ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 16/07/2018

Weekly Highlights*

  • CY 19 forward curve dropped over the week
    • NSW = $72.50 (down $1.77)
    • VIC = $80.22 (down $1.03)
    • QLD = $64.44 (down $0.94)
    • SA = $89.79 (down $0.14)
  • Q3 18 experienced similar price shifts
    • NSW = $77 (down $3)
    • VIC = $76.25 (down $2.75)
    • QLD = $70 (down $1.96)
    • SA = $90 (up $0.50)
  • Q4 18 followed the same downward trend
    • NSW = $69.50 (down $0.75)
    • VIC = $74.30 (down $0.95)
    • QLD = $66.51 (down $1.20)
    • SA = $80.00 (unchanged)
  • Implied at-the-money base load Q3 2018 average rate option volatility settled at 30% in NSW, 28.46% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 10.93% in NSW, 15.79% in VIC, 14.11% in QLD and 7.50% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 7.5% in NSW, 7.5% in VIC, 11.34% in QLD and 7.5% in SA.

This weeks distribution of volume by region: NSW 21%, QLD 27%, VIC 51% and SA 2%.

Overall Open Interest has risen by 939 lots. Futures rose by 509 lots to 35,991 lots and Options increased by 430 to 11,586 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $577.3 million
  • Futures contracts traded this week (including Cap futures) = 2,266
    • Base Months = 0
    • Base Quarters = 1,795
    • Peak Quarters = 7
    • Base Cap Quarters = 464
  • Quarterly Average Rate Options traded this week = 55
  • Calendar Year Options traded this week = 280 (1,120 quarterly equivalent contracts)
  • Financial Year Options traded this week = 185 (740 quarterly equivalent contracts)
  • Volume of EFP this week = 200
  • Volume of Block Trades this week = 875
  • Total MWh traded this week = 9.16m MWh
  • Open Interest (including caps and options) = 47,577 contracts (representing 132 million MWh and a face value of $8.32 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 579
  • 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
  • Jul 18 volume to date = 6,371 / avg daily volume = 579
  • 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 16 Jul 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jul 2018 - 120 - 0 - 0 - 31
Aug 2018 - 15 - 0 - 0 - 31
Sep 2018 - 60 - 20 - 0 - 31
Oct 2018 - 0 - 0 - 0 - 0
Nov 2018 - 0 - 0 - 0 - 0
Dec 2018 - 0 - 0 - 0 - 0
Q32018 157 1,844 180 1,979 103 1,679 2 308
Q42018 140 1,446 179 2,018 120 1,830 0 306
Q12019 66 1,298 54 1,811 134 1,636 2 379
Q22019 43 1,411 44 1,560 76 1,146 0 162
Q32019 15 1,228 37 1,259 45 1,000 0 116
Q42019 11 1,095 35 1,036 45 829 0 123
Q12020 17 692 1 686 20 1,033 0 58
Q22020 17 719 0 491 20 683 0 33
Q32020 4 340 0 300 0 274 0 33
Q42020 4 326 0 289 0 273 0 33
Q12021 0 11 0 60 0 76 0 25
Q22021 0 11 0 56 0 76 0 25
Q32021 0 0 0 0 0 5 0 0
Q42021 0 0 0 0 0 5 0 0
Q12022 0 0 0 0 0 0 0 0
Q22022 0 0 0 0 0 0 0 0
Total 474 10,616 530 11,565 563 10,545 4 1,694

Options Open Interest As at COB Mon 16 Jul 2018

  NSW VIC QLD SA
Sep 2018 765 497 502 0
Dec 2018 540 692 830 0
Mar 2019 210 560 500 40
Jun 2019 100 200 250 0
Sep 2019 100 230 100 0
Dec 2019 150 420 100 0
Mar 2020 0 150 50 0
Jun 2020 0 0 0 0
Cal 2019 764 875 946 65
Fin 2020 170 375 655 0
Cal 2020 80 235 160 0
Fin 2021 0 0 225 0
Cal 2021 25 0 25 0
Fin 2022 0 0 0 0
Total 2,904 4,234 4,343 105