ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 30/09/2019

Weekly Highlights*

  • FY 20 forward curve was mixed
    • NSW = $92.45 (up $1.52)
    • VIC = $110.69 (down $1.31)
    • QLD = $73.77 (down $0.46)
    • SA = $103.09 (down $0.50)
  • Q4 19 was mixed
    • NSW = $92.25 (up $3.75)
    • VIC = $103 (down $0.75)
    • QLD = $70.50 (down $0.86)
    • SA = $95 (down $1)
  • Q1 20 was mixed
    • NSW = $114.35 (up $1.50)
    • VIC = $156 (down $4.75)
    • QLD = $97.38 (down $1.62)
    • SA = $156.25 (unchanged)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 30% in NSW, 30% in VIC, 29.83% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 16.40% in NSW, 30% in VIC, 22.41% 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, 22.66% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 32.38%, QLD 36.93%, VIC 29.76% and SA 0.93%.

Overall Open Interest has increased by 1,223 to 75,487 lots. Futures increased by 611 to 49,172 lots and Options increased by 612 to 26,315 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $837.99 million
  • Futures contracts traded this week (including Cap futures) = 2,140
    • Base Months = 0
    • Base Quarters = 1,478
    • Peak Quarters = 129
    • Base Cap Quarters = 533
  • Quarterly Average Rate Options traded this week = 252
  • Calendar Year Options traded this week = 435 (1,740 quarterly equivalent contracts)
  • Financial Year Options traded this week = 302 (1,208 quarterly equivalent contracts)
  • Volume of EFP this week = 10
  • Volume of Block Trades this week = 1,045
  • Total MWh traded this week = 11.56 million MWh
  • Open Interest (including caps and options) = 75,487 (representing 252.45 million MWh and a face value of $18.69 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,173
  • 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 = 24,529 / avg daily volume = 1,168
  • 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 30 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 2,322 95 2,020 142 2,120 1 346
Q12020 201 1,936 126 1,745 239 2,616 0 475
Q22020 100 1,551 76 1,266 162 1,879 0 315
Q32020 75 1,388 135 1,191 145 1,662 0 262
Q42020 83 1,513 106 1,377 145 1,542 0 264
Q12021 10 1,021 45 1,008 10 1,052 0 262
Q22021 10 701 45 917 10 729 0 120
Q32021 0 419 0 611 0 582 0 81
Q42021 0 427 0 642 0 588 0 80
Q12022 0 151 0 417 0 352 0 1
Q22022 0 152 0 383 0 366 0 3
Q32022 0 59 0 199 0 79 0 1
Q42022 0 67 0 194 0 79 0 1
Q12023 0 0 0 98 0 15 0 0
Q22023 0 0 0 98 0 15 0 0
Total 673 11,707 628 12,166 853 13,676 1 2,211

Options Open Interest As at COB Mon 30 Sep 2019

  NSW VIC QLD SA
Dec 2019 1,021 1,650 1,705 0
Mar 2020 615 1,895 1,095 0
Jun 2020 200 200 100 20
Sep 2020 100 300 200 0
Dec 2020 300 350 200 0
Cal 2020 1,854 1,925 2,600 0
Fin 2021 600 1,215 1,495 0
Cal 2021 480 1,149 965 0
Fin 2022 125 542 340 0
Cal 2022 155 50 100 0
Fin 2023 0 0 50 0
Total 5,450 9,276 8,850 20