ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 17/07/2017

Weekly Highlights*

The futures curve shifted down this week. FY18 contracts in NSW dropped $1.33 to $90.90, VIC lost $4.46 to $117.30, QLD slipped $3.60 to $80.06 and SA remained unchanged at $134.05.

Similarly the spot quarter has also dropped. NSW slipped $0.50 to $88.50, VIC lost $9.50 to $118.50, QLD fell $0.98 to $74.01 and SA remained the same at $131.40. The caps market in NSW lost $1.50 to $2, VIC dropped $1.70 to $2.30, QLD declined by $0.90 to $1.10 and SA lost $1.50 to $6.50.

Looking ahead to Q417 the price curve continued to drop. NSW moved down $3 to $91, VIC lost $2.85 to $119.10, QLD fell $4.99 to $80.51 and SA stayed at $122 again.

  • Implied at-the-money base load Q3 2017 average rate option volatility settled at 32.58% in NSW, 47.87% in VIC, 24.81% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 19.78% in NSW, 13.81% in VIC, 19.57% in QLD and 7.5% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 13.02% in NSW, 19.28% in VIC, 18.57% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 17%, QLD 25%, VIC 58% and SA 1%.

Overall Open Interest rose by 387 lots to 47,190; 37,133 futures and 10,057 options.

Weekly Volume*^

  • Face Value of electricity traded this week = $442.7
  • Futures contracts traded this week (including Cap futures) = 1,178
    • Base Months = 0
    • Base Quarters = 1,040
    • Peak Quarters = 3
    • Base Cap Quarters = 135
  • Quarterly Average Rate Options traded this week = 97
  • Calendar Year Options traded this week = 150 (600 quarterly equivalent contracts)
  • Financial Year Options traded this week = 95 (380 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 525
  • Total MWh traded this week = 4.94m MWh
  • Open Interest (including caps and options) = 47,190 contracts (representing 146 million MWh and a face value of $10.7 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 530
  • 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
  • Jul 17 volume to date = 5,832 / avg daily volume = 530
  • 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
  • Mar 16 total volume = 13,199 / avg daily volume = 629
  • Feb 16 total volume = 15,092 / avg daily volume = 718
  • Jan 16 total volume = 14,219 / avg daily volume = 710
  • Dec 15 total volume = 9,578 / avg daily volume = 456
  • Nov 15 total volume = 16,791 / avg daily volume = 799
  • Oct 15 total volume = 18,920 / avg daily volume = 860
  • Sep 15 total volume = 18,675 / avg daily volume = 849
  • Aug 15 total volume = 17,438 / avg daily volume = 830
  • Jul 15 total volume = 10,912 / avg daily volume = 476
*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 17 Jul 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jul 2017 - 0 - 1 - 0 - 0
Aug 2017 - 0 - 0 - 0 - 0
Sep 2017 - 0 - 10 - 0 - 0
Oct 2017 - 0 - 0 - 0 - 0
Nov 2017 - 0 - 0 - 0 - 0
Dec 2017 - 0 - 0 - 0 - 0
Q32017 163 1,710 102 1,797 96 2,409 20 265
Q42017 57 1,460 78 1,958 139 2,232 5 335
Q12018 105 1,124 148 1,744 80 2,017 0 130
Q22018 98 1,120 120 1,394 52 1,661 0 119
Q32018 38 959 115 1,319 30 986 2 112
Q42018 37 992 115 1,427 35 1,105 0 101
Q12019 1 621 0 811 0 629 0 44
Q22019 1 714 0 760 10 653 0 44
Q32019 1 327 0 426 0 345 0 26
Q42019 1 313 0 411 0 251 0 26
Q12020 0 76 0 43 0 113 0 8
Q22020 0 76 0 43 0 115 0 8
Q32020 0 31 0 13 0 5 0 8
Q42020 0 31 0 13 0 5 0 8
Q12021 0 0 0 0 0 0 0 0
Q22021 0 0 0 0 0 0 0 0
Total 502 9,554 678 12,170 442 12,526 27 1,234

Options Open Interest As at COB Mon 17 Jul 2017

  NSW VIC QLD SA
Sep 2017 200 356 453 110
Dec 2017 150 395 250 0
Mar 2018 0 175 359 0
Jun 2018 150 100 141 0
Sep 2018 50 50 100 0
Dec 2018 50 0 175 0
Mar 2019 0 0 0 0
Jun 2019 0 0 0 0
Cal 2018 684 1,860 1,017 0
Fin 2019 375 491 960 0
Cal 2019 335 395 246 0
Fin 2020 0 0 430 0
Cal 2020 0 0 0 0
Fin 2021 0 0 0 0
Total 1,994 3,822 4,131 110