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