ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 04/11/2019

Weekly Highlights*

  • CY 20 forward curve was down
    • NSW = $87.28 (down $2.22)
    • VIC = $102.31 (down $1.94)
    • QLD = $72.30 (down $0.95)
    • SA = $99.24 (down $0.72)
  • Q4 19 was down
    • NSW = $90 (down $3.90)
    • VIC = $96.13 (down $6.62)
    • QLD = $73.90 (down $0.60)
    • SA = $78 (down $3)
  • Q1 20 was down
    • NSW = $109 (down $4.11)
    • VIC = $155 (down $2.76)
    • QLD = $92.85 (down $2.32)
    • SA = $154 (down $2)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 28.70% in NSW, 30% in VIC, 29.14% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 29.90% in NSW, 30% in VIC, 16.60% 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, 22.69% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 59.58%, QLD 21.19%, VIC 17.82% and SA 1.42%.

Overall Open Interest has increased by 1,382 to 73,270 lots. Futures increased by 1,120 to 47,483 lots and Options increased by 3262 to 25,787 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $772 million
  • Futures contracts traded this week (including Cap futures) = 2,828
    • Base Months = 0
    • Base Quarters = 1,914
    • Peak Quarters = 23
    • Base Cap Quarters = 891
  • Quarterly Average Rate Options traded this week = 243
  • Calendar Year Options traded this week = 325 (1,300 quarterly equivalent contracts)
  • Financial Year Options traded this week = 125 (500 quarterly equivalent contracts)
  • Volume of EFP this week = 20
  • Volume of Block Trades this week = 1,700
  • Total MWh traded this week = 10.66 million MWh
  • Open Interest (including caps and options) = 73,270 (representing 254.65 million MWh and a face value of $18.86 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,133
  • 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
  • Nov 19 volume to date = 1,535 / avg daily volume = 768
  • Oct 19 total volume = 23,384 / avg daily volume = 1,017
  • 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 4 Nov 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 2,487 95 2,104 142 2,219 1 360
Q12020 212 2,344 136 1,885 239 2,930 0 507
Q22020 115 1,578 76 1,327 162 2,155 0 315
Q32020 85 1,665 147 1,330 145 1,859 0 268
Q42020 103 1,902 115 1,498 145 1,751 0 279
Q12021 10 1,410 45 1,076 10 1,221 0 296
Q22021 10 994 45 997 10 871 0 140
Q32021 0 617 0 606 0 741 0 97
Q42021 0 617 0 632 0 750 0 91
Q12022 0 353 0 418 0 400 0 1
Q22022 0 343 0 381 0 402 0 3
Q32022 0 99 0 204 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 730 14,506 659 12,848 853 15,527 1 2,359

Options Open Interest As at COB Mon 4 Nov 2019

  NSW VIC QLD SA
Dec 2019 1,229 1,827 1,875 0
Mar 2020 690 1,945 1,200 0
Jun 2020 300 200 200 20
Sep 2020 100 300 200 0
Dec 2020 350 400 250 0
Mar 2021 0 0 0 0
Fin 2021 700 1,265 1,645 0
Cal 2021 705 1,269 1,015 0
Fin 2022 150 627 390 0
Cal 2022 180 50 100 0
Fin 2023 0 0 50 0
Total 4,404 7,883 6,925 20