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REGISTER NOW: Options Trading Workshops | Sydney, 3 April 2014

Mon 31 Mar 2014

>> Click here to REGISTER for 03 April 2014 Sydney Workshop

DURATION: 9am – 3pm (6 hrs)
FEES: AUD $1,314.50 per person/ per workshop.
MATERIALS: Workshop notes, refreshments & lunch.
ASSUMED KNOWLEDGE: Basic knowledge of futures markets.

OPTIONS WORKSHOP AGENDA

A. Introduction to Electricity Options

  • 1. The Basics including option valuation
    • Electricity options (Calendar, Financial & Average Rate 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 – Using Options to hedge futures prices:
    • Retailer hedges and Generators hedges
    • 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

Please register early to avoid disappointment, using the Online Registration Form. Please note your place will be secured once payment is received.

If you have any queries or would like to organise an in-house workshop please call a member of the ASX Energy Team on 1800 330 101 or email training@asxenergy.com.au to discuss your specific requirements.