Course description
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.
Upcoming start dates
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
- Technology check in to ensure all technology working and that all participants have required access.
- Session 1 - Key principles & volatility
- Introduction
- Course structure and agenda
- Options - key principles
- Intrinsic value & time value - put-call parity
- Option pricing, relationships & modelling
- Option strategy - the trading decision
- Option prices & delta
- Volatility
- Key types
- Uses
- Q&A session
- Section 2 - Implied volatility ranges & interpretation of volatility
- Implied volatility ranges
- Across asset classes
- In relevant contracts
- Interpretation of implied volatility numbers
- Probability theory
- Translated to markets & metrics
- Annual basis
- Other periods (month, week, etc.)
- Q&A session
- Exercises
- Implied volatility ranges
- Session 3 - Volatility skew
- Skew in mathematics - probability theory
- Market psychology and the reasons for skew
- Volatility skew in practice
- Across different asset classes (positive/negative/smile)
- In specific relevant contracts
- 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
- Role of market-makers
- Standard practices of market-makers
- Delta hedging & neutrality
- Trading volatility
- How market volatility moves
- The primary Greeks revisited
- Gamma - the key secondary Greek
- Definition
- Examples
- Trading long gamma
- Trading short gamma- being whip-sawed
- Gamma rent
- Q&A session
- Exercises
- Market-makers in real-world option markets
- Session 5 - Advanced option strategy
- The option trading decision revisited
- How to optimise potential returns
- Long premium strategies
- Long vertical spreads
- Variations on verticals
- Selling options safely
- Short straddle vs iron fly
- Short strangle vs iron condor
- Further strategies (in brief)
- Collars (fences) revisited
- Horizontal spreads
- Q&A session
- Exercises
- Session 6 - Option spreads & combinations
- OTC exotic structures
- Accumulators
- Option portfolio risk management
- Heuristic rules
- Portfolio Greeks
- 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
- OTC exotic structures
Reviews
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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...
The structure of the course was great and overall I was very impressed.