ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 23/04/2018

Weekly Highlights*

The CY 19 forward curve was mixed over the week. NSW gained $0.23 to $70.15, VIC lost $0.88 to $75.95, QLD rose $0.55 and SA lost $1.71 to $87.87.

Likewise, the spot quarter was mixed over the week. NSW lowered $0.15 to $74.85, VIC dropped $1 to $78.25, QLD gained $1.75 to $64.75 and SA declined by $3.00 to $90.00.

Looking forward to Q2 2018, the curve followed the same mixed trend. NSW lost $0.49 to $70.01, VIC fell $1.25 to $72.25, QLD prices moved up $0.59 to $60.19 and SA dropped $1 to $82.

  • Implied at-the-money base load Q2 2018 average rate option volatility settled at 30.00% in NSW, 30.00% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 13.48% in NSW, 17.15% in VIC, 19.02% in QLD and 7.5% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 11.39% in NSW, 14.83% in VIC, 14.83% in QLD and 7.50% in SA.

This weeks distribution of volume by region: NSW 18%, QLD 43%, VIC 36% and SA 3%.

Weekly Volume*^

  • Face Value of electricity traded this week = $427.6
  • Futures contracts traded this week (including Cap futures) = 1,683
    • Base Months = 20
    • Base Quarters = 1,003
    • Peak Quarters = 6
    • Base Cap Quarters = 654
  • Quarterly Average Rate Options traded this week = 450
  • Calendar Year Options traded this week = 125 (500 quarterly equivalent contracts)
  • Financial Year Options traded this week = 140 (560 quarterly equivalent contracts)
  • Volume of EFP this week = 20
  • Volume of Block Trades this week = 975
  • Total MWh traded this week = 6.97m MWh
  • Open Interest (including caps and options) = 46,758 contracts (representing 136.7 million MWh and a face value of $8.807 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 547
  • 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
  • Apr 18 volume to date = 9,696 / avg daily volume = 646
  • 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
  • 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
*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 23 Apr 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Apr 2018 - 2 - 14 - 0 - 2
May 2018 - 2 - 0 - 0 - 0
Jun 2018 - 7 - 0 - 0 - 0
Jul 2018 - 0 - 0 - 0 - 0
Aug 2018 - 0 - 0 - 0 - 0
Sep 2018 - 0 - 20 - 0 - 0
Q22018 176 1,471 186 2,021 174 2,178 0 335
Q32018 155 1,746 165 1,859 90 1,582 2 225
Q42018 134 1,392 167 2,019 120 1,689 0 222
Q12019 36 1,212 42 1,433 103 1,548 0 216
Q22019 33 1,256 39 1,323 85 1,106 0 113
Q32019 5 1,022 37 962 25 863 0 86
Q42019 1 928 35 913 25 741 0 86
Q12020 17 449 0 286 0 608 0 33
Q22020 17 455 0 218 0 414 0 33
Q32020 4 66 0 90 0 42 0 33
Q42020 4 67 0 89 0 43 0 33
Q12021 0 0 0 50 0 0 0 25
Q22021 0 0 0 50 0 5 0 25
Q32021 0 0 0 0 0 0 0 0
Q42021 0 0 0 0 0 0 0 0
Q12022 0 0 0 0 0 0 0 0
Q22022 0 0 0 0 0 0 0 0
Total 582 10,075 671 11,347 622 10,819 2 1,467

Options Open Interest As at COB Mon 23 Apr 2018

  NSW VIC QLD SA
Jun 2018 655 842 371 12
Sep 2018 540 395 500 0
Dec 2018 445 502 530 0
Mar 2019 160 200 300 0
Jun 2019 0 100 0 0
Sep 2019 0 0 0 0
Dec 2019 0 50 0 0
Mar 2020 0 0 0 0
Fin 2019 450 803 1,150 0
Cal 2019 698 689 896 40
Fin 2020 120 50 570 0
Cal 2020 30 0 75 0
Fin 2021 0 0 0 0
Cal 2021 0 0 0 0
Total 3,098 3,631 4,392 52