Market Wrap 22/6/2020

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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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
Q22024	0	0	0	5	0	0	0	0
Total	0	0	0	5	0	0	0	0

ASX Energy

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

Weekly Highlights*

Weekly Volume*^

Monthly Volume*

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Futures and Caps Open Interest - Peak=Futures, Base=Futures+Caps - as at COB Mon 22 Jun 2020