ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 04/02/2019

Weekly Highlights*

  • CY 19 forward curve was mixed
    • NSW = $95.57 (down $1.36)
    • VIC = $113.67 (down $0.66)
    • QLD = $78.10 (down $2.44)
    • SA = $111.58 (up $0.12)
  • Q1 19 was down
    • NSW = $117 (down $7.50)
    • VIC = $171 (down $2)
    • QLD = $93.75 (down $6.75)
    • SA = $170 (unchanged)
  • Q2 19 was mixed
    • NSW = $96.50 (up $1.50)
    • VIC = $105.92 (up $1.92)
    • QLD = $77.75 (down $1.75)
    • SA = $102 (up $0.25)
  • 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 30.76% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 29.48% in NSW, 30% 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, 15.28% in VIC, 14.43% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 30.96%, QLD 35.39%, VIC 32.23% and SA 1.42%.

Overall Open Interest has increased by 944 to 51,616 lots. Futures increased by 651 to 40,379 lots and Options increased by 293 to 11,237 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $607 million
  • Futures contracts traded this week (including Cap futures) = 3,086
    • Base Months = 0
    • Base Quarters = 1,943
    • Peak Quarters = 0
    • Base Cap Quarters = 680
  • Quarterly Average Rate Options traded this week = 176
  • Calendar Year Options traded this week = 47 (188 quarterly equivalent contracts)
  • Financial Year Options traded this week = 240 (960 quarterly equivalent contracts)
  • Volume of EFP this week = 166
  • Volume of Block Trades this week = 780
  • Total MWh traded this week = 8.65 million MWh
  • Open Interest (including caps and options) = 51,616 (representing 150 million MWh and a face value of $10.58 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 826
  • 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
  • Feb 19 volume to date = 969 / avg daily volume = 485
  • Jan 19 volume to date = 14,670 / avg daily volume = 651
  • 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 4 Feb 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 1,827 129 1,878 93 1,369 1 298
Q32019 94 1,882 67 1,387 102 1,443 1 319
Q42019 75 1,777 55 1,547 102 1,485 1 382
Q12020 77 1,172 40 1,456 164 2,007 0 302
Q22020 77 1,155 40 991 110 1,398 0 208
Q32020 62 734 40 707 135 853 0 191
Q42020 64 715 40 645 135 875 0 194
Q12021 0 153 0 330 10 215 0 54
Q22021 0 150 0 345 10 179 0 54
Q32021 0 38 0 117 0 56 0 4
Q42021 0 38 0 102 0 56 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 9,651 411 9,505 861 9,936 3 2,010

Options Open Interest As at COB Mon 4 Feb 2019

  NSW VIC QLD SA
Jun 2019 209 450 425 0
Sep 2019 100 257 125 0
Dec 2019 152 445 100 0
Mar 2020 0 250 75 0
Jun 2020 0 0 0 0
Sep 2020 0 0 50 0
Fin 2020 345 592 1,250 0
Cal 2020 494 814 1,070 0
Fin 2021 20 400 485 0
Cal 2021 75 295 250 0
Fin 2022 0 0 0 0
Cal 2022 0 0 0 0
Total 1,395 3,503 3,830 0