ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 20/05/2019

Weekly Highlights*

  • FY 20 forward curve was up
    • NSW = $90.25 (up $1.95)
    • VIC = $101.99 (up $2.50)
    • QLD = $76.13 (down $1.38)
    • SA = $101.64 (up $0.27)
  • Q2 19 was up
    • NSW = $84 (up $1.30)
    • VIC = $102.50 (up $3.50)
    • QLD = $73.15 (up $0.40)
    • SA = $99 (unchanged)
  • Q3 19 was up
    • NSW = $89.06 (up $2.06)
    • VIC = $98.60 (up $4)
    • QLD = $77.50 (up $2.08)
    • SA = $96 (unchanged)
  • Implied at-the-money base load Q2 2019 average rate option volatility settled at 30% in NSW, 30% in VIC, 28.74% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 29.77% in NSW, 30% in VIC, 23.31% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2020 option volatility settled at 11.43% in NSW, 7.50% in VIC, 11.31% in QLD and 7.50% in SA.

This week's distribution of volume by region: NSW 19.49%, QLD 42.32%, VIC 37.02% and SA 1.17%.

Overall Open Interest has increased by 540 to 56,007 lots. Futures increased by 635 to 40,631 lots and Options decreased by 95 to 15,376 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $1,622 million
  • Futures contracts traded this week (including Cap futures) = 6,608
    • Base Months = 0
    • Base Quarters = 6,281
    • Peak Quarters = 55
    • Base Cap Quarters = 272
  • Quarterly Average Rate Options traded this week = 802
  • Calendar Year Options traded this week = 500 (2,000 quarterly equivalent contracts)
  • Financial Year Options traded this week = 80 (320 quarterly equivalent contracts)
  • Volume of EFP this week = 25
  • Volume of Block Trades this week = 1,710
  • Total MWh traded this week = 21.29 million MWh
  • Open Interest (including caps and options) = 56,007 (representing 174 million MWh and a face value of $11.94 billion approx.)

Monthly Volume*

  • FY 18/19 average daily volume = 848
  • 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 19 volume to date = 16,417 / avg daily volume = 1,173
  • 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
  • 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 20 May 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
May 2019 - 5 - 0 - 0 - 0
Jun 2019 - 5 - 0 - 0 - 0
Jul 2019 - 0 - 0 - 0 - 0
Aug 2019 - 0 - 0 - 0 - 0
Sep 2019 - 0 - 0 - 0 - 0
Q22019 259 2,208 127 2,037 67 1,613 1 333
Q32019 197 2,043 70 1,659 127 1,669 1 362
Q42019 115 1,894 55 1,657 102 1,686 1 428
Q12020 90 1,388 51 1,520 164 2,146 0 432
Q22020 95 1,357 55 1,104 115 1,507 0 263
Q32020 62 1,005 55 871 110 1,039 0 225
Q42020 64 1,034 41 874 110 1,052 0 235
Q12021 0 441 0 543 10 492 0 203
Q22021 0 405 0 461 10 445 0 70
Q32021 0 229 0 341 0 240 0 21
Q42021 0 226 0 334 0 235 0 20
Q12022 0 10 0 15 0 15 0 0
Q22022 0 10 0 20 0 20 0 0
Q32022 0 0 0 0 0 15 0 0
Q42022 0 0 0 0 0 15 0 0
Q12023 0 0 0 0 0 0 0 0
Q22023 0 0 0 0 0 0 0 0
Total 882 12,260 454 11,436 815 12,189 3 2,592

Options Open Interest As at COB Mon 20 May 2019

  NSW VIC QLD SA
Jun 2019 788 712 625 0
Sep 2019 415 525 325 0
Dec 2019 357 770 975 0
Mar 2020 200 761 300 0
Jun 2020 100 200 0 0
Sep 2020 0 150 50 0
Cal 2020 604 1,194 1,490 0
Fin 2021 90 400 885 0
Cal 2021 205 770 680 0
Fin 2022 0 200 215 0
Cal 2022 0 0 50 0
Total 2,759 5,682 5,595 0