ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 02/12/2019

Weekly Highlights*

  • CY 20 forward curve was down
    • NSW = $80.03 (down $2.12)
    • VIC = $94 (down $1.13)
    • QLD = $67.80 (down $1.18)
    • SA = $85.25 (down $1.42)
  • Q4 19 was mixed
    • NSW = $78 (down $4.25)
    • VIC = $77 (down $4.50)
    • QLD = $67 (up $0.25)
    • SA = $61 (down $3)
  • Q1 20 was down
    • NSW = $93.30 (down $4.80)
    • VIC = $137.74 (down $1.51)
    • QLD = $84 (down $2.10)
    • SA = $127.60 (down $1.90)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 30% in NSW, 28.69% in VIC, 29.14% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 22.96% in NSW, 22.48% in VIC, 19.26% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 17.81% in NSW, 23.30% in VIC, 15.92% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 18.19%, QLD 25.01%, VIC 55.59% and SA 1.21%.

Overall Open Interest has increased by 798 to 71,361 lots. Futures increased by 197 to 50,561 lots and Options increased by 601 to 20,800 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $845 million
  • Futures contracts traded this week (including Cap futures) = 2,308
    • Base Months = 0
    • Base Quarters = 2,127
    • Peak Quarters = 69
    • Base Cap Quarters = 112
  • Quarterly Average Rate Options traded this week = 246
  • Calendar Year Options traded this week = 535 (2,140 quarterly equivalent contracts)
  • Financial Year Options traded this week = 65 (260 quarterly equivalent contracts)
  • Volume of EFP this week = 25
  • Volume of Block Trades this week = 2,745
  • Total MWh traded this week = 10.77 million MWh
  • Open Interest (including caps and options) = 71,361 (representing 213.09 million MWh and a face value of $14.97 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,197
  • 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 total volume = 30,915 / avg daily volume = 1,472
  • 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 2 Dec 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 2,514 95 2,095 142 2,223 1 362
Q12020 210 2,547 141 2,221 239 3,139 0 577
Q22020 134 1,671 76 1,491 162 2,367 0 292
Q32020 95 1,719 157 1,494 145 2,048 0 262
Q42020 113 1,976 125 1,569 145 1,886 0 277
Q12021 20 1,547 55 1,149 10 1,271 0 303
Q22021 20 1,071 55 1,007 10 986 0 138
Q32021 0 665 15 593 0 804 0 94
Q42021 0 661 15 619 0 826 0 89
Q12022 0 394 15 435 0 442 0 1
Q22022 0 393 15 407 0 444 0 5
Q32022 0 106 0 205 0 123 0 1
Q42022 0 103 0 194 0 123 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 787 15,367 764 13,675 853 16,712 1 2,402

Options Open Interest As at COB Mon 2 Dec 2019

  NSW VIC QLD SA
Dec 2019 1,297 1,942 2,035 0
Mar 2020 785 2,035 1,320 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 750 1,340 1,670 0
Cal 2021 760 1,734 1,065 0
Fin 2022 200 627 490 0
Cal 2022 180 50 150 0
Fin 2023 0 0 50 0
Cal 2023 0 0 0 0
Total 4,722 8,628 7,430 20