Electricity Options Trading Workshop
During FY11, the d-cyphaTrade ASX Electricity Options turnover exceeded 82% of electricity consumed in the underlying NEM physical electricity market. The Options Trading Workshops provide practical electricity option trading and hedging insights (rather than focusing on theoretical options-related mathematics).
Tuesday 20 Jan 2009
|Options Trading Workshop Agenda||PDF, 211Kb|
ABOUT THE WORKSHOP
Learn to hedge with options in one of world's most liquid electricity options markets. The workshop will explain the reasons for the rapid growth in popularity of the Australian electricity options market. The key differences between the electricity options market and other markets will be covered. The workshop overviews the fundamental volatility drivers in the National Electricity pool and futures markets, relevant to options pricing and risk management (the option greeks). Hedging techniques for generators, retailers and industrial energy consumers will be demonstrated including how utility companies use options hedges to minimise hedge cash flow volatility. ASX Clear (Futures) margining of electricity options is also covered.
WHO SHOULD ATTEND
The workshop will be of benefit to (i) electricity retailers and generators seeking to optimise their hedging activities (ii) fund managers seeking diversified investment opportunities, (iii) energy brokers and intermediaries seeking to improve and widen their electricity advisory services to clients, and (iv) investment banks seeking to provide hedge facilitation services to electricity-intensive clients.
DATE & VENUE:
1. Sydney - Thursday 23 May 2013
2. Melbourne - Thursday 6 June 2013
PRESENTER: Dean Price, General Manager
DURATION: 9am – 3pm (6 hrs)
FEES: AUD $1,195 (ex GST) per person/ per workshop.
MATERIALS: Workshop notes, refreshments & lunch.
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
- 7. Using electricity options to hedge the portfolio risk of bidding for a NSW electricity retailer
As there is a limited number of places per workshop, please register early to avoid disappointment, using the Online Registration Form. Please note your place will be secured once payment is received.
For further information or to enrol for any workshop please contact a member of d-cyphaTrade via:
Domestic (Toll free): 1800 330 101
International: +61 2 9237 0900
To organise an in-house workshop please call a member of the d-cyphaTrade Team on 1800 330 101 to discuss your specific requirements.