ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 18/11/2019

Weekly Highlights*

  • CY 20 forward curve was down
    • NSW = $83.90 (down $0.25)
    • VIC = $97.58 (down $0.91)
    • QLD = $69.50 (down $0.50)
    • SA = $91.23 (down $5.14)
  • Q4 19 was down
    • NSW = $85 (down $2.50)
    • VIC = $86.25 (down $3.25)
    • QLD = $67.75 (down $0.75)
    • SA = $65 (down $2.12)
  • Q1 20 was down
    • NSW = $102 (down $0.75)
    • VIC = $145.50 (down $2.50)
    • QLD = $87.50 (down $1.77)
    • SA = $135 (down $10)
  • Implied at-the-money base load Q4 2019 average rate option volatility settled at 28.33% in NSW, 29.75% in VIC, 24.57% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 22.04% in NSW, 22.26% in VIC, 9.96% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 22.85% in NSW, 23.46% in VIC, 23.33% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 37.62%, QLD 34.80%, VIC 25.76% and SA 1.82%.

Overall Open Interest has increased by 751 to 74,946 lots. Futures increased by 851 to 48,793 lots and Options decreased by 100 to 26,153 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1.01 billion
  • Futures contracts traded this week (including Cap futures) = 4,101
    • Base Months = 0
    • Base Quarters = 3,340
    • Peak Quarters = 24
    • Base Cap Quarters = 737
  • Quarterly Average Rate Options traded this week = 177
  • Calendar Year Options traded this week = 500 (2,000 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 30
  • Volume of Block Trades this week = 1,700
  • Total MWh traded this week = 13.74 million MWh
  • Open Interest (including caps and options) = 74,946 (representing 258.09 million MWh and a face value of $18.73 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,113
  • 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
  • Nov 19 volume to date = 11,586 / avg daily volume = 966
  • 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 18 Nov 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Nov 2019 - 0 - 0 - 0 - 0
Dec 2019 - 0 - 0 - 0 - 0
Jan 2020 - 0 - 0 - 0 - 0
Feb 2020 - 0 - 0 - 0 - 0
Mar 2020 - 0 - 0 - 0 - 0
Q42019 195 2,493 95 2,093 142 2,198 1 361
Q12020 212 2,510 136 1,985 239 2,990 0 554
Q22020 135 1,596 76 1,321 162 2,175 0 315
Q32020 95 1,646 147 1,362 145 1,933 0 271
Q42020 113 1,936 115 1,487 145 1,813 0 287
Q12021 20 1,512 45 1,107 10 1,304 0 303
Q22021 20 1,040 45 969 10 1,001 0 138
Q32021 0 663 0 602 0 801 0 92
Q42021 0 662 0 641 0 807 0 89
Q12022 0 389 0 418 0 419 0 1
Q22022 0 380 0 383 0 417 0 5
Q32022 0 99 0 205 0 100 0 1
Q42022 0 97 0 194 0 98 0 1
Q12023 0 0 0 98 0 15 0 0
Q22023 0 0 0 98 0 15 0 0
Q32023 0 0 0 0 0 0 0 0
Q42023 0 0 0 0 0 0 0 0
Total 790 15,023 659 12,963 853 16,086 1 2,418

Options Open Interest As at COB Mon 18 Nov 2019

  NSW VIC QLD SA
Dec 2019 1,281 1,932 2,035 0
Mar 2020 735 1,947 1,225 0
Jun 2020 300 200 200 20
Sep 2020 100 300 200 0
Dec 2020 350 400 250 0
Mar 2021 0 0 0 0
Fin 2021 700 1,265 1,645 0
Cal 2021 705 1,269 1,015 0
Fin 2022 200 627 390 0
Cal 2022 180 50 100 0
Fin 2023 0 0 50 0
Total 4,551 7,990 7,110 20