Target groups

• Professionals in a business, control or support function, including trading operations experts; not for quants.

Learning objectives

• Mastering the concept ‘price volatility’
• Being able to interpret volatility numbers
• Understanding the impact of price volatility on consumption prices
• Understanding the impact of price volatility on a trader’s working capital
• Understanding the impact on cash management
• Understanding the impact on trading activity

Programme

• Price volatility – The concept
  • Risk vs. opportunity
• Types of volatility
  • Future volatility
  • Estimated/expected volatility
  • Implied volatility
• Calculation of volatility
  • Data set
  • Weighting factors
  • Seasonality
• Collateralisation & margining
  • The impact of price volatility on deposits
  • The impact on finance liquidity
  • The impact on market liquidity
  • Consequences & solutions
• Supply contracts & pricing
  • Volume flexibility contracts & other flexibility
  • Risk premium
  • Consequences & solutions
• Limit structures
  • Position limits
  • Price limits (level & volatility)
• Impact of volatility on the valuation and hedging of physical assets
  • Processing capacity, storage capacity, transport capacity
  • Cross-commodity spreads, time spreads, location spreads
  • Spread options and their value