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Commodity Options Part 2: CLASSROOM

Course Information

Price£975.00 + VAT
Duration1 day
LocationLondon
Available Dates
February 19, 2025Register Now
May 14, 2025Register Now
September 10, 2025Register Now
November 19, 2025Register 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 - Option price & value

  • Introduction
  • Course structure and agenda
  • Option price& value

o Intrinsic value

o Time (extrinsic) value

o Put-call parity

o Marked-to-market vs premium-paid

  • Q&A session
  • Exercises on this session

o Filling in the blanks using PCP

o Delegates to find settlement prices online and check PCP

Session 2 - Option pricing

  • Introduction to standard (Black-Scholes) methodology

o Fair value

o Four pricing factors:

  • Underlying (in relation to strike)
  • Time & erosion
  • Interest rates
  • Volatility (historical & implied)
  • Q&A session
  • Exercises on this session

o Effects of changes in various pricing factors on option prices

Session 3 - Pricing & modelling

  • Discovering option prices in practice
  • Option pricing - models the Black Box
  • Option pricing theory - summary
  • Demonstration of pricing model

o Option pricing

o Derivation of implied volatility

o Changing the variables

  • Q&A session

Session 4 - Primary option sensitivities- Delta

  • Introducing the primary option sensitivities
  • Delta

o Mathematical explanation/definition

o Simple use and examples

o Alternative interpretation

o Properties of delta

o Uses of delta

  • Price prediction
  • Underlying equivalence
  • Risk management
  • Delta hedging

o Finding delta in practice

o (If time) practical demo of model and delta

  • Q&A session
  • Exercises

Session 5 - Delta hedging & further Greeks

  • Structure of real-world option markets

o Option market-makers

o Delta hedging

  • Delta neutrality

o Explanation

o Examples

  • Further primary Greeks:

o Theta

o Vega

o Rho

  • Introduction to option portfolio risk management
  • Q&A session
  • Exercises

Session 6 - Option spreads & combinations

  • Outright options vs option spreads
  • Evolution of option spreads
  • Principal option strategies

o Vertical spreads

  • Long (bull) call spreads
  • Short (bear) call spreads
  • Long (bear) put spreads
  • Short (bull) put spreads

o Volatility spreads

  • Long straddles
  • Short straddles
  • Long strangles
  • Short strangles

o Further strategies

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