REGISTER NOW: Options Trading Workshop in Sydney, 12 May 2011 & Melbourne, 16 June 2011
Fri 18 Mar 2011
ABOUT THE WORKSHOP
Learn to hedge with options in one of world's most liquid electricity options markets. The workshop will explain the reasons for the robust liquidity in the Australian electricity options market which now represents a record 129% of underlying system demand for Calendar 2011 to date. The key differences between the electricity options market and other markets will be covered. The workshop overviews the fundamental volatility drivers in the National Electricity pool and futures markets, relevant to options pricing and risk management (the option greeks). Hedging techniques for generators, retailers and industrial energy consumers will be demonstrated including how utility companies use options hedges to minimise hedge cash flow volatility and carbon price exposure. ASX 24 Clear (Futures) margining of electricity options is also covered.
WHO SHOULD ATTEND
The workshop will be of benefit to:
- (i) electricity retailers and generators seeking to optimise their hedging activities;
- (ii) fund managers seeking diversified investment opportunities;
- (iii) energy brokers and intermediaries seeking to improve and widen their electricity advisory services to clients; and
- (iv) investment banks seeking to provide hedge facilitation services to electricity-intensive clients.
WORKSHOP DETAILS
1. Sydney, Thursday 12 May 2011
2. Melbourne, Thursday 16 June 2011
Online Registration Form.
PRESENTER: Dean Price, General Manager
VENUE: TBC
DURATION: 9am - 3pm (6 hrs)
FEES: AUD $1,000 (ex GST) per person/ per workshop.
MATERIALS: Workshop notes, refreshments & lunch.
WORKSHOP AGENDA
A. Introduction to Electricity Options
- 1. The Basics including option valuation
- Electricity futures
- Electricity options
- The Option Greeks (dynamic option valuation): Delta, Vega, Gamma, Theta, Rho and Charm
B. Putting it all together: A day in the life of a professional electricity options trader
- 2. Electricity Hedging Strategies - Directional strategies
- Using Options to hedge futures prices:
- Retailers and Generators
- Futures price increases
- Futures price decreases
- Range bound Futures prices
- Case studies using historical option trades
- 3. Basic Volatility Trading Strategies
- Understanding and "trading" Volatility
- Implied Volatility
- Historical Volatility: definition and measurement
- 4. Skew Trading - Deal Execution and Strategy
- What is a volatility skew and what creates a skew
- MTM treatment of skews
- Skew Trading Objectives
- Trading into and out of a skew position
- 5. Volatility Trading Objectives when:
- Futures prices are expected to be volatile
- Futures prices are expected to be static
- Futures prices are expected to be range bound
C. Managing the Option Expiry
- The effect on and relevance of Option Greeks
- Calculating the expected futures delivery
- When futures prices shift through strikes
- "Pin" risk
- The decision to exercise, or not
- 6. Mixing OTC and exchange traded positions
D. Miscellaneous
- 7. Using electricity options to hedge the purchase of an electricity utility hedge book.
REGISTER NOW
As there is a limited number of places per workshop, please register early to avoid disappointment, using the . Please note your place will be secured once payment is received.
For further information or to enrol for any workshop please contact a member of d-cyphaTrade via:
Domestic (Toll free): 1800 330 101
International: +61 2 9237 0900
To organise an in-house workshop please call a member of the d-cyphaTrade Team on 1800 330 101 to discuss your specific requirements.
Kind regards,