Register now for Electricity Options Trading Workshops
Thu 5 Feb 2009
The size of the dcypha SFE electricity options market exceeds the option market of Nordpool, the world’s largest electricity derivative market, by 50% in MWh of Open Interest (January 2009).
ABOUT THE WORKSHOP
This workshop is designed to provide a practical guide to trading one of the largest electricity options markets in the world. The workshop will explain the popularity of the options market, including the liquidity stimulus provided by the Federal Australian Carbon Pollution Reduction Scheme. The course explains the key differences between the electricity options market and other options markets and overviews the fundamental volatility drivers in the physical and futures electricity markets, relevant to options pricing. Several useful options hedging techniques and strategies for generators, retailers and energy consumers will be provided. The course explains and analyses the trading techniques of professional option volatility traders and directional proprietary traders.
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 readying for the introduction of the CPRS wishing to offer full energy and carbon intermediation services to clients will also find the workshop of interest.
WORKSHOP DETAILS
DATE:
Brisbane, TBA
Sydney, 19-Feb 2009
Melbourne, 26-Feb 2009
PRESENTER: Dean Price, General Manager
VENUE: TBA
DURATION: 9am – 3pm (6 hrs)
FEES: AUD $1,000 (ex GST) pp
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 portfolio risk of bidding for a NSW electricity retailer
REGISTER NOW
For further information or to enrol for any workshop please contact a member of d-cyphaTrade via:
1. Phone
Domestic (Toll free): 1800 330 101
International: +61 2 9237 0900
2. Email
Please email training@d-cypha.com.au and a representative will be in touch with you shortly.
To organise an in-house workshop please call a member of the d-cyphaTrade Team on 1800 330 101 to discuss your specific requirements.