ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 14/01/2020

Weekly Highlights*

  • CY 20 forward curve was down
    • NSW = $67.85 (down $7.55)
    • VIC = $76.43 (down $8.82)
    • QLD = $56.54 (down $4.02)
    • SA = $71.63 (down $6.99)
  • Q1 20 was lower
    • NSW = $80.25 (down $11.75)
    • VIC = $100 (down $19)
    • QLD = $66.55 (down $4.70)
    • SA = $114.50 (down $14.50)
  • Q2 20 was lower
    • NSW = $64.25 (down $6.75)
    • VIC = $69.90 (down $5.10)
    • QLD = $54 (down $4.32)
    • SA = $63.75 (down $4.50)
  • Implied at-the-money base load Q1 2020 average rate option volatility settled at 37.05% in NSW, 35.85% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 26.09% in NSW, 23.11% in VIC, 22.55% 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, 15.26% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 29.58 %, QLD 37.88 %, VIC 29.57 % and SA 2.98 %.

Overall Open Interest has decreased by 1,710 to 64,483 lots. Futures increased by 663 to 46,220 lots and Options decreased by 2,373 to 18,263 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1.14 Billion
  • Futures contracts traded this week (including Cap futures) = 3,227
    • Base Months = 0
    • Base Quarters = 2,472
    • Peak Quarters = 24
    • Base Cap Quarters = 731
  • Quarterly Average Rate Options traded this week = 821
  • Calendar Year Options traded this week = 273 (1,092 quarterly equivalent contracts)
  • Financial Year Options traded this week = 730 (2,920 quarterly equivalent contracts)
  • Volume of EFP this week = 75
  • Volume of Block Trades this week = 2,245
  • Total MWh traded this week = 17.61 million MWh
  • Open Interest (including caps and options) = 64,483 (representing 209.8 million MWh and a face value of $13.8 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,202
  • 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
  • Jan 20 volume to date = 10,473 / avg daily volume = 1,343
  • Dec 19 total volume = 23,380 / avg daily volume = 1,169
  • 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 13 Jan 2020

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jan 2020 - 0 - 0 - 0 - 0
Feb 2020 - 0 - 0 - 0 - 0
Mar 2020 - 0 - 0 - 0 - 0
Apr 2020 - 0 - 0 - 0 - 0
May 2020 - 0 - 0 - 0 - 0
Jun 2020 - 0 - 0 - 0 - 0
Q12020 226 2,790 141 2,354 239 3,359 0 613
Q22020 139 1,767 76 1,428 162 2,387 0 336
Q32020 105 1,754 158 1,517 145 2,111 0 298
Q42020 113 2,142 125 1,656 145 1,993 0 375
Q12021 24 1,707 55 1,394 60 1,450 0 360
Q22021 24 1,156 55 1,162 50 1,130 0 171
Q32021 4 793 15 554 40 871 0 109
Q42021 4 807 15 583 40 865 0 101
Q12022 0 461 15 461 0 476 0 21
Q22022 0 467 15 375 0 466 0 6
Q32022 0 109 0 258 0 128 0 11
Q42022 0 103 0 240 0 128 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 639 14,056 670 12,178 881 15,394 0 2,402

Options Open Interest As at COB Mon 13 Jan 2020

  NSW VIC QLD SA
Mar 2020 1,026 2,117 1,370 4
Jun 2020 450 250 300 20
Sep 2020 100 300 250 0
Dec 2020 350 425 300 0
Mar 2021 0 50 0 0
Jun 2021 0 0 100 0
Fin 2021 1,015 1,400 1,865 0
Cal 2021 1,075 1,739 1,430 0
Fin 2022 325 757 690 0
Cal 2022 180 100 225 0
Fin 2023 0 0 50 0
Cal 2023 0 0 0 0
Total 4,521 7,138 6,580 24