ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 03/06/2019

Weekly Highlights*

  • FY 20 forward curve was mixed
    • NSW = $88.58 (down $1.06)
    • VIC = $102.97 (down $0.22)
    • QLD = $77.15 (up $0.78)
    • SA = $102.73 (down $0.05)
  • Q2 19 was mixed
    • NSW = $83.50 (up $0.75)
    • VIC = $98 (down $0.55)
    • QLD = $75.25 (up $2.50)
    • SA = $92.75 (down $5.75)
  • Q3 19 was mixed
    • NSW = $87 (down $1)
    • VIC = $101.50 (down $0.20)
    • QLD = $78.30 (up $0.90)
    • SA = $98.50 (unchanged)
  • Implied at-the-money base load Q2 2019 average rate option volatility settled at 26.49% 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 24.03% in NSW, 25.32% in VIC, 23.05% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 30% in NSW, 30% in VIC, 21.98% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 53.01%, QLD 30.54%, VIC 13.42% and SA 3.04%.

Overall Open Interest has increased by 1,352 to 57,500 lots. Futures increased by 522 to 41,653 lots and Options decreased by 830 to 15,847 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $845 million
  • Futures contracts traded this week (including Cap futures) = 1,776
    • Base Months = 0
    • Base Quarters = 1,445
    • Peak Quarters = 99
    • Base Cap Quarters = 232
  • Quarterly Average Rate Options traded this week = 435
  • Calendar Year Options traded this week = 665 (2,660 quarterly equivalent contracts)
  • Financial Year Options traded this week = 25 (100 quarterly equivalent contracts)
  • Volume of EFP this week = 95
  • Volume of Block Trades this week = 2,710
  • Total MWh traded this week = 10.79 million MWh
  • Open Interest (including caps and options) = 57,500 (representing 173.27 million MWh and a face value of $11.99 billion approx.)

Monthly Volume*

  • FY 18/19 average daily volume = 851
  • 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 = 20,804 / avg daily volume = 1,074
  • 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 3 Jun 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 291 2,206 152 2,090 67 1,586 1 338
Q32019 197 2,079 70 1,649 127 1,704 1 362
Q42019 115 1,913 55 1,642 102 1,704 1 431
Q12020 91 1,429 96 1,523 179 2,190 0 443
Q22020 95 1,382 75 1,115 115 1,546 0 290
Q32020 62 1,035 90 870 110 1,048 0 249
Q42020 65 1,123 61 925 110 1,052 0 254
Q12021 0 453 0 612 10 498 0 211
Q22021 0 400 0 481 10 455 0 86
Q32021 0 224 0 345 0 280 0 46
Q42021 0 221 0 342 0 270 0 43
Q12022 0 10 0 15 0 30 0 0
Q22022 0 10 0 20 0 35 0 0
Q32022 0 0 0 0 0 15 0 0
Q42022 0 0 0 0 0 15 0 0
Q12023 0 0 0 0 0 0 0 0
Q22023 0 0 0 0 0 0 0 0
Total 916 12,490 599 11,629 830 12,428 3 2,753

Options Open Interest As at COB Mon 3 Jun 2019

  NSW VIC QLD SA
Jun 2019 788 712 625 0
Sep 2019 465 740 560 0
Dec 2019 357 890 1,050 0
Mar 2020 250 911 400 0
Jun 2020 100 200 0 0
Sep 2020 0 150 50 0
Cal 2020 974 1,320 1,735 0
Fin 2021 90 400 910 0
Cal 2021 205 770 680 0
Fin 2022 0 200 215 0
Cal 2022 0 0 100 0
Fin 2023 0 0 0 0
Total 3,229 6,293 6,325 0