ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 23/04/2019

Weekly Highlights*

  • FY 20 forward curve was mixed
    • NSW = $89.47 (down $0.54)
    • VIC = $101.04 (down $0.61)
    • QLD = $74.97 (up $0.36)
    • SA = $101.49 (up $1.03)
  • Q2 19 was down
    • NSW = $87.50 (unchanged)
    • VIC = $105.50 (down $0.25)
    • QLD = $74.75 (unchanged)
    • SA = $105 (unchanged)
  • Q3 19 was mixed
    • NSW = $89.25 (down $0.65)
    • VIC = $95.75 (down $1)
    • QLD = $76.75 (unchanged)
    • SA = $96 (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 29.77% in NSW, 25.58% in VIC, 22.83% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 11.04% in NSW, 7.50% in VIC, 14.70% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 24.78%, QLD 44.25%, VIC 28.04% and SA 2.92%.

Overall Open Interest has increased by 1,181 to 52,660 lots. Futures increased by 241 to 38,930 lots and Options increased by 940 to 13,730 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $338 million
  • Futures contracts traded this week (including Cap futures) = 2,086
    • Base Months = 0
    • Base Quarters = 673
    • Peak Quarters = 15
    • Base Cap Quarters = 258
  • Quarterly Average Rate Options traded this week = 940
  • Calendar Year Options traded this week = 50 (200 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 25
  • Volume of Block Trades this week = 1,125
  • Total MWh traded this week = 4.57 million MWh
  • Open Interest (including caps and options) = 52,660 (representing 170 million MWh and a face value of $11.6 billion approx.)

Monthly Volume*

  • FY 18/19 average daily volume = 835
  • 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 = 9,849 / avg daily volume = 704
  • 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 Tue 23 Apr 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Aug 2019 - 0 - 0 - 0 - 0
Sep 2019 - 0 - 0 - 0 - 0
Q32019 177 1,972 67 1,451 127 1,568 1 367
Q42019 105 1,958 55 1,615 102 1,576 1 431
Q12020 89 1,427 41 1,509 164 1,997 0 376
Q22020 90 1,270 55 1,080 115 1,385 0 232
Q32020 62 955 55 862 110 948 0 209
Q42020 64 1,021 41 851 110 974 0 219
Q12021 0 362 0 522 10 438 0 195
Q22021 0 370 0 455 10 411 0 68
Q32021 0 205 0 330 0 235 0 19
Q42021 0 210 0 323 0 235 0 18
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 587 9,750 314 9,033 748 9,792 2 2,134

Options Open Interest As at COB Tue 23 Apr 2019

  NSW VIC QLD SA
Sep 2019 175 525 175 0
Dec 2019 206 620 575 0
Mar 2020 0 535 250 0
Jun 2020 0 25 0 0
Sep 2020 0 0 50 0
Cal 2020 494 1,089 1,150 0
Fin 2021 90 400 885 0
Cal 2021 155 695 705 0
Fin 2022 0 200 215 0
Cal 2022 0 0 0 0
Total 1,120 4,089 4,005 0