ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 07/01/2019

Weekly Highlights*

  • CY 19 forward curve was up
    • NSW = $89.24 (up $2.24)
    • VIC = $99.39 (up $1.39)
    • QLD = $76.61 (up $0.86)
    • SA = $100.21 (unchanged)
  • Q1 19 was up
    • NSW = $105 (up $1.77)
    • VIC = $132 (up $2.27)
    • QLD = $93.75 (unchanged)
    • SA = $137.50 (unchanged)
  • Q2 19 was up
    • NSW = $90.50 (up $1.98)
    • VIC = $97.50 (up $0.20)
    • QLD = $77 (up $1.50)
    • SA = $97.25 (unchanged)
  • Implied at-the-money base load Q1 2019 average rate option volatility settled at 30% in NSW, 30% in VIC, 30.76% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 29.02% in NSW, 12.93% 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, 15.64% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 36.01%, QLD 30.47%, VIC 32.96% and SA 0.56%.

Overall Open Interest has decreased by 9,486 to 48,998 lots. Futures decreased by 6,548 to 38,543 lots and Options decreased by 2,938 to 10,455 lots .

Weekly Volume*^

  • Face Value of electricity traded this week = $262 million
  • Futures contracts traded this week (including Cap futures) = 1,244
    • Base Months = 0
    • Base Quarters = 1,080
    • Peak Quarters = 42
    • Base Cap Quarters = 122
  • Quarterly Average Rate Options traded this week = 0
  • Calendar Year Options traded this week = 55 (220 quarterly equivalent contracts)
  • Financial Year Options traded this week = 60 (240 quarterly equivalent contracts)
  • Volume of EFP this week = 15
  • Volume of Block Trades this week = 270
  • Total MWh traded this week = 3.69 million MWh
  • Open Interest (including caps and options) = 48,998 (representing 140 million MWh and a face value of $9.44 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
  • Dec 18 volume to date = 13,493 / avg daily volume = 710
  • Nov 18 volume to date = 28,376 / avg daily volume = 1,290
  • 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

Subscribe to the Market Wrap by email

Get the Market Wrap delivered to your inbox every Tuesday


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 7 Jan 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Mar 2019 - 0 - 0 - 0 - 0
Apr 2019 - 0 - 0 - 0 - 0
May 2019 - 0 - 0 - 0 - 0
Jun 2019 - 0 - 0 - 0 - 0
Q12019 210 1,843 98 2,166 142 2,170 22 531
Q22019 163 1,841 129 1,909 93 1,366 1 280
Q32019 66 1,835 67 1,448 72 1,457 1 297
Q42019 75 1,703 55 1,519 72 1,469 1 347
Q12020 77 1,002 40 1,315 189 2,007 0 292
Q22020 77 1,021 40 912 135 1,373 0 198
Q32020 62 595 40 667 135 792 0 181
Q42020 64 591 40 619 135 812 0 184
Q12021 0 122 0 278 10 171 0 52
Q22021 0 125 0 299 10 142 0 52
Q32021 0 6 0 72 0 46 0 2
Q42021 0 8 0 57 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 794 10,692 509 11,261 993 11,851 25 2,418

Options Open Interest As at COB Mon 7 Jan 2019

  NSW VIC QLD SA
Mar 2019 460 1,317 690 40
Jun 2019 210 375 425 0
Sep 2019 100 257 125 0
Dec 2019 152 445 100 0
Mar 2020 0 150 75 0
Jun 2020 0 0 0 0
Sep 2020 0 0 50 0
Fin 2020 285 532 1,115 0
Cal 2020 410 727 1,015 0
Fin 2021 20 400 435 0
Cal 2021 25 295 225 0
Fin 2022 0 0 0 0
Cal 2022 0 0 0 0
Total 1,662 4,498 4,255 40