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

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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 7 Jan 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jun 2019 - 0 - 0 - 0 - 0
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 584 8,849 411 9,095 851 9,681 3 1,887

Options Open Interest As at COB Mon 7 Jan 2019

  NSW VIC QLD SA
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
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 917 2,649 2,450 0