ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 17/09/2018

Weekly Highlights*

  • CY 19 forward curve was down across the regions
    • NSW = $84.20 (down $1.64)
    • VIC = $88.37 (down $3.13)
    • QLD = $69.50 (down $2.15)
    • SA = $96.71 (unch)
  • Q3 18 was alao down
    • NSW = $86.25 (down $3.50)
    • VIC = $77.50 (down $4.25)
    • QLD = $76.75 (down $1.25)
    • SA = $88.50 (down $1.00)
  • Q4 18 was also well down on the week
    • NSW = $80.75 (down $2.45)
    • VIC = $76.00 (down $5.00)
    • QLD = $69.75 (down $2.75)
    • SA = $80 (down $1.00)
  • Implied at-the-money base load Q4 2018 average rate option volatility settled at 32% in NSW, 33% in VIC, 31% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2019 option volatility settled at 13.45% in NSW, 13.76% in VIC, 13.79% in QLD and 14.18% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 7.50% in NSW, 7.5% in VIC, 14.35% in QLD and 7.5% in SA.

This weeks distribution of volume by region: NSW 33%, QLD 29%, VIC 36% and SA 2%.

Overall Open Interest has increased by 672 lots to 58,430. Futures rose by 219 lots to 44,191 lots and Options increased by 453 to 14,239 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $408.7 million
  • Futures contracts traded this week (including Cap futures) = 1,322
    • Base Months = 0
    • Base Quarters = 979
    • Peak Quarters = 32
    • Base Cap Quarters = 311
  • Quarterly Average Rate Options traded this week = 207
  • Calendar Year Options traded this week = 322 (1,288 quarterly equivalent contracts)
  • Financial Year Options traded this week = 0
  • Volume of EFP this week = 30
  • Volume of Block Trades this week = 835
  • Total MWh traded this week = 6.14 million MWh
  • Open Interest (including caps and options) = 58,430 contracts (representing 162.8 million MWh and a face value of $10.7 billion approx.)

Monthly Volume*^

  • FY 18/19 average daily volume = 750
  • 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
  • Sep 18 volume to date = 6,774 / avg daily volume = 616
  • 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 Fri 21 Sep 2018

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Sep 2018 - 162 - 120 - 20 - 31
Oct 2018 - 0 - 0 - 0 - 0
Nov 2018 - 0 - 0 - 0 - 0
Dec 2018 - 0 - 0 - 25 - 0
Q32018 157 1,972 181 2,045 103 1,836 2 313
Q42018 140 1,647 234 2,204 120 1,938 0 370
Q12019 171 1,471 100 2,122 145 1,754 22 460
Q22019 135 1,541 81 1,753 76 1,231 0 259
Q32019 65 1,352 47 1,426 70 1,203 0 206
Q42019 65 1,245 45 1,185 70 1,218 0 257
Q12020 76 842 10 1,174 80 1,566 0 260
Q22020 76 821 10 768 50 1,077 0 152
Q32020 62 581 10 448 0 472 0 130
Q42020 61 574 10 413 0 488 0 130
Q12021 0 96 0 105 0 146 0 50
Q22021 0 96 0 101 0 137 0 50
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 1,008 12,400 728 13,864 714 13,121 24 2,668

Options Open Interest As at COB Fri 21 Sep 2018

  NSW VIC QLD SA
Sep 2018 895 632 527 0
Dec 2018 679 1,104 1,007 0
Mar 2019 360 867 550 40
Jun 2019 110 225 300 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
Cal 2019 834 903 1,026 75
Fin 2020 180 417 780 0
Cal 2020 255 502 495 0
Fin 2021 0 0 225 0
Cal 2021 25 0 25 0
Fin 2022 0 0 0 0
Total 3,590 5,450 5,235 115