ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 26/08/2019

Weekly Highlights*

  • FY 20 forward curve was mixed
    • NSW = $87.73 (up $1.05)
    • VIC = $109.23 (up $1.74)
    • QLD = $75.97 (down $1.75)
    • SA = $102.95 (down $0.51)
  • Q4 19 was mixed
    • NSW = $86 (up $1)
    • VIC = $98.10 (up $0.87)
    • QLD = $74.75 (down $0.50)
    • SA = $93 (unchanged)
  • Q1 20 was mixed
    • NSW = $107.81 (up $0.81)
    • VIC = $155 (up $6)
    • QLD = $98 (down $1.75)
    • SA = $151 (up $1)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 29% 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, 30% 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, 23.37% in VIC, 30% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 19.99%, QLD 46.71%, VIC 32.11% and SA 1.19%.

Overall Open Interest has increased by 2,171 to 69,264 lots. Futures increased by 1,013 to 45,930 lots and Options increased by 1,158 to 23,334 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1.08 billion
  • Futures contracts traded this week (including Cap futures) = 2,978
    • Base Months = 0
    • Base Quarters = 2,547
    • Peak Quarters = 97
    • Base Cap Quarters = 334
  • Quarterly Average Rate Options traded this week = 1,032
  • Calendar Year Options traded this week = 286 (1,144 quarterly equivalent contracts)
  • Financial Year Options traded this week = 200 (800 quarterly equivalent contracts)
  • Volume of EFP this week = 150
  • Volume of Block Trades this week = 1,735
  • Total MWh traded this week = 12.94 million MWh
  • Open Interest (including caps and options) = 69,264 (representing 229.54 million MWh and a face value of $16.94 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,139
  • 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 = 22,307 / avg daily volume = 1,239
  • 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 26 Aug 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Sep 2019 - 0 - 43 - 0 - 0
Oct 2019 - 0 - 0 - 0 - 0
Nov 2019 - 0 - 0 - 0 - 0
Dec 2019 - 0 - 0 - 0 - 0
Q32019 207 2,274 103 1,898 143 2,021 1 334
Q42019 166 2,294 55 1,956 142 2,039 1 380
Q12020 161 1,932 126 1,741 219 2,460 0 457
Q22020 100 1,522 76 1,334 142 1,688 0 303
Q32020 62 1,209 90 1,181 120 1,368 0 258
Q42020 73 1,307 61 1,270 120 1,352 0 264
Q12021 0 870 0 918 10 960 0 235
Q22021 0 581 0 840 10 652 0 117
Q32021 0 408 0 632 0 502 0 79
Q42021 0 419 0 665 0 516 0 78
Q12022 0 157 0 349 0 264 0 0
Q22022 0 158 0 372 0 269 0 2
Q32022 0 65 0 149 0 72 0 0
Q42022 0 65 0 149 0 72 0 0
Q12023 0 0 0 98 0 0 0 0
Q22023 0 0 0 98 0 0 0 0
Total 769 13,261 511 13,693 906 14,235 2 2,507

Options Open Interest As at COB Mon 26 Aug 2019

  NSW VIC QLD SA
Sep 2019 586 1,234 872 0
Dec 2019 868 1,286 1,500 0
Mar 2020 540 1,695 905 0
Jun 2020 150 200 100 0
Sep 2020 100 300 150 0
Dec 2020 300 250 100 0
Cal 2020 1,794 2,000 2,520 0
Fin 2021 525 1,000 1,395 0
Cal 2021 280 1,024 805 0
Fin 2022 50 290 315 0
Cal 2022 50 50 100 0
Fin 2023 0 0 0 0
Total 5,243 9,329 8,762 0