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

Weekly Highlights*

  • FY 20 forward curve was mixed
    • NSW = $88.20 (up $0.35)
    • VIC = $109.94 (down $1.09)
    • QLD = $72.76 (down $0.74)
    • SA = $104.42 (down $0.35)
  • Q4 19 was mixed
    • NSW = $85.25 (up $0.35)
    • VIC = $100.25 (down $0.65)
    • QLD = $72 (up $0.50)
    • SA = $95.99 (down $1.01)
  • Q1 20 was mixed
    • NSW = $108.50 (up $0.50)
    • VIC = $156.25 (down $2.25)
    • QLD = $95.83 (up $1.85)
    • SA = $155 (up $1)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 32.42% in NSW, 31.27% in VIC, 25.98% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 23.20% in NSW, 30% in VIC, 23.10% 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, 23.06% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 28.29%, QLD 41.68%, VIC 29% and SA 1.03%.

Overall Open Interest has increased by 1,066 to 71,851 lots. Futures increased by 196 to 46,990 lots and Options increased by 870 to 24,861 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1.07 billion
  • Futures contracts traded this week (including Cap futures) = 4,085
    • Base Months = 0
    • Base Quarters = 3,372
    • Peak Quarters = 206
    • Base Cap Quarters = 507
  • Quarterly Average Rate Options traded this week = 775
  • Calendar Year Options traded this week = 260 (1,040 quarterly equivalent contracts)
  • Financial Year Options traded this week = 175 (700 quarterly equivalent contracts)
  • Volume of EFP this week = 1,030
  • Volume of Block Trades this week = 2,715
  • Total MWh traded this week = 14.23 million MWh
  • Open Interest (including caps and options) = 71,851 (representing 239.21 million MWh and a face value of $17.60 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,196
  • 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 = 8,064 / avg daily volume = 1,344
  • 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

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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 9 Sep 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 188 2,219 95 1,963 142 2,087 1 365
Q12020 201 1,890 126 1,706 214 2,520 0 474
Q22020 100 1,519 76 1,261 142 1,760 0 314
Q32020 62 1,232 135 1,094 120 1,498 0 262
Q42020 73 1,363 106 1,223 120 1,390 0 264
Q12021 0 921 45 949 10 955 0 242
Q22021 0 617 45 860 10 684 0 122
Q32021 0 428 0 614 0 555 0 81
Q42021 0 439 0 635 0 554 0 80
Q12022 0 151 0 385 0 339 0 0
Q22022 0 152 0 365 0 344 0 2
Q32022 0 59 0 184 0 74 0 0
Q42022 0 65 0 184 0 74 0 0
Q12023 0 0 0 98 0 15 0 0
Q22023 0 0 0 98 0 15 0 0
Total 624 11,055 628 11,619 758 12,864 1 2,206

Options Open Interest As at COB Mon 9 Sep 2019

  NSW VIC QLD SA
Dec 2019 993 1,466 1,625 0
Mar 2020 590 1,795 1,005 0
Jun 2020 200 200 100 0
Sep 2020 100 300 200 0
Dec 2020 300 250 200 0
Fin 2021 525 1,165 1,495 0
Cal 2021 380 1,124 805 0
Fin 2022 50 340 340 0
Cal 2022 150 50 100 0
Fin 2023 0 0 50 0
Total 3,288 6,690 5,920 0