ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 17/02/2020

Weekly Highlights*

  • CY 20 forward curve was mixed
    • NSW = $72.82 (up $0.66)
    • VIC = $70.70 (down $0.57)
    • QLD = $55.39 (up $0.34)
    • SA = $65.45 (up $1.30)
  • Q1 20 was mixed
    • NSW = $95 (unchanged)
    • VIC = $95.75 (down $0.75)
    • QLD = $62.10 (down $0.90)
    • SA = $92 (up $7)
  • Q2 20 was down
    • NSW = $65.15 (up $0.37)
    • VIC = $63.50 (down $0.25)
    • QLD = $54 (up $0.50)
    • SA = $57 (down $1)
  • Implied at-the-money base load Q1 2020 average rate option volatility settled at 68.29% in NSW, 47.66% in VIC, 30% in QLD and 35.19% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 30% in NSW, 30% in VIC, 22.04% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 22.58% in NSW, 30% in VIC, 15.73% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 27.99%, QLD 25.62%, VIC 44.80% and SA 1.59%.

Overall Open Interest has increased by 2,017 to 74,941 lots. Futures increased by 1,209 to 53,036 lots and Options increased by 808 to 21,905 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1.07 Billion
  • Futures contracts traded this week (including Cap futures) = 3,806
    • Base Months = 0
    • Base Quarters = 3,320
    • Peak Quarters = 16
    • Base Cap Quarters = 470
  • Quarterly Average Rate Options traded this week = 498
  • Calendar Year Options traded this week = 415 (1,660 quarterly equivalent contracts)
  • Financial Year Options traded this week = 525 (2,100 quarterly equivalent contracts)
  • Volume of EFP this week = 290
  • Volume of Block Trades this week = 4,255
  • Total MWh traded this week = 17.64 million MWh
  • Open Interest (including caps and options) = 74,941 (representing 247.72 million MWh and a face value of $14.52 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,260
  • 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
  • Feb 20 volume to date = 21,473 / avg daily volume = 1,952
  • Jan 20 total volume = 28,814 / avg daily volume = 1,310
  • 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 17 Feb 2020

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Apr 2020 - 0 - 0 - 0 - 0
May 2020 - 0 - 0 - 0 - 0
Jun 2020 - 0 - 0 - 0 - 0
Q22020 154 2,068 84 1,721 164 2,442 0 367
Q32020 105 1,991 161 1,927 147 2,233 0 323
Q42020 113 2,480 125 2,025 145 2,096 0 408
Q12021 22 2,182 61 1,635 60 1,761 0 377
Q22021 22 1,486 55 1,233 50 1,391 0 199
Q32021 4 939 15 777 40 1,029 0 132
Q42021 4 937 15 760 40 1,052 0 124
Q12022 0 533 15 526 0 609 0 22
Q22022 0 534 15 451 0 548 0 6
Q32022 0 146 0 266 0 269 0 11
Q42022 0 142 0 261 0 293 0 1
Q12023 0 0 0 95 0 90 0 2
Q22023 0 0 0 95 0 90 0 0
Q32023 0 0 0 0 0 0 0 0
Q42023 0 0 0 0 0 0 0 0
Total 424 13,438 546 11,772 646 13,903 0 1,972

Options Open Interest As at COB Mon 17 Feb 2020

  NSW VIC QLD SA
Jun 2020 530 475 455 20
Sep 2020 220 477 275 0
Dec 2020 375 560 300 0
Mar 2021 0 50 25 0
Jun 2021 0 0 100 0
Fin 2021 1,015 1,540 2,100 0
Cal 2021 1,585 2,139 1,755 0
Fin 2022 375 857 715 0
Cal 2022 180 100 485 0
Fin 2023 0 0 300 0
Cal 2023 0 0 0 0
Total 4,280 6,198 6,510 20