ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 08/07/2019

Weekly Highlights*

  • FY 20 forward curve was mostly down
    • NSW = $88.29 (down $1.67)
    • VIC = $108.30 (down $1.95)
    • QLD = $79.15 (up $0.12)
    • SA = $105.67 (down $2.23)
  • Q3 19 was down
    • NSW = $83 (down $3)
    • VIC = $99 (down $5.84)
    • QLD = $78.30 (down $0.90)
    • SA = $95 (down $9.25)
  • Q4 19 was down
    • NSW = $97 (unchanged)
    • VIC = $98.75 (down $2.09)
    • QLD = $77.50 (down $1)
    • SA = $97 (unchanged)
  • Implied at-the-money base load Q3 2019 average rate option volatility settled at 28.56% in NSW, 30% in VIC, 27.62% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 29.77% in NSW, 24.66% in VIC, 22.87% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 24.01% in NSW, 30% in VIC, 22.66% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 13.74%, QLD 51.98%, VIC 32.74% and SA 0%.

Overall Open Interest has decreased by 605 to 55,776 lots. Futures increased by 859 to 38,465 lots and Options decreased by 1,464 to 17,311.

Weekly Volume*^

  • Face Value of electricity traded this week = $1,058 million
  • Futures contracts traded this week (including Cap futures) = 3,060
    • Base Months = 0
    • Base Quarters = 2,736
    • Peak Quarters = 37
    • Base Cap Quarters = 287
  • Quarterly Average Rate Options traded this week = 375
  • Calendar Year Options traded this week = 335 (1,340 quarterly equivalent contracts)
  • Financial Year Options traded this week = 355 (1,420 quarterly equivalent contracts)
  • Volume of EFP this week = 116
  • Volume of Block Trades this week = 3,230
  • Total MWh traded this week = 13.54 million MWh
  • Open Interest (including caps and options) = 55,776 (representing 185.6 million MWh and a face value of $13.63 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,116
  • FY 18/19 average daily volume = 865
  • 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
  • Jul 19 volume to date = 6,695 / avg daily volume = 1,116
  • Jun 19 total volume = 20,563 / avg daily volume = 1,028
  • May 19 total volume = 24,896 / avg daily volume = 1,082
  • 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
*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 9 Jul 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Q22020 100 1,402 76 1,154 132 1,668 0 310
Q32020 62 1,101 90 1,048 110 1,184 0 264
Q42020 65 1,140 61 1,158 110 1,148 0 269
Q12021 0 479 0 751 10 663 0 210
Q22021 0 397 0 708 10 514 0 105
Q32021 0 246 0 369 0 373 0 53
Q42021 0 262 0 366 0 360 0 52
Q12022 0 47 0 45 0 85 0 0
Q22022 0 47 0 50 0 90 0 0
Q32022 0 0 0 5 0 15 0 0
Q42022 0 0 0 5 0 15 0 0
Q12023 0 0 0 0 0 0 0 0
Q22023 0 0 0 0 0 0 0 0
Total 227 5,121 227 5,659 372 6,115 0 1,263

Options Open Interest As at COB Tue 9 Jul 2019

  NSW VIC QLD SA
Jun 2020 100 200 50 0
Sep 2020 0 300 50 0
Dec 2020 0 0 100 0
Cal 2021 205 889 730 0
Fin 2022 50 200 290 0
Cal 2022 0 0 100 0
Fin 2023 0 0 0 0
Total 355 1,589 1,320 0