ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 25/01/2019

Weekly Highlights*

  • CY 19 forward curve was up
    • NSW = $96.93 (up $1.92)
    • VIC = $114.33 (up $11.82)
    • QLD = $80.54 (up $1.24)
    • SA = $111.46 (up $8.83)
  • Q1 19 was up
    • NSW = $124.50 (up $8)
    • VIC = $173 (up $41.50)
    • QLD = $100.50 (up $4)
    • SA = $170 (up $32.50)
  • Q2 19 was up
    • NSW = $95 (up $0.25)
    • VIC = $104 (up $1.02)
    • QLD = $78.75 (up $0.50)
    • SA = $101.75 (unchanged)
  • Implied at-the-money base load Q1 2019 average rate option volatility settled at 30% in NSW, 34.27% in VIC, 34.99% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 29.25% in NSW, 25.43% 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, 14.43% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 20.84%, QLD 17.77%, VIC 60.42% and SA 0.97%.

Overall Open Interest has increased by 261 to 50,672 lots. Futures increased by 97 to 39,728 lots and Options increased by 164 to 10,944 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $519 million
  • Futures contracts traded this week (including Cap futures) = 2,284
    • Base Months = 0
    • Base Quarters = 1,614
    • Peak Quarters = 7
    • Base Cap Quarters = 404
  • Quarterly Average Rate Options traded this week = 56
  • Calendar Year Options traded this week = 92 (368 quarterly equivalent contracts)
  • Financial Year Options traded this week = 111 (444 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 425
  • Total MWh traded this week = 6.32 million MWh
  • Open Interest (including caps and options) = 50,672 (representing 147 million MWh and a face value of $10.44 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 833
  • 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
  • Jan 19 volume to date = 11,692 / avg daily volume = 650
  • 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 Fri 25 Jan 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Feb 2019 - 0 - 0 - 0 - 0
Mar 2019 - 0 - 0 - 0 - 0
Apr 2019 - 0 - 0 - 0 - 0
May 2019 - 5 - 0 - 0 - 0
Jun 2019 - 5 - 0 - 0 - 0
Q12019 210 1,940 100 2,270 142 2,100 22 521
Q22019 163 1,826 129 1,872 93 1,367 1 298
Q32019 94 1,845 67 1,393 102 1,483 1 319
Q42019 75 1,741 55 1,519 102 1,509 1 382
Q12020 77 1,068 40 1,458 164 2,036 0 302
Q22020 77 1,071 40 977 110 1,399 0 208
Q32020 62 656 40 701 135 837 0 191
Q42020 64 656 40 635 135 851 0 194
Q12021 0 143 0 313 10 166 0 54
Q22021 0 140 0 335 10 152 0 54
Q32021 0 28 0 117 0 46 0 4
Q42021 0 28 0 102 0 46 0 4
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 822 11,152 511 11,692 1,003 11,992 25 2,531

Options Open Interest As at COB Fri 25 Jan 2019

  NSW VIC QLD SA
Mar 2019 460 1,310 715 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 345 592 1,205 0
Cal 2020 489 804 1,070 0
Fin 2021 20 400 435 0
Cal 2021 75 295 225 0
Fin 2022 0 0 0 0
Cal 2022 0 0 0 0
Total 1,851 4,628 4,425 40