 560 10 736 0 184
Q12021 0 122 0 230 10 171 0 52
Q22021 0 125 0 250 10 142 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 752 10,445 469 10,993 578 11,377 25 2,401

Options Open Interest As at COB Mon 17 Dec 2018

  NSW VIC QLD SA
Mar 2019 460 1,332 600 40
Jun 2019 210 375 425 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
Fin 2020 230 527 1,065 0
Cal 2020 410 727 1,025 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 1,607 4,423 4,025 40