OPTIONS
one day seminar
Options are a vital tool in commodity markets, giving participants security and flexibility in risk management. Options have long been traded in other commodity and financial markets, and the optionality inherent in power stations operations, swing contracts and gas storage makes option highly relevant to gas and electricity markets.
This course provides a one day overview of
options theory and practice, specifically
applied optionality in gas and power
trading.
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- Basic principles
- “Moneyness”
- Option timing
- Why trade options
- Payoff curves
- Types of Options
- Combining options and underlying
- Portfolio insurance
- Pre-expiry value of option
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- Option prices
- Put – call parity
- 5 key factors affecting options prices
- Black-Scholes option pricing model
- Value of option premia
- Time value
- Changing option value
- Volatility and options
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- Why trade electricity/gas options?
- Hedging strategies with options
- Optionality in contracts
- Optionality in assets
- Energy market options: strips and calendars
- Spreads and tailored options
- OTC and bilateral trading
- Liquidity issues
- Pricing problems
- Trading book risk management
- Value-at-Risk
- Stress tests
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- Role of storage
- Value of storage
- Winter-summer spreads
- Virtual storage example
- Market value of storage
- Volatility and extrinsic value
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- System stability and call options
- Demand pick-ups
- System call option requirements
- Pumped storage
- Spark-spread hedging and options
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- Why do we need real options?
- What is a real option?
- Real options mindset
- Types of real option
- Real option examples
- Power plant real option
- The course also includes a hands-on risk management workshop, applying the learning of options to real-life examples. Risk management workshop
- Whilst we always allow time for questions during the course of the day, it always helps to have a discussion time at the end.Questions, discussion and close
- 30th September 2010 - London
We reserve the right to change the venue, dates and programme at our discretion.
- energy traders
- commercial analysts
- asset operators
- lawyers, consultants, and officials with an interest in the energy industry
CPD Credit now available for all participating Solicitors* and Accountants**
*All of our courses are CPD accredited by IGEM
(The Institute of Gas Engineers and Managers)
and The Solicitor's Regulation Authority.
**Attendance may also contribute to meeting
requirements under the terms of the ICAEW's CPD
policy for accountants. (Visit www.icaew.co.uk
for full details).