ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 01/06/2020

Weekly Highlights*

  • FY 21 forward curve up across the board
    • NSW = $59.91 (up $0.45)
    • VIC = $60.92 (up $2.16)
    • QLD = $45.32 (up $1.20)
    • SA = $60.65 (up $2.47)
  • Q2 20 was also up across the board
    • NSW = $43.00 (up $0.50)
    • VIC = $40.44 (up $1.69)
    • QLD = $35.00 (up $2.50)
    • SA = $36 (unch)
  • Q3 20 was also up
    • NSW = $53.25 (up $0.27)
    • VIC = $50.00 (up $1.50)
    • QLD = $38.10 (up $2.35)
    • SA = $47.75 (up $2.75)
  • Implied at-the-money base load Q2 2020 average rate option volatility settled at 30% in NSW, 30% in VIC, 47.19% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 22.72% in NSW, 21.00% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 18.63% in NSW, 30% in VIC, 30% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 28 %, QLD 42 %, VIC 29 % and SA 1 %.

Overall Open Interest has decreased by 1,902 to 76,320 lots. Futures increased by 1,241 to 53,818 lots and Options decreased by 3,143 to 22,502 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1.29 Bln
  • Futures contracts traded this week (including Cap futures) = 7,028
    • Base Months = 0
    • Base Quarters = 6,924
    • Peak Quarters = 0
    • Base Cap Quarters = 104
  • Quarterly Average Rate Options traded this week = 865
  • Calendar Year Options traded this week = 595 (2,380 quarterly equivalent contracts)
  • Financial Year Options traded this week = 75 (300 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 1,662
  • Total MWh traded this week = 23 million MWh
  • Open Interest (including caps and options) = 76,320 (representing 256 million MWh and a face value of $13.84 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,290
  • FY 18/19 average daily volume = 865
  • 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
  • May 20 volume to date = 26,518 / avg daily volume = 1,560
  • Apr 20 total volume = 25,884 / avg daily volume = 1,294
  • Mar 20 total volume = 27,569 / avg daily volume = 1,253
  • Feb 20 total volume = 34,142 / avg daily volume = 1,707
  • Jan 20 total volume = 28,814 / avg daily volume = 1,310
  • Dec 19 total volume = 23,380 / avg daily volume = 1,169
  • Nov 19 total volume = 30,915 / avg daily volume = 1,472
  • Oct 19 total volume = 23,384 / avg daily volume = 1,017
  • Sep 19 total volume = 24,529 / avg daily volume = 1,168
  • Aug 19 total volume = 22,307 / avg daily volume = 1,297
  • Jul 19 total volume = 24,389 / avg daily volume = 1,060
  • Jun 19 total volume = 20,563 / avg daily volume = 1,028
  • May 19 total volume = 24,896 / avg daily volume = 1,082
  • Apr 19 total volume = 12,260 / avg daily volume = 645
  • Mar 19 total volume = 20,022 / avg daily volume = 953
  • Feb 19 total volume = 16,582 / avg daily volume = 829
  • Jan 19 total volume = 14,670 / avg daily volume = 667
  • Dec 18 total volume = 13,493 / avg daily volume = 710
  • Nov 18 total volume = 28,376 / avg daily volume = 1,290
  • Oct 18 total volume = 21,811 / avg daily volume = 948
  • Sep 18 total volume = 11,561 / avg daily volume = 578
  • Aug 18 total volume = 19,368 / avg daily volume = 842
  • Jul 18 total volume = 16,190 / avg daily volume = 735
  • 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
*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

Disclaimer

Further Terms and Conditions

Privacy Statement

Subscribe to the Market Wrap by email

Get the Market Wrap delivered to your inbox every Tuesday


Chart Futures, Caps and Options VolumeChart Futures, Caps and Options Volume

Futures and Caps Open Interest - Peak=Futures, Base=Futures+Caps - as at COB Wed 3 Jun 2020

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jun 2020 - 138 - 15 - 0 - 0
Jul 2020 - 5 - 0 - 0 - 0
Aug 2020 - 5 - 0 - 0 - 0
Sep 2020 - 0 - 0 - 0 - 0
Q22020 155 2,511 86 1,891 164 2,696 0 409
Q32020 110 2,790 168 2,114 147 2,561 0 333
Q42020 113 2,996 127 2,291 145 2,425 0 451
Q12021 47 3,049 82 2,090 55 2,105 0 458
Q22021 22 2,218 70 1,613 35 1,702 0 236
Q32021 4 1,068 30 1,162 25 1,283 0 157
Q42021 29 1,045 30 1,152 50 1,277 0 147
Q12022 0 802 70 832 25 1,030 0 43
Q22022 0 727 70 765 0 912 0 13
Q32022 0 241 80 473 0 455 0 13
Q42022 0 246 80 471 0 442 0 2
Q12023 0 88 25 142 0 225 0 14
Q22023 0 77 25 133 0 223 0 0
Q32023 0 39 0 37 0 78 0 0
Q42023 0 39 0 37 0 78 0 0
Q12024 0 0 0 0 0 0 0 0
Q22024 0 0 0 0 0 0 0 0
Total 480 18,084 943 15,218 646 17,492 0 2,276

Options Open Interest As at COB Wed 3 Jun 2020

  NSW VIC QLD SA
Jun 2020 1,085 946 680 20
Sep 2020 1,031 1,072 815 0
Dec 2020 800 1,185 650 0
Mar 2021 300 325 230 10
Jun 2021 0 0 100 0
Sep 2021 0 0 0 0
Cal 2021 2,309 3,004 2,525 0
Fin 2022 925 1,537 940 0
Cal 2022 365 945 1,102 0
Fin 2023 0 165 550 0
Cal 2023 100 105 175 0
Fin 2024 0 0 0 0
Total 6,915 9,284 7,767 30