ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 21/10/2019

Weekly Highlights*

  • CY 20 forward curve was mixed
    • NSW = $89.38 (down $0.87)
    • VIC = $103.80 (down $0.34)
    • QLD = $73.50 (up $0.58)
    • SA = $99.84 (down $0.13)
  • Q4 19 was mixed
    • NSW = $92.75 (down $2.75)
    • VIC = $100.25 (down $2.25)
    • QLD = $75.37 (up $2.61)
    • SA = $85 (up $0.50)
  • Q1 20 was down
    • NSW = $113.75 (down $3.25)
    • VIC = $157 (down $0.25)
    • QLD = $97.05 (down $0.15)
    • SA = $156 (down $0.50)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 33.14% in NSW, 32.95% in VIC, 30.59% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 22.55% in NSW, 16.90% 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, 30% in VIC, 22.66% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 39.01%, QLD 50.05%, VIC 10.63% and SA 0.31%.

Overall Open Interest has increased by 1,867 to 70,089 lots. Futures increased by 1,114 to 44,865 lots and Options increased by 753 to 25,224 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1.07 Billion
  • Futures contracts traded this week (including Cap futures) = 4,185
    • Base Months = 0
    • Base Quarters = 3,772
    • Peak Quarters = 5
    • Base Cap Quarters = 408
  • Quarterly Average Rate Options traded this week = 496
  • Calendar Year Options traded this week = 360 (1,440 quarterly equivalent contracts)
  • Financial Year Options traded this week = 175 (700 quarterly equivalent contracts)
  • Volume of EFP this week = 137
  • Volume of Block Trades this week = 2,490
  • Total MWh traded this week = 14.95 million MWh
  • Open Interest (including caps and options) = 70,089 (representing 246.09 million MWh and a face value of $18.42 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,149
  • 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 = 15,599 / avg daily volume = 1,040
  • 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

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 Tue 22 Oct 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
Jan 2020 - 0 - 0 - 0 - 0
Feb 2020 - 0 - 0 - 0 - 0
Mar 2020 - 0 - 0 - 0 - 0
Q42019 195 2,383 95 2,078 142 2,260 1 360
Q12020 202 2,267 136 1,823 239 2,841 0 490
Q22020 115 1,546 76 1,291 162 2,119 0 315
Q32020 85 1,506 145 1,273 145 1,795 0 262
Q42020 103 1,701 115 1,443 145 1,694 0 264
Q12021 10 1,234 45 1,068 10 1,145 0 280
Q22021 10 852 45 962 10 776 0 120
Q32021 0 558 0 611 0 685 0 85
Q42021 0 570 0 637 0 692 0 80
Q12022 0 306 0 418 0 375 0 1
Q22022 0 293 0 381 0 377 0 3
Q32022 0 94 0 199 0 100 0 1
Q42022 0 97 0 194 0 98 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 720 13,407 657 12,574 853 14,987 1 2,262

Options Open Interest As at COB Tue 22 Oct 2019

  NSW VIC QLD SA
Dec 2019 1,125 1,844 1,860 0
Mar 2020 690 1,945 1,180 0
Jun 2020 300 200 100 20
Sep 2020 100 300 200 0
Dec 2020 350 400 250 0
Mar 2021 0 0 0 0
Fin 2021 650 1,215 1,545 0
Cal 2021 705 1,269 990 0
Fin 2022 150 627 390 0
Cal 2022 180 50 100 0
Fin 2023 0 0 50 0
Total 4,250 7,850 6,665 20