Advanced Commodity Options

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.

Course Information

Price £850 + VAT
Duration 1 day
Location London
Available Dates
Jun 10 2019  Register Now
Sep 30 2019  Register Now
Dec 02 2019  Register Now

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

Booking Information

Tel: +44 (0) 20 7065 7706

Course Content

Introductory session to establish existing knowledge of key principles

Volatility workshop

- 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

Course conclusion

- Further resources including post-course support

- Q&A session