This is a one-day course for which some existing knowledge of options (e.g. intrinsic/time value, delta, volatility, etc.) is desirable. Delegates will learn to think of volatility as an asset class in its own right. As ex market-makers the course tutors have a deep understanding of the nature of volatility and how it 'behaves' in various commodity markets. The course is a step-up from the 2-day Commodity Options Workshop but the material is both accessible and practical.
Real-world examples relevant to delegates and practical trading/analytical tools are used throughout the course.
ICE Data Analytics provides real-time option pricing as well as price modelling and portfolio risk analysis.
Volcube, our unique, proprietary software provides valuable insight into the complex world of option market-making.
This course is designed to be flexible to allow delegates' individual issues/scenarios to be addressed.
|Price||£850 + VAT|
Who Should Attend
- Personnel from the commodity market, trading companies and other individuals who wish to gain an understanding of commodity options and their uses
- Risk management and financial departments of commodity producer and commodity trading companies
- Commodity supply and distribution companies
- Major commodity consuming businesses
- Trading companies, banks, brokers, government, regulators and associated organisations
Introductory session to establish existing knowledge of key principles
- Key types of volatility - backward looking and forward looking
- Implied volatility ranges - what is 'cheap', what is 'expensive'?
- Mathematical interpretation of volatility - what is it forecasting?
- 'Deep dive' into volatility skew - a further information source
- Time skew - seasonality, liquidity, mean reversion
- Volatility in practice - how do we trade a mathematical measure?
Trading volatility vs trading direction
- Principles of intelligent option trading
- Long options vs short options - learning to trade risk
- Fully understanding the option sensitivities: The Greeks
- Long option strategies - examples, rationale, Greeks
- Trading long gamma - benefitting from market shocks
- Gamma rent - the trade-off between volatility and time
- Short option strategies - examples, rationale, Greeks
- Selling options intelligently (relatively 'safely')
- Short gamma - risks, pitfalls, black swans
- Volatility neutral strategies - picking expiry targets
- Option market-making simulation using Volcube software
Introduction to exotic options
- Vanilla options vs exotic options
- Examples of exotic option features
- Accumulator structures typical in commodity option markets
Intelligent management of option risk
- Broad 'rules' of option risk management
- Key option sensitivities revisited
- Real-time analysis of relevant commodity options
- Dynamic option risk management - 'what if' reporting
- Real-time portfolio risk analysis using Volcube and IDA software
- Further resources including post-course support
- Q&A session