ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 15/06/2020

Weekly Highlights*

  • FY 21 forward curve was mixed
    • NSW = $58.62 (down $0.95)
    • VIC = $62.35 (up $0.01)
    • QLD = $44.16 (down $2.10)
    • SA = $61.69 (up $0.37)
  • Q2 20 was up across the curve
    • NSW = $44.50 (up $1.45)
    • VIC = $42.00 (up $1.50)
    • QLD = $35.60 (up $0.60)
    • SA = $41 (up $5.00)
  • Q3 20 was a little mixed
    • NSW = $52.01 (up $0.26)
    • VIC = $50.30 (up $0.30)
    • QLD = $36.00 (down $2.95)
    • SA = $48.50 (up $0.75)
  • Implied at-the-money base load Q2 2020 average rate option volatility settled at 30% in NSW, 30% in VIC, 47.19% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 22.72% in NSW, 21.00% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 18.63% in NSW, 30% in VIC, 30% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 41 %, QLD 26 %, VIC 32 % and SA 1 %.

Overall Open Interest has increased by 2,204 to 81,711 lots. Futures increased by 761 to 56,032 lots and Options increased by 1,443 to 25,679 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $787.7m
  • Futures contracts traded this week (including Cap futures) = 3,244
    • Base Months = 42
    • Base Quarters = 2,680
    • Peak Quarters = 6
    • Base Cap Quarters = 516
  • Quarterly Average Rate Options traded this week = 1530
  • Calendar Year Options traded this week = 605 (2,420 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 125
  • Volume of Block Trades this week = 2,500
  • Total MWh traded this week = 15.69 million MWh
  • Open Interest (including caps and options) = 81,711 (representing 275.3 million MWh and a face value of $14.930 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,300
  • 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
  • June 20 volume to date= 14,409 / avg daily volume = 1,309
  • May 20 total volume = 26,518 / avg daily volume = 1,560
  • 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 15 Jun 2020

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jul 2020 - 5 - 0 - 0 - 0
Aug 2020 - 5 - 0 - 0 - 0
Sep 2020 - 0 - 0 - 5 - 0
Q32020 110 2,868 168 2,146 147 2,572 0 333
Q42020 113 2,995 127 2,301 145 2,549 0 451
Q12021 47 3,161 88 2,064 55 2,139 0 460
Q22021 22 2,340 70 1,599 35 1,723 0 236
Q32021 4 1,086 30 1,170 25 1,290 0 157
Q42021 29 1,071 30 1,169 50 1,318 0 147
Q12022 0 746 70 877 25 1,046 0 43
Q22022 0 705 70 827 0 910 0 13
Q32022 0 242 80 509 0 457 0 13
Q42022 0 246 80 522 0 436 0 2
Q12023 0 106 25 177 0 227 0 14
Q22023 0 87 25 143 0 223 0 0
Q32023 0 49 0 30 0 78 0 0
Q42023 0 49 0 30 0 78 0 0
Q12024 0 0 0 0 0 0 0 0
Q22024 0 0 0 0 0 0 0 0
Total 325 15,761 863 13,564 482 15,051 0 1,869

Options Open Interest As at COB Mon 15 Jun 2020

  NSW VIC QLD SA
Sep 2020 1,171 1,072 890 0
Dec 2020 900 1,285 700 0
Mar 2021 300 415 230 10
Jun 2021 200 150 200 0
Sep 2021 0 0 0 0
Cal 2021 2,339 3,022 2,515 0
Fin 2022 925 1,537 955 0
Cal 2022 365 1,120 1,177 0
Fin 2023 0 165 550 0
Cal 2023 100 105 175 0
Fin 2024 0 0 0 0
Total 6,300 8,871 7,392 10