ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 07/10/2019

Weekly Highlights*

  • CY 20 forward curve was up
    • NSW = $88.50 (up $0.17)
    • VIC = $102.79 (up $0.46)
    • QLD = $73.21 (up $0.29)
    • SA = $99 (unchanged)
  • Q4 19 was mixed
    • NSW = $92.63 (up $0.38)
    • VIC = $101.75 (down $1.25)
    • QLD = $72.50 (up $2)
    • SA = $91 (down $4)
  • Q1 20 was up
    • NSW = $115 (up $0.65)
    • VIC = $156 (unchanged)
    • QLD = $98.12 (up $0.74)
    • SA = $156.25 (unchanged)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 33.14% in NSW, 35.04% in VIC, 27.11% 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 35.33%, QLD 36.05%, VIC 28.20% and SA 0.42%.

Overall Open Interest has decreased by 9,144 to 75,487 66,343 lots. Futures decreased by 6,781 to 42,391 lots and Options decreased by 2,363 to 23,952 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $558.49 million
  • Futures contracts traded this week (including Cap futures) = 1,563
    • Base Months = 0
    • Base Quarters = 1,459
    • Peak Quarters = 0
    • Base Cap Quarters = 104
  • Quarterly Average Rate Options traded this week = 166
  • Calendar Year Options traded this week = 285 (1,140 quarterly equivalent contracts)
  • Financial Year Options traded this week = 110 (440 quarterly equivalent contracts)
  • Volume of EFP this week = 75
  • Volume of Block Trades this week = 1,030
  • Total MWh traded this week = 7.25 million MWh
  • Open Interest (including caps and options) = 66,343 (representing 234.05 million MWh and a face value of $17.49 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,138
  • 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
  • Oct 19 volume to date = 3,309 / avg daily volume = 662
  • Sep 19 total volume = 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 7 Oct 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
Jan 2020 - 0 - 0 - 0 - 0
Feb 2020 - 0 - 0 - 0 - 0
Mar 2020 - 0 - 0 - 0 - 0
Q42019 194 2,310 95 2,024 142 2,127 1 354
Q12020 201 1,941 126 1,744 239 2,698 0 475
Q22020 100 1,525 76 1,278 162 1,917 0 315
Q32020 75 1,392 135 1,205 145 1,704 0 262
Q42020 83 1,522 106 1,406 145 1,580 0 264
Q12021 10 1,134 45 1,017 10 1,057 0 262
Q22021 10 753 45 907 10 729 0 120
Q32021 0 442 0 606 0 582 0 81
Q42021 0 443 0 633 0 593 0 80
Q12022 0 161 0 422 0 353 0 1
Q22022 0 162 0 375 0 372 0 3
Q32022 0 59 0 200 0 85 0 1
Q42022 0 67 0 195 0 85 0 1
Q12023 0 0 0 98 0 15 0 0
Q22023 0 0 0 98 0 15 0 0
Q32023 0 0 0 0 0 0 0 0
Q42023 0 0 0 0 0 0 0 0
Total 673 11,911 628 12,208 853 13,912 1 2,219

Options Open Interest As at COB Mon 7 Oct 2019

  NSW VIC QLD SA
Dec 2019 1,021 1,766 1,730 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
Mar 2021 0 0 0 0
Cal 2020 1,854 1,915 2,640 0
Fin 2021 600 1,215 1,495 0
Cal 2021 530 1,149 965 0
Fin 2022 150 627 340 0
Cal 2022 180 50 100 0
Fin 2023 0 0 50 0
Total 5,550 9,467 8,915 20