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
^volume includes futures trades which result from option exercise, face value of options calculated at strike price
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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 |