ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 29/06/2020

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Weekly Highlights*

  • FY 21 forward curve was lower again this week
    • NSW = $54.53 (down $3.30)
    • VIC = $57.84 (down $3.34)
    • QLD = $40.04 (down $1.71)
    • SA = $58.25 (down $2.38)
  • Q2 20 was also slightly lower across the curve
    • NSW = $43.80 (down $0.55)
    • VIC = $41.00 (down $0.50)
    • QLD = $34.30 (down $1.52)
    • SA = $40.55 (down $0.20)
  • Q3 20 was also lower across the board
    • NSW = $47.35 (down $3.15)
    • VIC = $46.50 (down $2.50)
    • QLD = $31.98 (down $1.52)
    • SA = $46.08 (down $1.98)
  • 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 20.40% in NSW, 22.60% in VIC, 21% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 17.40% in NSW, 18.0% in VIC, 17.8% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 27 %, QLD 38 %, VIC 34 % and SA 1 %.

Overall Open Interest has increased by 1,598 to 84,303 lots. Futures increased by 555 to 57,066 lots and Options increased by 1,043 to 27,237 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $909m
  • Futures contracts traded this week (including Cap futures) = 5,093
    • Base Months = 0
    • Base Quarters = 2,963
    • Peak Quarters = 3
    • Base Cap Quarters = 351
  • Quarterly Average Rate Options traded this week = 615
  • Calendar Year Options traded this week = 921 (3,684 quarterly equivalent contracts)
  • Financial Year Options traded this week = 240 (960 quarterly equivalent contracts)
  • Volume of EFP this week = 30
  • Volume of Block Trades this week = 2,480
  • Total MWh traded this week = 18,794 million MWh
  • Open Interest (including caps and options) = 84,303 (representing 286.8 million MWh and a face value of $15.083 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,307
  • 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= 29,258 / avg daily volume = 1,393
  • 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 29 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 2,837 168 2,174 152 2,678 0 335
Q42020 113 3,047 126 2,249 150 2,597 0 458
Q12021 47 3,281 89 2,042 55 2,275 0 463
Q22021 22 2,392 70 1,517 35 1,836 0 234
Q32021 4 1,149 30 1,169 25 1,360 0 152
Q42021 42 1,140 30 1,130 50 1,406 0 147
Q12022 0 784 70 861 25 1,060 0 42
Q22022 15 727 70 839 0 957 0 14
Q32022 0 247 80 518 0 490 0 13
Q42022 0 251 80 531 0 466 0 2
Q12023 0 106 25 177 0 252 0 12
Q22023 0 87 25 143 0 243 0 0
Q32023 0 49 0 35 0 88 0 0
Q42023 0 49 0 35 0 88 0 0
Q12024 0 0 0 5 0 0 0 0
Q22024 0 0 0 5 0 0 0 0
Total 353 16,156 863 13,430 492 15,801 0 1,872

Options Open Interest As at COB Mon 29 Jun 2020

  NSW VIC QLD SA
Sep 2020 1,421 1,122 915 25
Dec 2020 1,000 1,475 700 25
Mar 2021 300 415 230 10
Jun 2021 200 150 200 0
Sep 2021 0 0 0 0
Cal 2021 2,382 3,107 2,675 0
Fin 2022 950 1,537 1,120 0
Cal 2022 365 1,410 1,202 0
Fin 2023 75 165 550 0
Cal 2023 100 105 200 0
Fin 2024 0 0 0 0
Total 6,793 9,486 7,792 60