ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 18/03/2019

Weekly Highlights*

  • CY 19 forward curve was up on the week
    • NSW = $92.19 (up $1.19)
    • VIC = $113.25 (up $1.58)
    • QLD = $78.64 (up $0.66)
    • SA = $111.04 (up $0.44)
  • Q1 19 was mixed
    • NSW = $99 (down $0.71)
    • VIC = $166 (up $1.77)
    • QLD = $86.75 (up $0.25)
    • SA = $164 (unchanged)
  • Q2 19 was up
    • NSW = $95.25 (up $2.44)
    • VIC = $103.80 (up $2.30)
    • QLD = $80 (up $0.15)
    • SA = $102 (up $0.25)
  • Implied at-the-money base load Q1 2019 average rate option volatility settled at 30% in NSW, 34.27% in VIC, 30.93% in QLD and 2% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 24.86% in NSW, 30% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 14.48% in NSW, 7.50% in VIC, 14.39% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 21%, QLD 23%, VIC 52% and SA 3%.

Overall Open Interest has increased by 745 to 58,245 lots. Futures increased by 480 to 44,381 lots and Options increased by 265 to 13,864 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $578 million
  • Futures contracts traded this week (including Cap futures) = 2,054
    • Base Months = 0
    • Base Quarters = 1,687
    • Peak Quarters = 60
    • Base Cap Quarters = 307
  • Quarterly Average Rate Options traded this week = 4
  • Calendar Year Options traded this week = 240 (960 quarterly equivalent contracts)
  • Financial Year Options traded this week = 115 (460 quarterly equivalent contracts)
  • Volume of EFP this week = 50
  • Volume of Block Trades this week = 1,365
  • Total MWh traded this week = 7.54 million MWh
  • Open Interest (including caps and options) = 58,245 (representing 174 million MWh and a face value of $12 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 839
  • 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
  • Mar 19 volume to date = 11,053 / avg daily volume = 959
  • Feb 19 volume to date = 16,582 / avg daily volume = 829
  • Jan 19 volume to date = 14,670 / avg daily volume = 667
  • Dec 18 volume to date = 13,493 / avg daily volume = 710
  • Nov 18 volume to date = 28,376 / avg daily volume = 1,290
  • Oct 18 volume to date = 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
  • Dec 16 total volume = 12,300 / avg daily volume = 615
  • Nov 16 total volume = 24,280 / avg daily volume = 1,104
  • Oct 16 total volume = 13,128 / avg daily volume = 625
  • Sep 16 total volume = 15,358 / avg daily volume = 698
  • Aug 16 total volume = 13,309 / avg daily volume = 579
  • Jul 16 total volume = 8,643 / avg daily volume = 412
  • Jun 16 total volume = 17,453 / avg daily volume = 793
  • May 16 total volume = 16,758 / avg daily volume = 762
  • Apr 16 total volume = 11,788 / avg daily volume = 575
*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 Tue 19 Mar 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Mar 2019 - 0 - 0 - 0 - 0
Apr 2019 - 30 - 0 - 0 - 0
May 2019 - 5 - 0 - 0 - 0
Jun 2019 - 5 - 0 - 0 - 0
Q12019 210 2,030 98 2,503 142 2,167 22 466
Q22019 228 2,052 126 1,999 57 1,579 1 334
Q32019 124 1,926 67 1,439 127 1,435 1 362
Q42019 105 1,821 55 1,563 102 1,504 1 411
Q12020 89 1,303 41 1,529 164 2,000 0 342
Q22020 90 1,241 40 1,047 115 1,385 0 211
Q32020 62 906 40 806 110 931 0 194
Q42020 64 965 40 745 110 942 0 204
Q12021 0 342 0 418 10 337 0 79
Q22021 0 354 0 421 10 314 0 54
Q32021 0 170 0 274 0 165 0 4
Q42021 0 170 0 267 0 165 0 4
Q12022 0 0 0 0 0 0 0 0
Q22022 0 0 0 0 0 10 0 0
Q32022 0 0 0 0 0 0 0 0
Q42022 0 0 0 0 0 0 0 0
Total 972 13,320 507 13,011 947 12,934 25 2,665

Options Open Interest As at COB Tue 19 Mar 2019

  NSW VIC QLD SA
Mar 2019 470 1,294 720 40
Jun 2019 679 700 550 0
Sep 2019 100 285 150 0
Dec 2019 156 520 125 0
Mar 2020 0 385 100 0
Jun 2020 0 25 0 0
Sep 2020 0 0 50 0
Fin 2020 440 642 1,350 0
Cal 2020 494 1,019 1,145 0
Fin 2021 90 400 685 0
Cal 2021 100 530 570 0
Fin 2022 0 0 50 0
Cal 2022 0 0 0 0
Total 2,529 5,800 5,495 40