ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 23/09/2019

Weekly Highlights*

  • FY 20 forward curve was mixed
    • NSW = $90.93 (up $0.71)
    • VIC = $112 (up $0.69)
    • QLD = $74.23 (down $0.59)
    • SA = $103.59 (down $0.50)
  • Q4 19 was up
    • NSW = $88.50 (up $1.75)
    • VIC = $103.75 (up $1.75)
    • QLD = $71.36 (down $1.89)
    • SA = $96 (up $0.01)
  • Q1 20 was up
    • NSW = $112.85 (up $0.85)
    • VIC = $160.75 (up $2.75)
    • QLD = $99 (up $0.50)
    • SA = $156.25 (unchanged)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 30% 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 22.97% in NSW, 23.77% in VIC, 22.87% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 30% in NSW, 23.27% in VIC, 22.90% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 34.80%, QLD 26.58%, VIC 36.92% and SA 1.70%.

Overall Open Interest has increased by 819 to 74,264 lots. Futures increased by 613 to 48,561 lots and Options increased by 206 to 25,703 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $771.36 million
  • Futures contracts traded this week (including Cap futures) = 2,860
    • Base Months = 0
    • Base Quarters = 2,393
    • Peak Quarters = 6
    • Base Cap Quarters = 461
  • Quarterly Average Rate Options traded this week = 391
  • Calendar Year Options traded this week = 216 (864 quarterly equivalent contracts)
  • Financial Year Options traded this week = 100 (400 quarterly equivalent contracts)
  • Volume of EFP this week = 190
  • Volume of Block Trades this week = 1,250
  • Total MWh traded this week = 9.90 million MWh
  • Open Interest (including caps and options) = 74,264 (representing 246.38 million MWh and a face value of $18.29 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,182
  • 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 = 19,189 / avg daily volume = 1,199
  • 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 23 Sep 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 194 2,272 95 1,980 142 2,128 1 364
Q12020 201 1,935 126 1,728 214 2,535 0 474
Q22020 100 1,562 76 1,291 142 1,822 0 314
Q32020 75 1,368 135 1,155 120 1,617 0 262
Q42020 83 1,525 106 1,355 120 1,478 0 264
Q12021 10 1,019 45 1,008 10 1,013 0 262
Q22021 10 691 45 917 10 705 0 120
Q32021 0 419 0 605 0 575 0 81
Q42021 0 427 0 636 0 578 0 80
Q12022 0 151 0 411 0 344 0 0
Q22022 0 152 0 377 0 363 0 2
Q32022 0 59 0 199 0 79 0 0
Q42022 0 67 0 194 0 79 0 0
Q12023 0 0 0 98 0 15 0 0
Q22023 0 0 0 98 0 15 0 0
Total 673 11,647 628 12,052 758 13,346 1 2,223

Options Open Interest As at COB Mon 23 Sep 2019

  NSW VIC QLD SA
Dec 2019 1,016 1,630 1,675 0
Mar 2020 615 1,895 1,070 0
Jun 2020 200 200 100 20
Sep 2020 100 300 200 0
Dec 2020 300 350 200 0
Cal 2020 1,774 1,925 2,580 0
Fin 2021 575 1,215 1,495 0
Cal 2021 480 1,149 865 0
Fin 2022 50 340 340 0
Cal 2022 150 50 100 0
Fin 2023 0 0 50 0
Total 5,260 9,054 8,675 20