Course description
This course is aimed at delegates who have completed Part 1 of Commodity Options. These 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 intermediate 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 second part of a series of three modules in the Commodity Options Series.
This course is comprised of three parts:
- Pre-course: Access to the ICE Education learning platform for on-demand primer content.
- Classroom Sessions: These are short focused sessions with practical activity and interaction throughout.
- Post-course: On-demand content remains available and an optional live video clinic session is scheduled for one week post course for any learning points you'd like to revisit.
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 - Option price & value
- Introduction
- Course structure and agenda
- Option price& value
- Intrinsic value
- Time (extrinsic) value
- Put-call parity
- Marked-to-market vs premium-paid
- Q&A session
- Exercises on this session
- Filling in the blanks using PCP
- Participants to find settlement prices online and check PCP
- Section 2 - Option pricing
- Introduction to standard (Black-Scholes) methodology
- Fair value
- Four pricing factors:
- Underlying (in relation to strike)
- Time & erosion
- Interest rates
- Volatility (historical & implied)
- Q&A session
- Exercises on this session
- Effects of changes in various pricing factors on option prices
- Introduction to standard (Black-Scholes) methodology
- Section 3 - Pricing & modelling
- Discovering option prices in practice
- Option pricing - models the Black Box
- Option pricing theory - summary
- Demonstration of pricing model
- Option pricing
- Derivation of implied volatility
- Changing the variables
- Q&A session
- Session 4 - Primary option sensitivities- Delta
- Introducing the primary option sensitivities
- Delta
- Mathematical explanation/definition
- Simple use and examples
- Alternative interpretation
- Properties of delta
- Uses of delta
- Price prediction
- Underlying equivalence
- Risk management
- Delta hedging
- Finding delta in practice
- (If time) practical demo of model and delta
- Q&A session
- Exercises
- Session 5 - Delta hedging & further Greeks
- Structure of real-world option markets
- Option market-makers
- Delta hedging
- Delta neutrality
- Explanation
- Examples
- Further primary Greeks:
- Theta
- Vega
- Rho
- Introduction to option portfolio risk management
- Q&A session
- Exercises
- Structure of real-world option markets
- Session 6 - Option spreads & combinations
- Outright options vs option spreads
- Evolution of option spreads
- Principal option strategies
- Vertical spreads
- Long (bull) call spreads
- "Short (bear) call spreads
- Long (bear) put spreads
- Short (bull) put spreads
- Volatility spreads
- Long straddles
- Short straddles
- Long strangles
- Short strangles
- Further strategies
- Q&A on this session
- Summary/round-up of day
- Exposition of digital post-course resources inc. assessment of day material
- Information on post-course clinic
- Final Q&A
Reviews
Average rating 5
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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.