ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 02/09/2019

Weekly Highlights*

  • FY 20 forward curve was mixed
    • NSW = $87.85 (up $0.12)
    • VIC = $111.03 (up $1.80)
    • QLD = $73.50 (down $2.47)
    • SA = $104.77 (up $1.82)
  • Q4 19 was mixed
    • NSW = $84.90 (down $1.10)
    • VIC = $100.90 (up $2.80)
    • QLD = $71.50 (down $3.25)
    • SA = $97 (up $4)
  • Q1 20 was mixed
    • NSW = $108 (up $0.19)
    • VIC = $158.50 (up $3.50)
    • QLD = $93.98 (down $4.02)
    • SA = $154 (up $3)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 33.44% in NSW, 30% in VIC, 30% 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, 23.77% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 22.85% in NSW, 22.52% in VIC, 23.06% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 19.43%, QLD 30.89%, VIC 48.14% and SA 1.55%.

Overall Open Interest has increased by 1,521 to 70,785 lots. Futures increased by 864 to 46,794 lots and Options increased by 657 to 23,991 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1.30 billion
  • Futures contracts traded this week (including Cap futures) = 4,547
    • Base Months = 0
    • Base Quarters = 3,624
    • Peak Quarters = 281
    • Base Cap Quarters = 642
  • Quarterly Average Rate Options traded this week = 452
  • Calendar Year Options traded this week = 435 (1,740 quarterly equivalent contracts)
  • Financial Year Options traded this week = 240 (960 quarterly equivalent contracts)
  • Volume of EFP this week = 720
  • Volume of Block Trades this week = 4,200
  • Total MWh traded this week = 16.54 million MWh
  • Open Interest (including caps and options) = 70,785 (representing 235.51 million MWh and a face value of $17.35 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,183
  • 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
  • Sep 19 volume to date = 1,464 / avg daily volume = 1,464
  • Aug 19 total volume = 22,307 / avg daily volume = 1,297
  • Jul 19 total volume = 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

Subscribe to the Market Wrap by email

Get the Market Wrap delivered to your inbox every Tuesday


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 2 Sep 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 2,350 103 1,949 143 2,021 1 344
Q42019 186 2,250 55 1,920 142 2,121 1 390
Q12020 176 1,882 126 1,733 214 2,499 0 472
Q22020 100 1,510 76 1,255 142 1,724 0 313
Q32020 62 1,222 115 1,145 120 1,455 0 262
Q42020 73 1,349 86 1,251 120 1,371 0 264
Q12021 0 881 25 1,005 10 958 0 242
Q22021 0 588 25 903 10 654 0 122
Q32021 0 413 0 664 0 530 0 81
Q42021 0 424 0 690 0 527 0 80
Q12022 0 156 0 390 0 339 0 0
Q22022 0 157 0 370 0 339 0 2
Q32022 0 64 0 159 0 74 0 0
Q42022 0 64 0 159 0 74 0 0
Q12023 0 0 0 98 0 15 0 0
Q22023 0 0 0 98 0 15 0 0
Total 804 13,310 611 13,832 901 14,716 2 2,572

Options Open Interest As at COB Mon 2 Sep 2019

  NSW VIC QLD SA
Sep 2019 586 1,261 872 0
Dec 2019 868 1,341 1,550 0
Mar 2020 540 1,695 1,005 0
Jun 2020 150 200 100 0
Sep 2020 100 300 150 0
Dec 2020 300 250 100 0
Cal 2020 1,794 1,975 2,530 0
Fin 2021 525 1,165 1,420 0
Cal 2021 380 1,124 805 0
Fin 2022 50 290 315 0
Cal 2022 50 50 100 0
Fin 2023 0 0 50 0
Total 5,343 9,651 8,997 0