ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 22/06/2020

Weekly Highlights*

  • FY 21 forward curve was lower this week
    • NSW = $57.83 (down $0.79)
    • VIC = $61.18 (down $1.17)
    • QLD = $41.75 (down $2.41)
    • SA = $60.63 (down $1.06)
  • Q2 20 was also lower across the curve
    • NSW = $44.35 (down $0.15)
    • VIC = $41.50 (down $0.50)
    • QLD = $35.00 (down $0.60)
    • SA = $40.75 (down $0.25)
  • Q3 20 was also lower
    • NSW = $50.50 (down $0.51)
    • VIC = $49.00 (down $1.30)
    • QLD = $33.50 (down $2.50)
    • SA = $47.98 (down $0.52)
  • Implied at-the-money base load Q2 2020 average rate option volatility settled at 52% in NSW, 47% in VIC, 41.19% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 21.00% in NSW, 21.60% in VIC, 20% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 18.00% in NSW, 18.5% in VIC, 17.8% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 33 %, QLD 33 %, VIC 30 % and SA 3 %.

Overall Open Interest has increased by 994 to 82,705 lots. Futures increased by 479 to 56,511 lots and Options increased by 515 to 26,194 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $675m
  • Futures contracts traded this week (including Cap futures) = 4,248
    • Base Months = 0
    • Base Quarters = 2,725
    • Peak Quarters = 43
    • Base Cap Quarters = 525
  • Quarterly Average Rate Options traded this week = 280
  • Calendar Year Options traded this week = 600 (2,400 quarterly equivalent contracts)
  • Financial Year Options traded this week = 75 (300 quarterly equivalent contracts)
  • Volume of EFP this week = 25
  • Volume of Block Trades this week = 1,210
  • Total MWh traded this week = 13.698 million MWh
  • Open Interest (including caps and options) = 82,705 (representing 279.6 million MWh and a face value of $15.048 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,299
  • 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= 20,682 / avg daily volume = 1,299
  • 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 22 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 2,875 168 2,166 152 2,626 0 333
Q42020 113 3,014 126 2,242 150 2,588 0 456
Q12021 47 3,220 88 2,079 55 2,193 0 460
Q22021 22 2,338 70 1,583 35 1,763 0 236
Q32021 4 1,078 30 1,199 25 1,310 0 157
Q42021 44 1,073 30 1,175 50 1,354 0 147
Q12022 0 745 70 893 25 1,045 0 44
Q22022 15 705 70 845 0 933 0 13
Q32022 0 248 80 523 0 469 0 13
Q42022 0 252 80 536 0 451 0 2
Q12023 0 106 25 177 0 232 0 10
Q22023 0 87 25 143 0 223 0 0
Q32023 0 49 0 35 0 78 0 0
Q42023 0 49 0 35 0 78 0 0
Q12024 0 0 0 5 0 0 0 0
Q22024 0 0 0 5 0 0 0 0
Total 355 15,849 862 13,641 492 15,348 0 1,871

Options Open Interest As at COB Mon 22 Jun 2020

  NSW VIC QLD SA
Sep 2020 1,271 1,122 865 0
Dec 2020 900 1,340 700 0
Mar 2021 300 415 230 10
Jun 2021 200 150 200 0
Sep 2021 0 0 0 0
Cal 2021 2,359 3,127 2,525 0
Fin 2022 925 1,537 955 0
Cal 2022 365 1,220 1,202 0
Fin 2023 75 165 550 0
Cal 2023 100 105 175 0
Fin 2024 0 0 0 0
Total 6,495 9,181 7,402 10