ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 15/07/2019

Weekly Highlights*

  • FY 20 forward curve was mixed
    • NSW = $86.91 (down $1.38)
    • VIC = $109.20 (up $0.90)
    • QLD = $77.13 (down $2.02)
    • SA = $107.73 (up $2.06)
  • Q3 19 was down
    • NSW = $80.25 (down $2.75)
    • VIC = $98.25 (down $0.75)
    • QLD = $73.50 (down $4.80)
    • SA = $95 (unchanged)
  • Q4 19 was mixed
    • NSW = $85 (down $1)
    • VIC = $101.50 (up $2.75)
    • QLD = $76.75 (down $0.75)
    • SA = $99.75 (up $2.75)
  • Implied at-the-money base load Q3 2019 average rate option volatility settled at 30% in NSW, 30% in VIC, 25.55% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2020 option volatility settled at 17.61% in NSW, 23.90% in VIC, 23.10% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 24.01% in NSW, 23.03% in VIC, 23.06% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 18.54%, QLD 25.75%, VIC 54.51% and SA 1%.

Overall Open Interest has increased by 2,382 to 58,158 lots. Futures increased by 1,342 to 39,807 lots and Options increased by 1,040 to 18,351.

Weekly Volume*^

  • Face Value of electricity traded this week = $1,281 million
  • Futures contracts traded this week (including Cap futures) = 4,576
    • Base Months = 13
    • Base Quarters = 4,157
    • Peak Quarters = 6
    • Base Cap Quarters = 400
  • Quarterly Average Rate Options traded this week = 818
  • Calendar Year Options traded this week = 275 (1,100 quarterly equivalent contracts)
  • Financial Year Options traded this week = 200 (800 quarterly equivalent contracts)
  • Volume of EFP this week = 700
  • Volume of Block Trades this week = 2,550
  • Total MWh traded this week = 15.98 million MWh
  • Open Interest (including caps and options) = 58,158 (representing 193 million MWh and a face value of $13.96 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,272
  • 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
  • Jul 19 volume to date = 13,989 / avg daily volume = 1,272
  • 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 15 Jul 2019

  NSW VIC QLD SA
  Peak Base Peak Base Peak Base Peak Base
Jul 2019 - 40 - 0 - 0 - 0
Aug 2019 - 30 - 0 - 0 - 0
Sep 2019 - 0 - 28 - 0 - 0
Oct 2019 - 0 - 0 - 0 - 0
Nov 2019 - 0 - 0 - 0 - 0
Dec 2019 - 0 - 0 - 0 - 0
Q32019 207 2,196 103 1,775 142 1,861 1 369
Q42019 154 2,032 55 1,764 123 1,847 1 442
Q12020 161 1,689 96 1,657 209 2,323 0 488
Q22020 100 1,429 76 1,193 132 1,624 0 310
Q32020 62 1,116 90 1,094 110 1,145 0 265
Q42020 65 1,172 61 1,207 110 1,130 0 271
Q12021 0 517 0 852 10 640 0 213
Q22021 0 411 0 781 10 485 0 106
Q32021 0 256 0 487 0 348 0 56
Q42021 0 272 0 489 0 333 0 55
Q12022 0 52 0 218 0 100 0 0
Q22022 0 53 0 218 0 110 0 0
Q32022 0 0 0 65 0 25 0 0
Q42022 0 0 0 65 0 25 0 0
Q12023 0 0 0 0 0 0 0 0
Q22023 0 0 0 0 0 0 0 0
Total 749 11,265 481 11,893 846 11,996 2 2,575

Options Open Interest As at COB Mon 15 Jul 2019

  NSW VIC QLD SA
Sep 2019 555 1,194 822 0
Dec 2019 357 1,105 1,075 0
Mar 2020 300 1,041 565 0
Jun 2020 100 200 50 0
Sep 2020 0 300 50 0
Dec 2020 100 100 100 0
Cal 2020 1,364 1,869 2,200 0
Fin 2021 390 930 1,095 0
Cal 2021 205 889 730 0
Fin 2022 50 200 315 0
Cal 2022 0 0 100 0
Fin 2023 0 0 0 0
Total 3,421 7,828 7,102 0