ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 12/11/2018

Weekly Highlights*

  • CY 19 forward curve was down
    • NSW = $93.01 (down $3.03)
    • VIC = $102.14 (down $2.23)
    • QLD = $78.63 (down $2.24)
    • SA = $106.12 (down $1.38)
  • Q4 18 was mixed
    • NSW = $89 (down $1.25)
    • VIC = $93.90 (down $2.10)
    • QLD = $84.10 (up $0.10)
    • SA = $94 (unchanged)
  • Q1 19 was down
    • NSW = $114.50 (down $3)
    • VIC = $134.50 (down $3.50)
    • QLD = $102.25 (down $3.50)
    • SA = $150.26 (unchanged)
  • Implied at-the-money base load Q4 2018 average rate option volatility settled at 32.58% in NSW, 31.61% in VIC, 30.35% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 14.26% in NSW, 12.62% in VIC, 16.75% in QLD and 7.50% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 7.50% in NSW, 7.50% in VIC, 15.72% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 19.76%, QLD 30.71%, VIC 47.75% and SA 1.78%.

Overall Open Interest has increased by 506 to 56,328 lots. Futures increased by 204 to 41,172 lots and Options increased by 302 to 15,156 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $370 million
  • Futures contracts traded this week (including Cap futures) = 1,233
    • Base Months = 0
    • Base Quarters = 813
    • Peak Quarters = 22
    • Base Cap Quarters = 398
  • Quarterly Average Rate Options traded this week = 232
  • Calendar Year Options traded this week = 225 (900 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 0
  • Volume of Block Trades this week = 1,300
  • Total MWh traded this week = 5.14 million MWh
  • Open Interest (including caps and options) = 56,328 contracts (representing 170.87 million MWh and a face value of $12.03 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 825
  • 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
  • Nov 18 volume to date = 10,317 / avg daily volume = 1,290
  • Oct 18 volume to date = 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
  • 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 12 Nov 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Nov 2018 - 0 - 0 - 0 - 0
Dec 2018 - 0 - 0 - 25 - 0
Jan 2019 - 0 - 0 - 0 - 0
Feb 2019 - 0 - 0 - 0 - 0
Mar 2019 - 0 - 0 - 0 - 0
Q42018 140 1,773 233 2,191 120 1,991 0 380
Q12019 198 1,574 100 2,039 140 1,972 22 521
Q22019 136 1,559 107 1,821 93 1,393 1 265
Q32019 66 1,493 57 1,303 70 1,499 1 230
Q42019 65 1,345 48 1,204 70 1,439 1 302
Q12020 76 958 10 1,164 106 1,875 0 290
Q22020 77 875 10 747 50 1,303 0 196
Q32020 62 570 10 605 10 686 0 179
Q42020 61 561 10 531 10 713 0 184
Q12021 0 108 0 231 10 153 0 52
Q22021 0 113 0 239 10 157 0 52
Q32021 0 0 0 31 0 35 0 2
Q42021 0 0 0 26 0 35 0 2
Q12022 0 0 0 0 0 0 0 0
Q22022 0 0 0 0 0 0 0 0
Q32022 0 0 0 0 0 0 0 0
Q42022 0 0 0 0 0 0 0 0
Total 881 10,929 585 12,132 689 13,276 25 2,655

Options Open Interest As at COB Mon 12 Nov 2018

  NSW VIC QLD SA
Dec 2018 686 1,216 1,011 0
Mar 2019 385 1,257 600 40
Jun 2019 210 375 400 0
Sep 2019 100 230 125 0
Dec 2019 152 420 100 0
Mar 2020 0 150 75 0
Jun 2020 0 0 0 0
Sep 2020 0 0 0 0
Cal 2019 869 1,065 1,101 75
Fin 2020 180 507 970 0
Cal 2020 330 662 830 0
Fin 2021 0 400 335 0
Cal 2021 25 75 200 0
Fin 2022 0 0 0 0
Total 2,937 6,357 5,747 115