ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 12/08/2019

Weekly Highlights*

  • FY 20 forward curve mixed
    • NSW = $86.38 (down $0.44)
    • VIC = $107.84 (up $1.93)
    • QLD = $76.63 (up $0.23)
    • SA = $103.71 (down $0.63)
  • Q4 19 was mixed
    • NSW = $85.15 (down $0.10)
    • VIC = $98 (up $2.75)
    • QLD = $75 (up $0.25)
    • SA = $94 (up $1)
  • Q1 20 was mixed
    • NSW = $105.25 (up $1)
    • VIC = $147.75 (up $1.75)
    • QLD = $95.25 (down $1.50)
    • SA = $150 (unchanged)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 33% in NSW, 30% in VIC, 33% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 23.71% in NSW, 23.01% in VIC, 22.87% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 22.85% in NSW, 22.37% in VIC, 30% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 24.69%, QLD 36.72%, VIC 36.01% and SA 2.59%.

Overall Open Interest has increased by 2,001 to 64,601 lots. Futures increased by 1,316 to 43,710 lots and Options increased by 685 to 20,891 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $916.04 million
  • Futures contracts traded this week (including Cap futures) = 3,489
    • Base Months = 31
    • Base Quarters = 3,031
    • Peak Quarters = 30
    • Base Cap Quarters = 397
  • Quarterly Average Rate Options traded this week = 630
  • Calendar Year Options traded this week = 275 (1,100 quarterly equivalent contracts)
  • Financial Year Options traded this week = 75 (300 quarterly equivalent contracts)
  • Volume of EFP this week = 70
  • Volume of Block Trades this week = 1,290
  • Total MWh traded this week = 12.02 million MWh
  • Open Interest (including caps and options) = 64,601 (representing 213.4 million MWh and a face value of $15.60 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,061
  • 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 = 24,389 / avg daily volume = 1,060
  • 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 12 Aug 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Oct 2019 - 0 - 0 - 0 - 0
Nov 2019 - 0 - 0 - 0 - 0
Dec 2019 - 0 - 0 - 0 - 0
Q42019 156 2,117 55 1,945 125 1,942 1 410
Q12020 161 1,715 126 1,773 209 2,368 0 481
Q22020 100 1,485 76 1,250 132 1,673 0 303
Q32020 62 1,140 90 1,185 110 1,265 0 258
Q42020 65 1,246 61 1,266 110 1,250 0 264
Q12021 0 702 0 891 10 801 0 232
Q22021 0 524 0 835 10 573 0 112
Q32021 0 373 0 601 0 444 0 76
Q42021 0 389 0 642 0 458 0 75
Q12022 0 127 0 339 0 214 0 0
Q22022 0 128 0 347 0 219 0 2
Q32022 0 45 0 144 0 70 0 0
Q42022 0 45 0 144 0 70 0 0
Q12023 0 0 0 85 0 0 0 0
Q22023 0 0 0 85 0 0 0 0
Total 544 10,036 408 11,532 706 11,347 1 2,213

Options Open Interest As at COB Mon 12 Aug 2019

  NSW VIC QLD SA
Dec 2019 477 1,285 1,275 0
Mar 2020 390 1,346 895 0
Jun 2020 100 200 50 0
Sep 2020 0 300 50 0
Dec 2020 200 250 100 0
Cal 2020 1,569 1,919 2,355 0
Fin 2021 425 975 1,120 0
Cal 2021 280 984 805 0
Fin 2022 50 290 315 0
Cal 2022 50 50 100 0
Fin 2023 0 0 0 0
Total 3,541 7,599 7,065 0