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Market Wrap 8/6/2020

Wed 10 Jun 2020

ELECTRICITY TRADING SUMMARY FOR THE WEEK ENDING MONDAY 08/06/2020

Weekly Highlights*

  • FY 21 forward curve was mostly up
    • NSW = $59.57 (down $0.37)
    • VIC = $62.34 (up $1.42)
    • QLD = $46.26 (up $.94)
    • SA = $61.32 (up $0.67)
  • Q2 20 was virtually unchanged
    • NSW = $43.05 (up $0.05)
    • VIC = $40.50 (up $0.06)
    • QLD = $35.00 (unch)
    • SA = $36 (unch)
  • Q3 20 was a little mixed
    • NSW = $51.75 (down $1.50)
    • VIC = $50.00 (unch)
    • QLD = $38.95 (up $0.85)
    • SA = $47.75 (unch)
  • Implied at-the-money base load Q2 2020 average rate option volatility settled at 30% in NSW, 30% in VIC, 47.19% in QLD and 30% in SA.
  • Implied at-the-money base load Calendar Year 2021 option volatility settled at 22.72% in NSW, 21.00% in VIC, 30% in QLD and 30% in SA.
  • Implied at-the-money base load Financial Year 2021 option volatility settled at 18.63% in NSW, 30% in VIC, 30% in QLD and 30% in SA.

This week's distribution of volume by region: NSW 28 %, QLD 42 %, VIC 29 % and SA 1 %.

Overall Open Interest has increased by 3,187 to 79,507 lots. Futures increased by 1,453 to 55,271 lots and Options increased by 1,734 to 24,236 lots.

Weekly Volume*^

  • Face Value of electricity traded this week = $774.5m
  • Futures contracts traded this week (including Cap futures) = 2762
    • Base Months = 4
    • Base Quarters = 2,452
    • Peak Quarters = 5
    • Base Cap Quarters = 301
  • Quarterly Average Rate Options traded this week = 594
  • Calendar Year Options traded this week = 470 (1,410 quarterly equivalent contracts)
  • Financial Year Options traded this week = 340 (1,020 quarterly equivalent contracts)
  • Volume of EFP this week = 335
  • Volume of Block Trades this week = 2,055
  • Total MWh traded this week = 14.4 million MWh
  • Open Interest (including caps and options) = 79,507 (representing 268.9 million MWh and a face value of $14.693 billion approx.)

Monthly Volume*

  • FY 19/20 average daily volume = 1,297
  • 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
  • June 20 volume to date= 7,215 / avg daily volume = 1,202
  • May 20 total volume = 26,518 / avg daily volume = 1,560
  • Apr 20 total volume = 25,884 / avg daily volume = 1,294
  • Mar 20 total volume = 27,569 / avg daily volume = 1,253
  • 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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