ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 23/03/2020

Weekly Highlights*

  • CY 20 forward curve was down
    • NSW = $64.67 (down $2.55)
    • VIC = $58.51 (down $2.59)
    • QLD = $48.81 (down $2.65)
    • SA = $54.48 (down $2.58)
  • Q1 20 was mixed
    • NSW = $85.95 (up $0.45)
    • VIC = $78.25 (unchanged)
    • QLD = $54 (down $0.89)
    • SA = $66.50 (unchanged)
  • Q2 20 was down
    • NSW = $55.60 (down $4.40)
    • VIC = $50.75 (down $3.75)
    • QLD = $45 (down $4.50)
    • SA = $49 (down $3.25)
  • Implied at-the-money base load Q1 2020 average rate option volatility settled at 30% in NSW, 30% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 30% in NSW, 30% in VIC, 28.05% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 22.76% in NSW, 30% in VIC, 30% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 26.73%, QLD 46.96%, VIC 23.90% and SA 2.41%.

Overall Open Interest has increased by 1,143 to 83,376 lots. Futures increased by 938 to 58,089 lots and Options increased by 205 to 25,287 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $385.65 Million
  • Futures contracts traded this week (including Cap futures) = 3,261
    • Base Months = 6
    • Base Quarters = 2,484
    • Peak Quarters = 9
    • Base Cap Quarters = 492
  • Quarterly Average Rate Options traded this week = 180
  • Calendar Year Options traded this week = 90 (360 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0 (0 quarterly equivalent contracts)
  • Volume of EFP this week = 55
  • Volume of Block Trades this week = 875
  • Total MWh traded this week = 7.71 million MWh
  • Open Interest (including caps and options) = 83,376 (representing 275.51 million MWh and a face value of $16.91 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,244
  • 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
  • Mar 20 volume to date = 15,856 / avg daily volume = 991
  • 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

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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 23 Mar 2020

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Apr 2020 - 0 - 5 - 0 - 0
May 2020 - 0 - 0 - 0 - 0
Jun 2020 - 116 - 0 - 0 - 0
Q22020 154 2,379 86 1,744 164 2,647 0 383
Q32020 105 2,286 161 2,128 147 2,389 0 338
Q42020 113 2,609 127 2,221 145 2,148 0 425
Q12021 22 2,388 61 1,990 45 1,930 0 391
Q22021 22 1,698 55 1,430 35 1,514 0 199
Q32021 4 959 15 994 25 1,191 0 140
Q42021 4 971 15 968 25 1,168 0 134
Q12022 0 611 15 655 0 733 0 22
Q22022 0 606 15 619 0 675 0 6
Q32022 0 174 0 353 0 356 0 11
Q42022 0 172 0 346 0 413 0 1
Q12023 0 10 0 93 0 145 0 2
Q22023 0 10 0 93 0 145 0 0
Q32023 0 0 0 2 0 0 0 0
Q42023 0 0 0 2 0 0 0 0
Total 424 14,989 550 13,643 586 15,454 0 2,052

Options Open Interest As at COB Mon 23 Mar 2020

  NSW VIC QLD SA
Jun 2020 865 741 515 20
Sep 2020 430 562 485 0
Dec 2020 475 615 300 0
Mar 2021 0 50 100 0
Jun 2021 0 0 100 0
Fin 2021 1,150 1,382 2,235 0
Cal 2021 1,695 2,406 1,880 0
Fin 2022 575 1,192 690 0
Cal 2022 255 210 560 0
Fin 2023 0 0 325 0
Cal 2023 0 0 0 0
Total 5,445 7,158 7,190 20