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
Apr 2019 - 0 - 0 - 0 - 0
May 2019 - 5 - 0 - 0 - 0
Jun 2019 - 5 - 0 - 0 - 0
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 612 9,212 411 9,422 861 9,892 3 2,010

Options Open Interest As at COB Fri 25 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
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 1,391 3,318 3,710 0