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REGISTER NOW: Electricity Options Trading Workshop

Tue 20 Apr 2010

ABOUT THE WORKSHOP

This workshop is designed to provide a practical guide to trading one of the world's largest electricity options markets. The workshop will explain the reasons for the rapid growth in popularity of the options market. The course explains the key differences between the electricity options market and other options markets and overviews the fundamental volatility drivers in the National Electricity pool market and futures electricity markets, relevant to options pricing. Several useful options hedging techniques and strategies for generators, retailers and industrial energy consumers will be provided. The course explains and analyses the trading techniques of professional option volatility traders and how utility companies can use options to minimise hedge cash flow requirements. Margining of electricity options is also covered.

WHO SHOULD ATTEND

The workshop will be of benefit to electricity retailers and generators seeking to optimise their hedging operations. Portfolio managers seeking diversified investment opportunities, energy brokers and intermediaries seeking to improve and widen the quality of services to energy traders, and investment and commercial banks will also find the workshop of interest.

WORKSHOP DETAILS

DATE: Sydney - Tuesday 25 May 2010
VENUE: TBA
DURATION: 9am – 3pm (6 hrs)
PRESENTER: Dean Price, General Manager
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 - practical use of options:

  • 2. Electricity Hedging Strategies for Retailers & Generators
    • Using Options to hedge movements in long term futures hedge prices:
    • How Retailers use options as insurance against Futures price increases
    • How Generators use options as insurance against Futures price decreases
    • How generators and retailers use "zero cost" option strategies to reduce hedge price risk
    • Case studies using historical option trades
  • 3. Using electricity options to minimise variation margin (cash flow) from hedges
  • 4. Basic Volatility Trading Strategies
    • Understanding and “trading” Volatility
    • Implied Volatility
    • Historical Volatility: definition and measurement
  • 5. Skew Trading - Deal Execution and Strategy
  • 6. Volatility Trading Objectives when:
    • Electricity Futures prices are expected to be volatile
    • Electricity Futures prices are expected to be static
    • Electricity Futures prices are expected to be range bound

C. Managing the Option Expiry

    • The effect on and relevance of Option Greeks on expiry
    • Calculating the expected volume of futures delivery
    • When futures prices shift through strikes
    • “Pin” risk
    • The decision to exercise, or not

D. Miscellaneous

  • 7. Using electricity options to hedge the "portfolio risk" of buying a NSW electricity retailer

REGISTER NOW

Please fill in your details using the Training Registration Form. Please note your place will be secured once payment is received.

For further information, enquiries or to organise an in-house workshop please contact the d-cyphaTrade Team on toll free 1800 330 101 or email Training@d-cypha.com.au.