ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 04/05/2020

Weekly Highlights*

  • FY 21 forward curve was mixed
    • NSW = $56.80 (up $1.65)
    • VIC = $56.38 (up $2.52)
    • QLD = $44.57 (down $0.79)
    • SA = $55.04 (up $1.05)
  • Q2 20 was mixed
    • NSW = $42.45 (up $0.95)
    • VIC = $37 (up $1)
    • QLD = $35.50 (down $1)
    • SA = $37 (unchanged)
  • Q3 20 was mixed
    • NSW = $49.35 (up $3.35)
    • VIC = $44.75 (up $3.50)
    • QLD = $37.11 (down $0.64)
    • SA = $43 (up $1)
  • Implied at-the-money base load Q2 2020 average rate option volatility settled at 30% in NSW, 30% in VIC, 38.25% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 26.30% in NSW, 23.28% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 23.26% in NSW, 27.78% in VIC, 29.13% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 34.07%, QLD 26.71%, VIC 39.02% and SA 0.21%.

Overall Open Interest has increased by 1,388 to 75,864 lots. Futures increased by 845 to 51,189 lots and Options increased by 543 to 24,675 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $692 Million
  • Futures contracts traded this week (including Cap futures) = 3,672
    • Base Months = 5
    • Base Quarters = 3,267
    • Peak Quarters = 0
    • Base Cap Quarters = 400
  • Quarterly Average Rate Options traded this week = 310
  • Calendar Year Options traded this week = 440 (1,760 quarterly equivalent contracts)
  • Financial Year Options traded this week = 110 (440 quarterly equivalent contracts)
  • Volume of EFP this week = 25
  • Volume of Block Trades this week = 3,000
  • Total MWh traded this week = 13.53 million MWh
  • Open Interest (including caps and options) = 75,864 (representing 279 million MWh and a face value of $15.87 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,269
  • 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
  • Apr 20 volume to date = 25,884 / avg daily volume = 1,294
  • Mar 20 total volume = 27,569 / avg daily volume = 1,253
  • Feb 20 total volume = 34,142 / avg daily volume = 1,707
  • 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 4 May 2020

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jun 2020 - 136 - 10 - 0 - 0
Jul 2020 - 5 - 0 - 0 - 0
Aug 2020 - 5 - 0 - 0 - 0
Sep 2020 - 0 - 0 - 0 - 0
Q22020 155 2,486 86 1,885 164 2,701 0 408
Q32020 105 2,435 168 2,060 147 2,404 0 335
Q42020 113 2,773 127 2,240 145 2,282 0 425
Q12021 22 2,732 62 2,093 55 2,036 0 437
Q22021 22 1,939 55 1,579 35 1,548 0 231
Q32021 4 1,043 15 1,103 25 1,237 0 155
Q42021 4 1,045 15 1,100 25 1,229 0 145
Q12022 0 726 15 720 0 845 0 35
Q22022 0 682 15 658 0 751 0 13
Q32022 0 204 0 414 0 363 0 13
Q42022 0 207 0 393 0 380 0 1
Q12023 0 37 0 113 0 197 0 6
Q22023 0 37 0 106 0 195 0 0
Q32023 0 21 0 30 0 75 0 0
Q42023 0 21 0 30 0 75 0 0
Q12024 0 0 0 0 0 0 0 0
Q22024 0 0 0 0 0 0 0 0
Total 425 16,534 558 14,534 596 16,318 0 2,204

Options Open Interest As at COB Mon 4 May 2020

  NSW VIC QLD SA
Jun 2020 1,085 896 625 20
Sep 2020 670 762 560 0
Dec 2020 725 985 300 0
Mar 2021 150 240 125 0
Jun 2021 0 0 100 0
Sep 2021 0 0 0 0
Cal 2021 2,165 2,794 2,095 0
Fin 2022 825 1,437 715 0
Cal 2022 315 845 700 0
Fin 2023 0 15 350 0
Cal 2023 0 30 100 0
Total 5,935 8,004 5,670 20