Commodity Options Part 3: CLASSROOM

This course is aimed at delegates who have completed Parts 1 and 2 of Commodity Options. These classroom sessions are led by experienced traders and trainers who engage to bring theory to life through real-world insight to the options markets. The aim of this program is to explore and apply the advanced level concepts and tools of the Commodity Options markets. We draw on markets that are representative for all delegates to ensure relevance to every situation. This is the third and final part of a series of three modules in the Commodity Options Series.

February 2024 Class - FULL

Course Information

Price £995 + VAT
Duration 1 day
Location London
Available Dates
Sep 23 2024  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

Session 1 - Key principles & volatility

  • Introduction
  • Course structure and agenda
  • Options - key principles

o Intrinsic value & time value - put-call parity

o Option pricing, relationships & modelling

o Option strategy - the trading decision

o Option prices & delta

  • Volatility

o Key types

o Uses

  • Q&A session

Session 2 - Implied volatility ranges & interpretation of volatility

  • Implied volatility ranges

o Across asset classes

o In relevant contracts

  • Interpretation of implied volatility numbers

o Probability theory

o Translated to markets & metrics

  • Annual basis
  • Other periods (month, week, etc.)
  • Q&A session
  • Exercises

Session 3 - Volatility skew

  • Skew in mathematics - probability theory
  • Market psychology and the reasons for skew
  • Volatility skew in practice

o Across different asset classes (positive/negative/smile)

o In specific relevant contracts

o Ways to monitor skew

  • ICE Option Analytics- skew in practice
  • Empirical observations
  • Q&A session
  • Exercises

Session 4 - Option market-making & gamma

  • Market-makers in real-world option markets

o Role of market-makers

o Standard practices of market-makers:

  • Delta hedging & neutrality
  • Trading volatility
  • How market volatility moves
  • The primary Greeks revisited
  • Gamma - the key secondary Greek

o Definition

o Examples

o Trading long gamma

o Trading short gamma- being whip-sawed

o Gamma rent

  • Q&A session
  • Exercises

Session 5 - Advanced option strategy

  • The option trading decision revisited
  • How to optimise potential returns
  • Long premium strategies

o Long vertical spreads

o Variations on verticals

  • Selling options safely

o Short straddle vs iron fly

o Short strangle vs iron condor

  • Further strategies (in brief)

o Collars (fences) revisited

o Horizontal spreads

  • Q&A session
  • Exercises

Session 6 - Option spreads & combinations

  • OTC exotic structures

o Accumulators

  • Option portfolio risk management

o Heuristic rules

o Portfolio Greeks

o What-if reports

  • Q&A on this session
  • Summary/round-up of day
  • Exposition of digital post-course resources
  • Information on post-course clinic
  • "Final Q&A