ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 11/02/2019

Weekly Highlights*

  • CY 19 forward curve was mixed
    • NSW = $94.69 (down $0.88)
    • VIC = $111.03 ( down $2.64)
    • QLD = $79.15 (up $1.05)
    • SA = $111.28 (down $0.30)
  • Q1 19 was mixed
    • NSW = $116.50 (down $0.50)
    • VIC = $166 (down $5)
    • QLD = $97.40 (up $3.65)
    • SA = $168.75 (down $1.25)
  • Q2 19 was mixed
    • NSW = $96.50 (unchanged)
    • VIC = $103.50 (down $2.42)
    • QLD = $79 (up $1.25)
    • SA = $102 (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 2% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 25.88% 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, 15.77% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 33.71%, QLD 49.71%, VIC 15.42% and SA 1.16%.

Overall Open Interest has increased by 806 to 52,422 lots. Futures increased by 491 to 40,870 lots and Options increased by 315 to 11,552 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $385 million
  • Futures contracts traded this week (including Cap futures) = 1,786
    • Base Months = 0
    • Base Quarters = 1,100
    • Peak Quarters = 240
    • Base Cap Quarters = 446
  • Quarterly Average Rate Options traded this week = 295
  • Calendar Year Options traded this week = 10 (40 quarterly equivalent contracts)
  • Financial Year Options traded this week = 115 (460 quarterly equivalent contracts)
  • Volume of EFP this week = 10
  • Volume of Block Trades this week = 760
  • Total MWh traded this week = 5.36 million MWh
  • Open Interest (including caps and options) = 52,422 (representing 151 million MWh and a face value of $10.64 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 816
  • 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 = 3,550 / avg daily volume = 507
  • Jan 19 volume to date = 14,670 / avg daily volume = 667
  • 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 11 Feb 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q32019 124 1,917 67 1,416 127 1,453 1 319
Q42019 105 1,809 55 1,574 102 1,500 1 382
Q12020 81 1,193 41 1,471 164 2,009 0 302
Q22020 82 1,178 40 1,010 115 1,403 0 208
Q32020 62 739 40 712 110 858 0 191
Q42020 64 723 40 633 110 880 0 194
Q12021 0 153 0 330 10 225 0 54
Q22021 0 150 0 350 10 189 0 54
Q32021 0 38 0 117 0 61 0 4
Q42021 0 38 0 102 0 61 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 518 7,938 283 7,715 748 8,639 2 1,712

Options Open Interest As at COB Mon 11 Feb 2019

  NSW VIC QLD SA
Sep 2019 100 257 125 0
Dec 2019 152 445 100 0
Mar 2020 0 275 75 0
Jun 2020 0 0 0 0
Sep 2020 0 0 50 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 841 2,486 2,155 0