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Australian Electricity Market Wrap

Mon 3 Aug 2020 - Fri 7 Aug 2020

Calendar Year Price as at Fri 7 Aug 2020

NSW VIC QLD SA
2021 54.95 59.00 41.09 57.74
2022 52.50 46.86 39.14 49.79
2023 57.00 46.49 38.89 50.19

Base Quarters

Contract Week Close Net Change Traded Volume Open Interest
NSW Base Q3 2020 $46.50 - 57 2408
VIC Base Q3 2020 $54.25 -$0.50 132 1741
QLD Base Q3 2020 $32.67 -$0.08 5 2218
SA Base Q3 2020 $51.56 -$2.44 - 199
NSW Base Q4 2020 $48.00 - 68 2494
VIC Base Q4 2020 $49.25 $1.20 49 1723
QLD Base Q4 2020 $34.25 -$0.25 90 2084
SA Base Q4 2020 $49.11 -$0.89 15 236

Cap Quarters

Contract Week Close Net Change Traded Volume Open Interest
NSW Caps Q3 2020 $1.00 - 15 518
VIC Caps Q3 2020 $1.00 - 1 452
QLD Caps Q3 2020 $0.60 - - 613
SA Caps Q3 2020 $1.50 -$0.80 - 140
NSW Caps Q4 2020 $5.80 - 30 673
VIC Caps Q4 2020 $5.75 - 1 595
QLD Caps Q4 2020 $2.25 $0.25 - 483
SA Caps Q4 2020 $6.00 - - 232

Options Volatility

Contract Call Put
Volatility Open Interest ATM($) Volatility Open Interest
NSW Q3 2020 30.00% 0 $47.00 44.71% 50
VIC Q3 2020 30.00% 0 $54.00 30.00% 0
QLD Q3 2020 30.00% 0 $33.00 47.32% 75
SA Q3 2020 30.00% 0 $52.00 30.00% 0
NSW FY 2022 30.00% 0 $53.00 19.08% 25
VIC FY 2022 30.00% 0 $52.00 19.19% 50
QLD FY 2022 15.01% 110 $40.00 18.68% 100
SA FY 2022 30.00% 0 $51.00 30.00% 0
NSW CY 2022 0.00% $0.00 0.00%
VIC CY 2022 0.00% $0.00 0.00%
QLD CY 2022 0.00% $0.00 0.00%
SA CY 2022 0.00% $0.00 0.00%

Futures and Caps Open Interest as at COB Fri 7 Aug 2020

  NSW VIC QLD SA
  Peak Base Caps Peak Base Caps Peak Base Caps Peak Base Caps
Aug 2020 - 5 - - 0 - - 0 - - 0 -
Sep 2020 - 0 - - 0 - - 5 - - 0 -
Oct 2020 - 0 - - 0 - - 0 - - 0 -
Nov 2020 - 0 - - 0 - - 0 - - 0 -
Dec 2020 - 0 - - 0 - - 0 - - 0 -
Q32020 110 2,408 518 168 1,741 452 157 2,218 613 0 199 140
Q42020 113 2,494 673 126 1,723 595 151 2,084 483 0 236 232
Q12021 47 2,483 1,008 101 1,607 550 92 1,850 606 0 206 274
Q22021 27 2,166 425 85 1,501 145 35 1,628 250 0 220 27
Q32021 4 1,377 0 42 1,403 0 35 1,418 0 0 174 0
Q42021 42 1,311 0 40 1,353 0 60 1,455 0 0 174 0
Q12022 0 866 0 70 990 0 25 1,101 0 0 60 0
Q22022 15 824 0 70 1,053 0 0 943 0 0 42 0
Q32022 0 282 0 80 528 0 0 524 0 0 25 0
Q42022 0 287 0 80 538 0 0 520 0 0 3 0
Q12023 0 123 0 25 184 0 0 288 0 0 14 0
Q22023 0 83 0 25 142 0 0 265 0 0 0 0
Q32023 0 54 0 0 40 0 0 91 0 0 0 0
Q42023 0 56 0 0 40 0 0 91 0 0 0 0
Q12024 0 19 0 0 5 0 0 0 0 0 0 0
Q22024 0 9 0 0 5 0 0 0 0 0 0 0
Total 358 14,847 2,624 912 12,853 1,742 555 14,481 1,952 0 1,353 673

Options Open Interest As at COB Fri 7 Aug 2020

  NSW VIC QLD SA
Sep 2020 1,677 1,279 1,117 25
Dec 2020 1,370 1,510 730 25
Mar 2021 325 481 240 40
Jun 2021 350 300 200 0
Sep 2021 0 0 0 0
Dec 2021 0 0 0 0
Cal 2021 2,695 3,312 3,115 10
Fin 2022 1,040 1,987 1,635 0
Cal 2022 566 1,661 1,792 0
Fin 2023 75 165 900 0
Cal 2023 176 106 285 0
Fin 2024 0 0 0 0
Total 8,274 10,801 10,014 100

Historical Trade Volumes

YearTotal VolumeAverage Daily Volume
FY 2019-2020336,7831,320.72
FY 2018-2019219,792872.19
FY 2017-2018154,394612.67
Jul 202034,0301,479.57
Jun 202031,3311,491.95
May 202033,9041,614.48
Apr 202025,8841,294.20
Mar 202027,5691,253.14
Feb 202034,1421,707.10
Jan 202028,8141,372.10
Dec 201923,3801,169.00
Nov 201930,9151,472.14
Oct 201923,3841,016.70
Sep 201924,5291,168.05
Aug 201928,5421,297.36
Jul 201924,3891,060.39
Jun 201920,5631,082.26
May 201924,8961,082.43
Apr 201912,260645.26
Mar 201920,022953.43
Feb 201916,582829.10
Jan 201914,670698.57
Dec 201813,493710.16
Nov 201828,3761,289.82
Oct 201821,811948.30
Sep 201811,561578.05

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