ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 11/05/2020

Weekly Highlights*

  • FY 21 forward curve was mixed
    • NSW = $57.53 (down $0.75)
    • VIC = $56.79 (down $0.62)
    • QLD = $42.02 (down $3.02)
    • SA = $56.55 (up $0.18)
  • Q2 20 was mixed
    • NSW = $42 (up $0.25)
    • VIC = $36.90 (down $0.10)
    • QLD = $30.75 (down $2.75)
    • SA = $36 (down $1)
  • Q3 20 was up
    • NSW = $51 (unchanged)
    • VIC = $45.25 (up $0.25)
    • QLD = $33.27 (down $4.15)
    • SA = $43.25 (unchanged)
  • Implied at-the-money base load Q2 2020 average rate option volatility settled at 30% in NSW, 30% in VIC, 43.19% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 24.72% in NSW, 21.26% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 24.63% in NSW, 30% in VIC, 30% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 28.26%, QLD 38.01%, VIC 33.26% and SA 0.47%.

Overall Open Interest has increased by 733 to 78,222 lots. Futures increased by 603 to 52,577 lots and Options increased by 130 to 25,645 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $874 Million
  • Futures contracts traded this week (including Cap futures) = 4,625
    • Base Months = 10
    • Base Quarters = 4,261
    • Peak Quarters = 0
    • Base Cap Quarters = 354
  • Quarterly Average Rate Options traded this week = 215
  • Calendar Year Options traded this week = 315 (1,260 quarterly equivalent contracts)
  • Financial Year Options traded this week = 285 (1,140 quarterly equivalent contracts)
  • Volume of EFP this week = 465
  • Volume of Block Trades this week = 2,745
  • Total MWh traded this week = 15.84 million MWh
  • Open Interest (including caps and options) = 78,222 (representing 286 million MWh and a face value of $16.05 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,448
  • 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
  • May 20 volume to date = 15,945 / avg daily volume = 1,329
  • Apr 20 total volume = 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 18 May 2020

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jun 2020 - 136 - 15 - 0 - 0
Jul 2020 - 5 - 0 - 0 - 0
Aug 2020 - 5 - 0 - 0 - 0
Sep 2020 - 0 - 0 - 0 - 0
Q22020 155 2,489 86 1,870 164 2,696 0 409
Q32020 105 2,682 168 2,099 147 2,435 0 335
Q42020 113 3,036 127 2,221 145 2,345 0 427
Q12021 46 2,973 77 1,954 55 2,036 0 432
Q22021 22 2,157 70 1,517 35 1,578 0 228
Q32021 4 1,065 30 1,081 25 1,235 0 150
Q42021 4 1,058 30 1,080 25 1,234 0 140
Q12022 0 770 40 739 0 893 0 35
Q22022 0 699 40 685 0 774 0 13
Q32022 0 220 25 427 0 383 0 13
Q42022 0 224 25 404 0 387 0 1
Q12023 0 43 0 113 0 210 0 6
Q22023 0 43 0 105 0 208 0 0
Q32023 0 25 0 35 0 78 0 0
Q42023 0 25 0 35 0 78 0 0
Q12024 0 0 0 0 0 0 0 0
Q22024 0 0 0 0 0 0 0 0
Total 449 17,655 718 14,380 596 16,570 0 2,189

Options Open Interest As at COB Mon 18 May 2020

  NSW VIC QLD SA
Jun 2020 1,085 946 645 20
Sep 2020 885 812 560 0
Dec 2020 725 1,010 460 0
Mar 2021 150 240 205 10
Jun 2021 0 0 100 0
Sep 2021 0 0 0 0
Cal 2021 2,165 2,999 2,255 0
Fin 2022 925 1,537 765 0
Cal 2022 315 845 785 0
Fin 2023 0 15 450 0
Cal 2023 0 30 175 0
Total 6,250 8,434 6,400 30