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Advanced Commodity Options

ICE Education
Course summary
1 day
850 GBP excl. VAT
Next available date: 30/11/2020 - London
Professional Training

Course description

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. Participants 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 participants 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 participants' individual issues/scenarios to be addressed.

Suitability - 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

Training 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

About provider

Intercontinental Exchange

Intercontinental Exchange - Open Courses in Commodities and Financial Markets

Intercontinental Exchange's diverse markets span futures and options on interest rates, commodities, indexes and FX, as well as equities and equity options. These markets are relied upon by international market participants, along with our post-trade infrastructure. ICE is uniquely positioned...

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Contact info

ICE Education

5th Floor, Milton Gate, Chiswell Street
EC1Y 4SA London

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Average rating 5

Based on 4 reviews

Anonymous - Corporate Client
The content and knowledge of the trainers was the most useful part of the course.
Anonymous - Corporate Client
The course showed us a new way of looking at exposure
Anonymous - Corporate Client
The trainers were very good and know their subject matter well
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Course rating
Based on 4 reviews
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