ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 01/04/2019

Weekly Highlights*

  • CY 19 forward curve was mixed on the week
    • NSW = $92.45 (up $0.05)
    • VIC = $114.12 (down $0.09)
    • QLD = $79.27 (down $0.12)
    • SA = $112.91 (up $1.42)
  • Q2 19 was mixed
    • NSW = $93.95 (up $0.45)
    • VIC = $103 (unchanged
    • QLD = $79.25 (down $0.45)
    • SA = $102 (unchanged)
  • Q3 19 was mixed
    • NSW = $89.75 (down $1.25)
    • VIC = $96.25 (down $0.93)
    • QLD = $77.20 (down $1.07)
    • SA = $96.75 (up $1.75)
  • Implied at-the-money base load Q2 2019 average rate option volatility settled at 30% in NSW, 30% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 23.99% in NSW, 22.96% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 14.46% in NSW, 7.50% in VIC, 14.39% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 17.50%, QLD 20.17%, VIC 57.67% and SA 4.66%.

Overall Open Interest has increased by 479 to 59,965 lots. Futures increased by 382 to 45,365 lots and Options increased by 106 to 14,600 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $486 million
  • Futures contracts traded this week (including Cap futures) = 2,416
    • Base Months = 0
    • Base Quarters = 1,924
    • Peak Quarters = 10
    • Base Cap Quarters = 482
  • Quarterly Average Rate Options traded this week = 20
  • Calendar Year Options traded this week = 101 (404 quarterly equivalent contracts)
  • Financial Year Options traded this week = 20 (80 quarterly equivalent contracts)
  • Volume of EFP this week = 245
  • Volume of Block Trades this week = 200
  • Total MWh traded this week = 6.39 million MWh
  • Open Interest (including caps and options) = 59,965 (representing 182 million MWh and a face value of $13 billion approx.)

Monthly Volume*

  • FY 18/19 average daily volume = 844
  • 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
  • Mar 19 volume to date = 20,792 / avg daily volume = 945
  • Feb 19 volume to date = 16,582 / avg daily volume = 829
  • 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

Subscribe to the Market Wrap by email

Get the Market Wrap delivered to your inbox every Tuesday


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 1 Apr 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jun 2019 - 5 - 0 - 0 - 0
Jul 2019 - 0 - 0 - 0 - 0
Aug 2019 - 0 - 0 - 0 - 0
Sep 2019 - 0 - 0 - 0 - 0
Q22019 224 2,067 126 2,013 57 1,629 1 338
Q32019 124 1,912 67 1,406 127 1,449 1 367
Q42019 105 1,861 55 1,562 102 1,491 1 426
Q12020 89 1,374 41 1,519 164 1,977 0 359
Q22020 90 1,254 40 1,055 115 1,372 0 217
Q32020 62 935 40 855 110 909 0 194
Q42020 64 1,001 40 822 110 926 0 204
Q12021 0 360 0 507 10 369 0 186
Q22021 0 369 0 451 10 349 0 61
Q32021 0 194 0 329 0 218 0 11
Q42021 0 197 0 322 0 218 0 11
Q12022 0 0 0 15 0 10 0 0
Q22022 0 0 0 20 0 15 0 0
Q32022 0 0 0 0 0 0 0 0
Q42022 0 0 0 0 0 0 0 0
Q12023 0 0 0 0 0 0 0 0
Q22023 0 0 0 0 0 0 0 0
Total 758 11,529 409 10,876 805 10,932 3 2,374

Options Open Interest As at COB Mon 1 Apr 2019

  NSW VIC QLD SA
Jun 2019 689 700 550 0
Sep 2019 100 285 150 0
Dec 2019 156 545 125 0
Mar 2020 0 385 100 0
Jun 2020 0 25 0 0
Sep 2020 0 0 50 0
Cal 2020 494 1,045 1,150 0
Fin 2021 90 400 885 0
Cal 2021 100 575 595 0
Fin 2022 0 200 165 0
Cal 2022 0 0 0 0
Total 1,629 4,160 3,770 0