Your browser is unsupported

Please visit this URL to review a list of supported browsers.

Options Volatility Trading Masterclass for Energy & Commodity Markets - Simulation Based: Classroom

Course Information

Price£2,600.00 + VAT
Duration3 days
LocationLondon
Available Dates

Who Should Attend

This course would benefit:

Oil and Gas Production and Refining Companies (private/state/public), Crude Oil, Gas and Emissions Traders, Global Commodity Companies, Risk Management Personnel, Sales and Marketing Executives, Energy Purchasing/Consuming companies, Production and Refining Companies, Financial and Treasury Department Personnel, Banks, Brokers, Hedge Funds, Regulators, Proprietary traders/CTAs/Family Offices, Graduate Training Programmes

Booking Information

Tel: +44 (0) 20 7065 7706

Course Content

Day 1

  • Quick overview of option basics - why use options instead of futures/forwards/swaps?
  • Redefining options - learning to think in multi-dimensional terms. Option pricing: how do the main inputs affect option prices and which is the most important?
  • Exploring synthetic options and understanding how we can 'recycle' an option position.
  • Interpreting and analysing volatility (the key variable): examples, exercises and analysis of current market conditions.
  • Using a pricing model to generate 'what-if' simulations. Understanding option 'skew' and what it is telling us (specifically in energy related markets).
  • Why do we see different skews in crude, natural gas and emissions?
  • Using ICE Connect analytical software to study historical and implied volatility - is current volatility cheap or expensive?
  • Understanding delta (the first of the option sensitivities (the 'Greeks'): worked examples and exercises in crude oil, natural gas and carbon emissions.
  • Introducing 'delta-hedging' and how we can isolate and trade vol as an asset in its own right.
  • Examination of further sensitivities: vega and theta (measuring our exposure to volatility shifts and time decay).

Day 2

  • First look at Volcube - simulations and gameplay with delegates taking on the role of a volatility trader/market-maker (including risk-managing an option portfolio).
  • Option strategies: hedging an underlying physical or futures position (outright options or the 'collar'/'fence').
  • Examination of speculative strategies: straddle, strangle, call spread, put spread.
  • Simulations/gameplay involving outright options and strategies.
  • Learning to trade 'long gamma': adjusting our delta-hedges to profit from volatility.

Day 3

  • Using ICE Options Analytics to calculate breakeven levels on 'long vol/long gamma' positions.
  • Understanding the directional nature of volatility in energy: real-world experience overriding theory.
  • Positioning ourselves correctly for current futures and volatility levels in anticipation of the next move.
  • Time spreads: creating and risk-managing long vega/positive theta positions to profit from time decay.
  • Further monitored /mentored classroom Volcube simulations.
  • Examples and exercises regarding further strategies: low cost, high-payoff 'exact tailoring' spreads: butterflies and condors.