ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 18/09/2017

Weekly Highlights*

FY18 forward curve moved up in the eastern states. NSW is up $1.32 to $103.34, VIC rose $0.92 to $117.02 and QLD grew $0.14 to $87.80. Whereas SA dropped by $0.08 to $122.55.

The spot quarter has fallen in all regions. NSW fell $0.70 to $96, VIC dropped $2 to $103.90, QLD declined by $1.45 to $80.50 and SA fell $4.50 to $104.50.

Trading concentrated in the VIC Base load quarter contract with 1,096 lots trading (46% of Base qtr volume). With majority of VIC base qtr trading in the 2018 (56%) and 2019 (34%) expiries.

Options trading made up 29% of this weeks volume.

  • Implied at-the-money base load Q3 2017 average rate option volatility settled at 37.41% in NSW, 38.59% in VIC, 31.05% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2018 option volatility settled at 23.61% in NSW, 20.85% in VIC, 25.12% in QLD and 7.5% in SA.
  • Implied at-the-money base load Financial Year 2019 option volatility settled at 14.62% in NSW, 18.74% in VIC, 18.95% in QLD and 7.5% in SA.

This weeks distribution of volume: NSW 21%, QLD 37%, VIC 42% and SA 0%.

Weekly Volume*^

  • Face Value of electricity traded this week = $706.85m
  • Futures contracts traded this week (including Cap futures) = 2,830
    • Base Months = 2
    • Base Quarters = 2,395
    • Peak Quarters = 124
    • Base Cap Quarters = 309
  • Quarterly Average Rate Options traded this week = 95
  • Calendar Year Options traded this week = 166 (664 quarterly equivalent contracts)
  • Financial Year Options traded this week = 105 (420 quarterly equivalent contracts)
  • Volume of EFP this week = 50
  • Volume of Block Trades this week = 505
  • Total MWh traded this week = 8.6.2m MWh
  • Open Interest (including caps and options) = 52,704 contracts (representing 161 million MWh and a face value of $12.12 billion approx.)

Monthly Volume*^

  • FY 17/18 average daily volume = 538
  • 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
  • Sep 17 volume to date = 8,371 / avg daily volume = 643
  • 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 18 Sep 2017

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Sep 2017 - 0 - 10 - 0 - 0
Oct 2017 - 0 - 0 - 0 - 0
Nov 2017 - 0 - 0 - 0 - 0
Dec 2017 - 0 - 0 - 2 - 0
Q32017 163 1,675 109 1,793 96 2,353 20 265
Q42017 57 1,440 98 2,139 244 2,290 5 336
Q12018 110 1,046 160 1,832 95 2,168 0 197
Q22018 98 1,043 120 1,464 62 1,741 0 153
Q32018 39 1,011 120 1,539 40 1,240 2 122
Q42018 37 978 115 1,745 45 1,413 0 106
Q12019 1 675 0 1,154 0 860 0 47
Q22019 1 798 0 1,010 10 844 0 44
Q32019 1 445 0 572 0 460 0 26
Q42019 1 442 0 562 0 360 0 26
Q12020 15 175 0 98 0 186 0 8
Q22020 15 173 0 98 0 188 0 8
Q32020 0 31 0 13 0 7 0 8
Q42020 0 31 0 13 0 7 0 8
Q12021 0 0 0 0 0 0 0 0
Q22021 0 0 0 0 0 0 0 0
Total 538 9,963 722 14,042 592 14,119 27 1,354

Options Open Interest As at COB Mon 18 Sep 2017

  NSW VIC QLD SA
Sep 2017 200 361 453 120
Dec 2017 295 560 291 10
Mar 2018 100 226 359 0
Jun 2018 150 150 141 0
Sep 2018 50 50 100 0
Dec 2018 50 150 175 0
Mar 2019 0 0 0 0
Jun 2019 0 0 0 0
Cal 2018 768 1,903 1,135 15
Fin 2019 395 594 1,035 0
Cal 2019 385 450 246 0
Fin 2020 0 0 430 0
Cal 2020 0 0 0 0
Fin 2021 0 0 0 0
Total 2,393 4,444 4,365 145