ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 08/04/2019

Weekly Highlights*

  • FY 20 forward curve was mixed
    • NSW = $89.65 (down $0.46)
    • VIC = $101.66 (down $0.30)
    • QLD = $74.65 (down $1.62)
    • SA = $102.09 (up $0.02)
  • Q2 19 was mixed
    • NSW = $89 (down $3.75)
    • VIC = $106 (up $2)
    • QLD = $75.50 (down $3.75)
    • SA = $105 (up $2)
  • Q3 19 was mixed
    • NSW = $89.75 (unchanged)
    • VIC = $97 (up $0.75)
    • QLD = $75.97 (down $1.23)
    • SA = $96.75 (unchanged)
  • Implied at-the-money base load Q2 2019 average rate option volatility settled at 30% in NSW, 30% in VIC, 29.43% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 24.39% in NSW, 25.58% in VIC, 22.90% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 13.89% in NSW, 7.50% in VIC, 14.70% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 17.32%, QLD 40.13%, VIC 42.43% and SA 0%.

Overall Open Interest has decreased by 9,475 to 50,490 lots. Futures decreased by 7,250 to 38,115 lots and Options decreased by 2,225 to 12,375 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $566 million
  • Futures contracts traded this week (including Cap futures) = 1,764
    • Base Months = 0
    • Base Quarters = 1,394
    • Peak Quarters = 37
    • Base Cap Quarters = 333
  • Quarterly Average Rate Options traded this week = 90
  • Calendar Year Options traded this week = 210 (840 quarterly equivalent contracts)
  • Financial Year Options traded this week = 175 (700 quarterly equivalent contracts)
  • Volume of EFP this week = 175
  • Volume of Block Trades this week = 325
  • Total MWh traded this week = 7.40 million MWh
  • Open Interest (including caps and options) = 50,490 (representing 164 million MWh and a face value of $11 billion approx.)

Monthly Volume*

  • FY 18/19 average daily volume = 840
  • 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
  • Apr 19 volume to date = 4,164 / avg daily volume = 694
  • 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

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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 8 Apr 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Apr 2019 - 30 - 0 - 0 - 0
May 2019 - 5 - 0 - 0 - 0
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 225 2,134 127 2,046 57 1,645 1 338
Q32019 124 1,900 67 1,428 127 1,480 1 367
Q42019 105 1,906 55 1,571 102 1,510 1 426
Q12020 89 1,399 41 1,495 164 1,995 0 359
Q22020 90 1,252 55 1,040 115 1,382 0 217
Q32020 62 942 55 853 110 909 0 194
Q42020 64 1,006 40 834 110 926 0 204
Q12021 0 360 0 527 10 381 0 188
Q22021 0 373 0 461 10 361 0 61
Q32021 0 196 0 334 0 230 0 11
Q42021 0 199 0 327 0 230 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 759 11,707 440 10,951 805 11,074 3 2,376

Options Open Interest As at COB Mon 8 Apr 2019

  NSW VIC QLD SA
Jun 2019 704 700 550 0
Sep 2019 100 360 150 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
Fin 2020 440 742 1,385 0
Cal 2020 494 1,079 1,150 0
Fin 2021 90 400 885 0
Cal 2021 105 635 655 0
Fin 2022 0 200 165 0
Cal 2022 0 0 0 0
Total 2,089 5,071 5,215 0