ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 19/08/2019

Weekly Highlights*

  • FY 20 forward curve was mixed
    • NSW = $86.68 (up $0.30)
    • VIC = $107.49 (down $0.35)
    • QLD = $77.72 (up $1.09)
    • SA = $103.46 (down $0.25)
  • Q4 19 was mixed
    • NSW = $85 (down $0.15)
    • VIC = $97.23 (down $0.77)
    • QLD = $75.25 (up $0.25)
    • SA = $93 (down $1)
  • Q1 20 was mixed
    • NSW = $107 (up $1.75)
    • VIC = $149 (up $1.25)
    • QLD = $99.75 (up $4.50)
    • SA = $150 (unchanged)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 33.44% in NSW, 30% in VIC, 33.18% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 23.71% in NSW, 23.06% in VIC, 23.26% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 22.85% in NSW, 23.03% in VIC, 23.14% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 35.01%, QLD 35.93%, VIC 28.76% and SA 0.00%.

Overall Open Interest has increased by 2,492 to 67,093 lots. Futures increased by 1,207 to 44,917 lots and Options increased by 1,285 to 22,176 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1.35 billion
  • Futures contracts traded this week (including Cap futures) = 3,784
    • Base Months = 0
    • Base Quarters = 2,912
    • Peak Quarters = 29
    • Base Cap Quarters = 807
  • Quarterly Average Rate Options traded this week = 890
  • Calendar Year Options traded this week = 605 (2,420 quarterly equivalent contracts)
  • Financial Year Options traded this week = 200 (800 quarterly equivalent contracts)
  • Volume of EFP this week = 40
  • Volume of Block Trades this week = 4,446
  • Total MWh traded this week = 17.20 million MWh
  • Open Interest (including caps and options) = 67,093 (representing 222.72 million MWh and a face value of $16.38 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,131
  • 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
  • Aug 19 volume to date = 16,353 / avg daily volume = 1,257
  • 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 19 Aug 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Nov 2019 - 0 - 0 - 0 - 0
Dec 2019 - 0 - 0 - 0 - 0
Q42019 161 2,202 55 1,948 125 2,027 1 410
Q12020 161 1,885 126 1,784 209 2,461 0 481
Q22020 100 1,485 76 1,327 132 1,698 0 303
Q32020 62 1,178 90 1,187 110 1,320 0 258
Q42020 73 1,264 61 1,272 110 1,329 0 264
Q12021 0 806 0 907 10 874 0 233
Q22021 0 567 0 824 10 607 0 113
Q32021 0 398 0 606 0 447 0 77
Q42021 0 414 0 641 0 461 0 76
Q12022 0 137 0 334 0 214 0 0
Q22022 0 138 0 362 0 219 0 2
Q32022 0 55 0 149 0 72 0 0
Q42022 0 55 0 149 0 72 0 0
Q12023 0 0 0 88 0 0 0 0
Q22023 0 0 0 88 0 0 0 0
Total 557 10,584 408 11,666 706 11,801 1 2,217

Options Open Interest As at COB Mon 19 Aug 2019

  NSW VIC QLD SA
Dec 2019 667 1,285 1,275 0
Mar 2020 490 1,446 905 0
Jun 2020 100 200 50 0
Sep 2020 100 300 150 0
Dec 2020 300 250 100 0
Fin 2021 525 1,000 1,195 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 2,562 5,805 4,895 0