ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 28/10/2019

Weekly Highlights*

  • CY 20 forward curve was mixed
    • NSW = $89.50 (up $0.12)
    • VIC = $104.25 (up $0.45)
    • QLD = $73.25 (down $0.25)
    • SA = $99.96 (up $0.12)
  • Q4 19 was mixed
    • NSW = $93.90 (up $1.15)
    • VIC = $102.75 (up $0.50)
    • QLD = $74.50 (down $0.87)
    • SA = $81 (down $4)
  • Q1 20 was down
    • NSW = $113.11 (down $0.64)
    • VIC = $157.76 (down $0.76)
    • QLD = $95.17 (down $1.88)
    • SA = $156 (unchanged)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 27.33% in NSW, 30% in VIC, 29.56% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 13.50% in NSW, 16.90% in VIC, 20.40% 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, 22.70% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 53.02%, QLD 37.42%, VIC 7.66% and SA 1.89%.

Overall Open Interest has increased by 1,799 to 71,888 lots. Futures increased by 1,498 to 46,363 lots and Options increased by 301 to 25,525 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $661 million
  • Futures contracts traded this week (including Cap futures) = 3,639
    • Base Months = 0
    • Base Quarters = 2,457
    • Peak Quarters = 14
    • Base Cap Quarters = 712
  • Quarterly Average Rate Options traded this week = 186
  • Calendar Year Options traded this week = 95 (380 quarterly equivalent contracts)
  • Financial Year Options traded this week = 175 (700 quarterly equivalent contracts)
  • Volume of EFP this week = 15
  • Volume of Block Trades this week = 1,225
  • Total MWh traded this week = 9.74 million MWh
  • Open Interest (including caps and options) = 71,888 (representing 251.09 million MWh and a face value of $18.78 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,134
  • 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 = 20,048 / avg daily volume = 1,002
  • 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 28 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 196 2,437 95 2,087 142 2,229 1 360
Q12020 197 2,329 136 1,833 239 2,871 0 495
Q22020 115 1,562 76 1,296 162 2,121 0 315
Q32020 85 1,557 145 1,313 145 1,833 0 268
Q42020 103 1,757 115 1,455 145 1,735 0 274
Q12021 10 1,269 45 1,081 10 1,216 0 296
Q22021 10 879 45 982 10 861 0 130
Q32021 0 581 0 611 0 735 0 92
Q42021 0 585 0 637 0 745 0 85
Q12022 0 316 0 418 0 395 0 1
Q22022 0 303 0 381 0 397 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 716 13,766 657 12,683 853 15,366 1 2,321

Options Open Interest As at COB Mon 28 Oct 2019

  NSW VIC QLD SA
Dec 2019 1,157 1,827 1,890 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 1,645 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 4,282 7,833 6,795 20