ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 13/05/2019

Weekly Highlights*

  • FY 20 forward curve was down
    • NSW = $88.30 (down $0.71)
    • VIC = $99.49 (down $1.59)
    • QLD = $74.75 (down $0.78)
    • SA = $101.37 (down $0.09)
  • Q2 19 was down
    • NSW = $82.70 (down $0.35)
    • VIC = $99 (down $3)
    • QLD = $72.75 (down $1.75)
    • SA = $99 (down $4.50)
  • Q3 19 was down
    • NSW = $87 (down $1.75)
    • VIC = $94.60 (down $1.15)
    • QLD = $75.42 (down $1.02)
    • SA = $96 (down $0.35)
  • 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 29.59% in NSW, 24.92% in VIC, 23.40% 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, 13.10% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 37.78%, QLD 31.09%, VIC 29.86% and SA 1.27%.

Overall Open Interest has increased by 1,208 to 55,467 lots. Futures increased by 257 to 39,996 lots and Options increased by 951 to 15,471 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $710 million
  • Futures contracts traded this week (including Cap futures) = 1,938
    • Base Months = 0
    • Base Quarters = 1,426
    • Peak Quarters = 65
    • Base Cap Quarters = 447
  • Quarterly Average Rate Options traded this week = 991
  • Calendar Year Options traded this week = 155 (620 quarterly equivalent contracts)
  • Financial Year Options traded this week = 155 (620 quarterly equivalent contracts)
  • Volume of EFP this week = 30
  • Volume of Block Trades this week = 1,355
  • Total MWh traded this week = 9.07 million MWh
  • Open Interest (including caps and options) = 55,467 (representing 178 million MWh and a face value of $12.15 billion approx.)

Monthly Volume*

  • FY 18/19 average daily volume = 823
  • 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
  • May 19 volume to date = 6,687 / avg daily volume = 743
  • Apr 19 total volume = 12,260 / avg daily volume = 645
  • Mar 19 total volume = 20,022 / avg daily volume = 953
  • Feb 19 total volume = 16,582 / avg daily volume = 829
  • Jan 19 total volume = 14,670 / avg daily volume = 667
  • Dec 18 total volume = 13,493 / avg daily volume = 710
  • Nov 18 total volume = 28,376 / avg daily volume = 1,290
  • Oct 18 total volume = 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 13 May 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
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 240 2,198 127 2,058 67 1,624 1 333
Q32019 187 2,015 70 1,574 127 1,610 1 362
Q42019 105 1,941 55 1,596 102 1,639 1 426
Q12020 90 1,445 51 1,503 164 2,111 0 388
Q22020 90 1,290 55 1,106 115 1,463 0 243
Q32020 62 1,000 55 871 110 1,037 0 220
Q42020 64 1,087 41 872 110 1,051 0 230
Q12021 0 394 0 521 10 465 0 199
Q22021 0 398 0 451 10 427 0 70
Q32021 0 222 0 326 0 225 0 21
Q42021 0 220 0 319 0 225 0 20
Q12022 0 10 0 15 0 10 0 0
Q22022 0 10 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 838 12,240 454 11,232 815 11,902 3 2,512

Options Open Interest As at COB Mon 13 May 2019

  NSW VIC QLD SA
Jun 2019 788 710 625 0
Sep 2019 340 525 225 0
Dec 2019 357 670 825 0
Mar 2020 200 761 300 0
Jun 2020 0 25 0 0
Sep 2020 0 150 50 0
Cal 2020 569 1,194 1,250 0
Fin 2021 90 400 885 0
Cal 2021 205 695 705 0
Fin 2022 0 200 215 0
Cal 2022 0 0 0 0
Total 2,549 5,330 5,080 0