Entrima is trusted by numerous members or associates of the following organisations
The programmes “Options & Options Trading” are specifically designed to expand delegates’ knowledge of, and skills with respect to energy options, their features, how to use these instruments, why and when to use them, and how they can be of help when risk exposures are to be managed. Next, in these programmes the pricing of options is incorporated, and therefore the aim will also be at (potential) price changes. And last, but not least, the programmes cover the opportunities and risks of these instruments and the incorporation of these in energy portfolios.
In the first level of the ‘Options & Options Trading’ programmes focus is on the fundamentals of options and option contracts. The focus in this programme is at what kind of outright options exist and what their features are. Contract specifications are taken into consideration and settlement procedures are explained.
This programme will equip students with a working knowledge of the trading of options. It also provides insight in volatility as such but also as ingredient for options premiums.
Fundamentals of options
Contract specifications
Options trading & position management
P&L structures, intrinsic value & pay-off
Option premium – Factors of influence
Moneyness – In- at- or out-of-the-money
Hedging with options – Strategies
Synthetics – Arbitrage
Exam & Certification
In the second level of the ‘Options & Options Trading’ programme focus is on the pricing and valuation of option contracts. The price dynamics of these instruments are brought forward in an intensive way. Option valuation methods are discussed. Next, option pricing elements such as skew and kurtosis are considered and students learn what kind of implications these have for pricing of these financial instruments. Students also learn how options can be used with the purpose of hedging exposures.
Combinations of options are also considered in this programme. These strategies are set up for either hedging purposes, in order to profit from arbitrage opportunities, or to speculate. Students learn how all of this works, and what the implications of such are.
Option pricing & valuation – Implied volatility & skew
Black & Scholes model – European style options
Binomial trees – American style options
Monte Carlo Simulations – Asian style options
Straddle model – Rules of thumb
Option strategies – Combinations of options
Option strategies – Hedging methodologies (Delta-hedging)
Exam & Certification
In the third level of the ‘Options & Options Trading’ programme focus is on the application of options in a sophisticated way. Students learn how embedded options are incorporated in energy portfolios. The programmes helps student to understand how these embedded options can be allocated and managed. Swing options and flex options are often incorporated in energy supply contracts. This programme covers the consequences of such and offers insight in strategies to manage the risks involved and to optimize the results.
Scenarios and sensitivity analysis is also taken into consideration in this programme. That is why the Greeks variables of options and option prices are explained in a thorough way.
Advanced hedging strategies – For consumers
Advanced hedging strategies – For producers
Options risk management – 1st order Greek variables
Options risk management – 2nd order Greek variables
Embedded options – Energy supply contracts
Take or Pay options – Business decisions
Flex options – Volume flexibility
Swing options – Fluctuating off-take
Exam & Certification
In the fourth level of the Expert ‘Options & Options Trading’ programme focus is on energy portfolio management. Physical assets such as power plants, gas storages and transport capacity are modelled according to the real option approach. The value of these assets is looked at by means of this theory.
The programme goes beyond plain vanilla & embedded options and considers exotic options and the flexibility they provide. Exotic varieties will be applied to energy portfolios; physical assets will be looked at from a financial perspective. As a consequence students have to apply scenarios to specific portfolios. The complexity is unraffled and sophistication of students is realized.
Exotic options – Asian, binary & barrier options
Real options – Applied to physical assets
Modeling storage capacity – Time spread options
Modeling transport capacity – Location spread options
Modeling production capacity – Margin options
Pricing & hedging spread options – Complex models
Exam & Certification
