ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 14/01/2019

Weekly Highlights*

  • CY 19 forward curve was up
    • NSW = $92.66 (up $3.42)
    • VIC = $103.83 (up $4.44)
    • QLD = $79.65 (up $3.04)
    • SA = $102.69 (up $2.48)
  • Q1 19 was up
    • NSW = $107.50 (up $2.50)
    • VIC = $135 (up $3)
    • QLD = $98 (up $4.25)
    • SA = $137.50 (unchanged)
  • Q2 19 was up
    • NSW = $95 (up $4.50)
    • VIC = $102.50 (up $5)
    • QLD = $79 (up $2)
    • SA = $101 (up $3.75)
  • Implied at-the-money base load Q1 2019 average rate option volatility settled at 30% in NSW, 44.53% in VIC, 30.87% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 29.25% in NSW, 26.41% in VIC, 23.26% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 7.50% in NSW, 7.50% in VIC, 14.46% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 42.59%, QLD 27.52%, VIC 27.46% and SA 2.43%.

Overall Open Interest has increased by 785 to 49,783 lots. Futures increased by 633 to 39,176 lots and Options increased by 152 to 10,607 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $463 million
  • Futures contracts traded this week (including Cap futures) = 2,446
    • Base Months = 0
    • Base Quarters = 1,903
    • Peak Quarters = 36
    • Base Cap Quarters = 507
  • Quarterly Average Rate Options traded this week = 31
  • Calendar Year Options traded this week = 102 (408 quarterly equivalent contracts)
  • Financial Year Options traded this week = 50 (200 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 235
  • Total MWh traded this week = 6.72 million MWh
  • Open Interest (including caps and options) = 49,783 (representing 143 million MWh and a face value of $9.81 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 838
  • 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
  • Jan 19 volume to date = 4,789 / avg daily volume = 532
  • 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 Mon 14 Jan 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jan 2019 - 0 - 0 - 0 - 0
Feb 2019 - 0 - 0 - 0 - 0
Mar 2019 - 0 - 0 - 0 - 0
Apr 2019 - 0 - 0 - 0 - 0
May 2019 - 0 - 0 - 0 - 0
Jun 2019 - 0 - 0 - 0 - 0
Q12019 210 1,839 98 2,185 142 2,179 22 531
Q22019 163 1,822 129 1,907 93 1,380 1 298
Q32019 99 1,840 67 1,463 72 1,458 1 317
Q42019 75 1,706 55 1,545 72 1,475 1 382
Q12020 77 1,038 40 1,404 189 2,007 0 292
Q22020 77 1,052 40 953 135 1,388 0 198
Q32020 62 637 40 685 135 810 0 181
Q42020 64 630 40 639 135 825 0 184
Q12021 0 137 0 283 10 166 0 52
Q22021 0 140 0 304 10 147 0 52
Q32021 0 28 0 77 0 46 0 2
Q42021 0 28 0 62 0 46 0 2
Q12022 0 0 0 0 0 0 0 0
Q22022 0 0 0 0 0 0 0 0
Q32022 0 0 0 0 0 0 0 0
Q42022 0 0 0 0 0 0 0 0
Total 827 10,897 509 11,507 993 11,927 25 2,491

Options Open Interest As at COB Mon 14 Jan 2019

  NSW VIC QLD SA
Mar 2019 460 1,317 715 40
Jun 2019 210 375 425 0
Sep 2019 100 257 125 0
Dec 2019 152 445 100 0
Mar 2020 0 150 75 0
Jun 2020 0 0 0 0
Sep 2020 0 0 50 0
Fin 2020 285 527 1,145 0
Cal 2020 460 729 1,015 0
Fin 2021 20 400 435 0
Cal 2021 75 295 225 0
Fin 2022 0 0 0 0
Cal 2022 0 0 0 0
Total 1,762 4,495 4,310 40