ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 29/07/2019

Weekly Highlights*

  • FY 20 forward curve was mixed and little changed
    • NSW = $86.22 (down $0.04)
    • VIC = $106.60 (down $0.54)
    • QLD = $77.32 (up $0.43)
    • SA = $105.53 unch
  • Q3 19 was down
    • NSW = $77.50 (down $1.25)
    • VIC = $93.00 (down $1.50)
    • QLD = $71.25 (down $0.75)
    • SA = $90 unch
  • Q4 19 was down
    • NSW = $84.75 (down $0.50)
    • VIC = $97.00 (down $0.90)
    • QLD = $76.00 (down $0.50)
    • SA = $97 unch
  • 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 17.0%, QLD 52.00%, VIC 30.00% and SA 0%.

Overall Open Interest has increased by 1,698 to 60,782 lots. Futures increased by 1,233 to 41,381 lots and Options increased by 465 to 19,401 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $799 million
  • Futures contracts traded this week (including Cap futures) = 3,611
    • Base Months = 0
    • Base Quarters = 2,616
    • Peak Quarters = 3
    • Base Cap Quarters = 252
  • Quarterly Average Rate Options traded this week = 290
  • Calendar Year Options traded this week = 350 (1,400 quarterly equivalent contracts)
  • Financial Year Options traded this week = 100 (400 quarterly equivalent contracts)
  • Volume of EFP this week = 80
  • Volume of Block Trades this week = 825
  • Total MWh traded this week = 10.87 million MWh
  • Open Interest (including caps and options) = 60,782 (representing 201 million MWh and a face value of $14.6 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,065
  • 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 = 22,355 / avg daily volume = 1,065
  • 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 29 Jul 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Dec 2019 - 0 - 0 - 0 - 0
Q42019 156 2,072 55 1,861 123 1,858 1 445
Q12020 161 1,703 97 1,665 209 2,327 0 481
Q22020 100 1,429 76 1,118 132 1,662 0 303
Q32020 62 1,124 90 1,111 110 1,220 0 258
Q42020 65 1,172 61 1,207 110 1,198 0 264
Q12021 0 580 0 878 10 750 0 217
Q22021 0 442 0 807 10 534 0 108
Q32021 0 273 0 557 0 388 0 56
Q42021 0 285 0 557 0 387 0 55
Q12022 0 72 0 279 0 165 0 0
Q22022 0 73 0 278 0 180 0 0
Q32022 0 20 0 95 0 70 0 0
Q42022 0 20 0 95 0 70 0 0
Q12023 0 0 0 45 0 0 0 0
Q22023 0 0 0 45 0 0 0 0
Total 544 9,265 379 10,598 704 10,809 1 2,187

Options Open Interest As at COB Mon 29 Jul 2019

  NSW VIC QLD SA
Dec 2019 377 1,180 1,150 0
Mar 2020 390 1,066 770 0
Jun 2020 100 200 50 0
Sep 2020 0 300 50 0
Dec 2020 100 100 100 0
Fin 2021 400 950 1,095 0
Cal 2021 205 984 805 0
Fin 2022 50 290 315 0
Cal 2022 0 0 100 0
Fin 2023 0 0 0 0
Total 1,622 5,070 4,435 0