ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 20/01/2020

Weekly Highlights*

  • CY 20 forward curve was down
    • NSW = $73.53 (up $5.68)
    • VIC = $74.44 (down $1.99)
    • QLD = $59.17 (up $2.63)
    • SA = $68.09 (down $3.54)
  • Q1 20 was mixed
    • NSW = $90 (up $9.75)
    • VIC = $89.85 (down $10.15)
    • QLD = $70 (up $3.45)
    • SA = $87.50 (down $12.50)
  • Q2 20 was mixed
    • NSW = $68 (up $3.75)
    • VIC = $69.75 (down $0.15)
    • QLD = $56.25 (up $2.25)
    • SA = $63 (down $0.75)
  • Implied at-the-money base load Q1 2020 average rate option volatility settled at 33.71% in NSW, 38.31% in VIC, 37.37% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 22.23% in NSW, 30% in VIC, 17.87% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 22.74% in NSW, 30% in VIC, 21.54% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 23.17%, QLD 52.86%, VIC 21.15% and SA 2.82%.

Overall Open Interest has increased by 2,301 to 66,784 lots. Futures increased by 1,567 to 47,787 lots and Options decreased by 734 to 18,997 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $970.19 Million
  • Futures contracts traded this week (including Cap futures) = 4,579
    • Base Months = 0
    • Base Quarters = 3,834
    • Peak Quarters = 13
    • Base Cap Quarters = 732
  • Quarterly Average Rate Options traded this week = 369
  • Calendar Year Options traded this week = 200 (800 quarterly equivalent contracts)
  • Financial Year Options traded this week = 435 (1,740 quarterly equivalent contracts)
  • Volume of EFP this week = 65
  • Volume of Block Trades this week = 3,235
  • Total MWh traded this week = 16.37 million MWh
  • Open Interest (including caps and options) = 66,784 (representing 217.60 million MWh and a face value of $14.48 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,212
  • 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 = 18,231 / avg daily volume = 1,402
  • 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

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 20 Jan 2020

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
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 2,980 146 2,374 239 3,386 0 617
Q22020 139 1,872 76 1,439 162 2,351 0 346
Q32020 105 1,802 159 1,590 145 2,160 0 307
Q42020 113 2,195 125 1,663 145 2,031 0 400
Q12021 24 1,763 60 1,401 60 1,598 0 380
Q22021 24 1,225 55 1,193 50 1,209 0 198
Q32021 4 831 15 586 40 936 0 121
Q42021 4 841 15 609 40 922 0 112
Q12022 0 474 15 490 0 541 0 21
Q22022 0 477 15 385 0 506 0 6
Q32022 0 111 0 253 0 143 0 11
Q42022 0 105 0 235 0 143 0 1
Q12023 0 0 0 98 0 25 0 0
Q22023 0 0 0 98 0 25 0 0
Q32023 0 0 0 0 0 0 0 0
Q42023 0 0 0 0 0 0 0 0
Total 639 14,676 681 12,414 881 15,976 0 2,520

Options Open Interest As at COB Mon 20 Jan 2020

  NSW VIC QLD SA
Mar 2020 1,088 2,124 1,445 19
Jun 2020 450 325 300 20
Sep 2020 100 375 250 0
Dec 2020 350 425 300 0
Mar 2021 0 50 0 0
Jun 2021 0 0 100 0
Fin 2021 1,015 1,450 1,975 0
Cal 2021 1,075 1,739 1,495 0
Fin 2022 325 757 690 0
Cal 2022 180 100 250 0
Fin 2023 0 0 225 0
Cal 2023 0 0 0 0
Total 4,583 7,345 7,030 39