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
^volume includes futures trades which result from option exercise, face value of options calculated at strike price
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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 |