ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 18/11/2019

Weekly Highlights*

  • CY 20 forward curve was down
    • NSW = $83.90 (down $0.25)
    • VIC = $97.58 (down $0.91)
    • QLD = $69.50 (down $0.50)
    • SA = $91.23 (down $5.14)
  • Q4 19 was down
    • NSW = $85 (down $2.50)
    • VIC = $86.25 (down $3.25)
    • QLD = $67.75 (down $0.75)
    • SA = $65 (down $2.12)
  • Q1 20 was down
    • NSW = $102 (down $0.75)
    • VIC = $145.50 (down $2.50)
    • QLD = $87.50 (down $1.77)
    • SA = $135 (down $10)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 28.33% in NSW, 29.75% in VIC, 24.57% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 22.04% in NSW, 22.26% in VIC, 9.96% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 22.85% in NSW, 23.46% in VIC, 23.33% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 37.62%, QLD 34.80%, VIC 25.76% and SA 1.82%.

Overall Open Interest has increased by 751 to 74,946 lots. Futures increased by 851 to 48,793 lots and Options decreased by 100 to 26,153 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1.01 billion
  • Futures contracts traded this week (including Cap futures) = 4,101
    • Base Months = 0
    • Base Quarters = 3,340
    • Peak Quarters = 24
    • Base Cap Quarters = 737
  • Quarterly Average Rate Options traded this week = 177
  • Calendar Year Options traded this week = 500 (2,000 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 30
  • Volume of Block Trades this week = 1,700
  • Total MWh traded this week = 13.74 million MWh
  • Open Interest (including caps and options) = 74,946 (representing 258.09 million MWh and a face value of $18.73 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,113
  • 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 = 11,586 / avg daily volume = 966
  • 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

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 Mon 18 Nov 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
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 2,493 95 2,093 142 2,198 1 361
Q12020 212 2,510 136 1,985 239 2,990 0 554
Q22020 135 1,596 76 1,321 162 2,175 0 315
Q32020 95 1,646 147 1,362 145 1,933 0 271
Q42020 113 1,936 115 1,487 145 1,813 0 287
Q12021 20 1,512 45 1,107 10 1,304 0 303
Q22021 20 1,040 45 969 10 1,001 0 138
Q32021 0 663 0 602 0 801 0 92
Q42021 0 662 0 641 0 807 0 89
Q12022 0 389 0 418 0 419 0 1
Q22022 0 380 0 383 0 417 0 5
Q32022 0 99 0 205 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 790 15,023 659 12,963 853 16,086 1 2,418

Options Open Interest As at COB Mon 18 Nov 2019

  NSW VIC QLD SA
Dec 2019 1,281 1,932 2,035 0
Mar 2020 735 1,947 1,225 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 200 627 390 0
Cal 2022 180 50 100 0
Fin 2023 0 0 50 0
Total 4,551 7,990 7,110 20