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Commodity Options Part 3: CLASSROOM

Course Information

Price£1,050.00 + VAT
Duration1 day
LocationLondon
Available Dates
February 21, 2025Register Now
May 16, 2025Register Now
September 12, 2025Register Now
November 21, 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 - 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