ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 22/07/2019

Weekly Highlights*

  • FY 20 forward curve was down
    • NSW = $86.26 (down $0.65)
    • VIC = $107.14 (down 2.06)
    • QLD = $76.89 (down $0.24)
    • SA = $105.53 (down $2.20)
  • Q3 19 was down
    • NSW = $78.75 (down $1.50)
    • VIC = $94.50 (down $3.75)
    • QLD = $72 (down $1.50)
    • SA = $90 (down $5)
  • Q4 19 was mixed
    • NSW = $85.25 (up $0.25)
    • VIC = $97.90 (down $3.60)
    • QLD = $76.50 (down $0.25)
    • SA = $97 (down $2.75)
  • Implied at-the-money base load Q3 2019 average rate option volatility settled at 30% in NSW, 30% in VIC, 27.15% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 17.61% in NSW, 23.06% in VIC, 23.10% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 24.01% in NSW, 23.03% in VIC, 23.06% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 25.84%, QLD 38.85%, VIC 34.21% and SA 1%.

Overall Open Interest has increased by 926 to 59,084 lots. Futures increased by 341 to 40,148 lots and Options increased by 585 to 18,936 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $596 million
  • Futures contracts traded this week (including Cap futures) = 3,405
    • Base Months = 0
    • Base Quarters = 1,853
    • Peak Quarters = 0
    • Base Cap Quarters = 217
  • Quarterly Average Rate Options traded this week = 515
  • Calendar Year Options traded this week = 185 (740 quarterly equivalent contracts)
  • Financial Year Options traded this week = 20 (80 quarterly equivalent contracts)
  • Volume of EFP this week = 233
  • Volume of Block Trades this week = 1,045
  • Total MWh traded this week = 7.48 million MWh
  • Open Interest (including caps and options) = 59,084 (representing 196 million MWh and a face value of $14.16 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,087
  • 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 = 17,394 / avg daily volume = 1,087
  • 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 Mon 22 Jul 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Aug 2019 - 30 - 0 - 0 - 0
Sep 2019 - 0 - 28 - 0 - 0
Oct 2019 - 0 - 0 - 0 - 0
Nov 2019 - 0 - 0 - 0 - 0
Dec 2019 - 0 - 0 - 0 - 0
Q32019 207 2,232 103 1,816 142 1,901 1 369
Q42019 154 2,041 55 1,784 123 1,854 1 445
Q12020 161 1,706 96 1,693 209 2,326 0 481
Q22020 100 1,442 76 1,126 132 1,652 0 303
Q32020 62 1,114 90 1,093 110 1,182 0 258
Q42020 65 1,168 61 1,210 110 1,162 0 264
Q12021 0 533 0 859 10 640 0 217
Q22021 0 428 0 795 10 471 0 108
Q32021 0 261 0 509 0 328 0 56
Q42021 0 277 0 509 0 313 0 55
Q12022 0 52 0 248 0 100 0 0
Q22022 0 53 0 248 0 110 0 0
Q32022 0 0 0 65 0 25 0 0
Q42022 0 0 0 65 0 25 0 0
Q12023 0 0 0 0 0 0 0 0
Q22023 0 0 0 0 0 0 0 0
Total 749 11,337 481 12,048 846 12,089 2 2,556

Options Open Interest As at COB Mon 22 Jul 2019

  NSW VIC QLD SA
Sep 2019 580 1,224 872 0
Dec 2019 377 1,180 1,100 0
Mar 2020 390 1,066 665 0
Jun 2020 100 200 50 0
Sep 2020 0 300 50 0
Dec 2020 100 100 100 0
Cal 2020 1,414 1,894 2,225 0
Fin 2021 390 950 1,095 0
Cal 2021 205 889 755 0
Fin 2022 50 200 315 0
Cal 2022 0 0 100 0
Fin 2023 0 0 0 0
Total 3,606 8,003 7,327 0