OPTIONS TRADINGWORKSHOP OPTIONS TRADING.pdf by shensengvf

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									                                                                                                                                                                                                                                                                                OPTIONS TRADING
                                                                                                                                                                                                                                                                                OPTIONS TRADING
                                                                                                                                                                                                                                                          WORKSHOP_
                                                                                                                                                                                                                                                          WORKSHOP
                                                                                                                                                                                                                                                      WWW.D-CYPHATRADE.COM.AU




       LEARN MORE ABOUT AUSTRALIAN ELECTRICI TY
       OPTIONS TRADING


          end a 1 day w
       Atte               workshop to iincrease your understanding ofg
          ctricity options trading and h
       elec                            hedging techni iques. Learn why
       the d-cypha SFE o               t             e              ricity
                          options market is one of the largest electr
                         n
       options markets in the world.

       TRAINING FOCUS

       The workshop will focus on the f                  s
                                          following topics in detail:
        > Achieving a de  etailed underst tanding of the electricity opttions
          product specifications, opti    ion expiry pro  ocess and op ption
          margining.
        > Analysis of numerous op                        g
                                          ption hedging techniques for
                                                                                                                                                                                                                  ELIVERIN
                                                                                                                                                                                                                 DE       NG
          retailers, gene erators and lar  rge energy consumers includ   ding                                                                                                                                CHANGE TRAD ED
                                                                                                                                                                                                           EXC     E
          case studies using historical option trade history.
        > Electricity opt tions volatility trading, introoduction to gr  reek                                                                                                                                 GY
                                                                                                                                                                                                         ENERG DER       VES
                                                                                                                                                                                                                   RIVATIV
          risk metrics, historical vola                  ,
                                         atility analysis, gamma trad   ding,
          option skew t    trading and m managing the unique risks and                                                                                                                                       THE AU STRALIA
                                                                                                                                                                                                          TO T            AN
          opportunities o an options e
        Th workshop will focus on pra
         he
                          of             expiry.
                                          actical aspects of options tradding                                                                                                                                        MARKKET
         pecifically for Australian electr
        sp                                 ricity.




             his                           p
Disclaimer: Th document & the workshop provides general information only. The information is su          ubject to change. It does not c                               a                              k                                                                                      umstances. d-
                                                                                                                                          constitute financial product advice and readers should seek their own professional adviice in assessing the effect of the information on their circu
             -cyphaTrade Limited) accepts no liability for errors or omis
cyphaTrade (d-                                                                                           o
                                                                          ssions, including negligence, or for any damage loss or claim arising from reliance on the information. d-cyphaTrade has no involvement in, and tak no responsibility for, the conduct or operation of the fin
                                                                                                                                          m                             e                            h                            kes                                                       nancial market
             ydney Futures Exchange Limi
operated by Sy                              ited (SFE), on which the Aus  stralian Electricity Futures Coontracts (Contracts) are listed.. The SFE is solely responsib for the conduct and operation of that financial market. d
                                                                                                                                                                       ble                                                                                     d
                                                                                                                                                                                                                                   d-cyphaTrade is not a related entity of the SFE. d-cyphaTTrade receives
commercial ben                              Futures and options trading inv
              nefit from Contract turnover. F                              volves the potential for both profits and losses and only licennsed persons can advise on thi risk. Please note past perform
                                                                                                                                                                        is                            mance may not be indicative o future performance. You should consider obtaining indepe
                                                                                                                                                                                                                                  of                                                         endent advice
                                           phaTrade Limited, ABN 46 100 426 542, is a New Zealand company registered in New Ze
before making any financial decisions. d-cyp                               0                             c                               ealand. Australian Financial Seervices Licence: 305331
                                                                                                                           ABO UT THE WORKSHOP

                                                                                                                           Learn to hedge with options in one of world        d's most liquid electricity
                                                                                                                           option markets. The workshop will explain t
                                                                                                                                 ns            T                                             or
                                                                                                                                                                              the reasons fo the rapid
                                                                                                                                 th             y
                                                                                                                           growt in popularity of the Austra                  y
                                                                                                                                                              alian electricity options market. The key
                                                                                                                                 ences between the electricity options mark
                                                                                                                           differe             n              y               ket and other markets will
                                                                                                                           be cov             w
                                                                                                                                  vered. The workshop overv  views the funda  amental volatility drivers in
                                                                                                                           the N               ricity pool and futures mar
                                                                                                                                 National Electr             d                               t
                                                                                                                                                                              rkets, relevant to options
                                                                                                                                                             e               ks).
                                                                                                                           pricin g and risk management (the option greeks Hedging te       echniques for
                                                                                                                           gener               ers and ind
                                                                                                                                 rators, retaile             dustrial energ   gy consumer    rs will be
                                                                                                                           demo onstrated inclu                                s             s
                                                                                                                                               uding how utility companies use options hedges to
                                                                                                                           minim               sh
                                                                                                                                mise hedge cas flow volatility. SFECC marg                   ricity options
                                                                                                                                                                              gining of electr
                                                                                                                                 o
                                                                                                                           is also covered.
                                                                                                                           B E N E F I T S & W H O S H O U LD A T T E N D

                                                                                                                           The w                                t            y             d
                                                                                                                                 workshop will be of benefit to electricity retailers and generators
                                                                                                                                 ng
                                                                                                                           seekin to optimise their hedging operations. P     Portfolio managers seeking
                                                                                                                           diverssified investme ent opportunit              brokers and intermediaries
                                                                                                                                                                ties, energy b
                                                                                                                                 ng                             he
                                                                                                                           seekin to improve and widen th quality of s                     ergy traders,
                                                                                                                                                                             services to ene
                                                                                                                           and in               d               b            g
                                                                                                                                 nvestment and commercial banks readying for the introduction of the
                                                                                                                           CPRS wishing to of                   y                          n
                                                                                                                                                 ffer full energy and carbon intermediation services to
                                                                                                                                 s
                                                                                                                           clients will also find the workshop of interest.

                                                                                                                           NEM Participants will benefit from:
                                                                                                                                1. Improved portfolio hedging techniques using options;
                                                                                                                                1                                              s
                                                                                                                                2. Learning option risk managemen
                                                                                                                                2                                                              k
                                                                                                                                                                                nt and risk reporting




                                                                                                                                                                                                                                                                                             WWW.D-CYPHATRADE.COM.AU
                                                                                                                                     methodolo  ogy;
                                                                                                                                3. Understanding the option expiry proces and option margining
                                                                                                                                3                                n              ss              m
                                                                                                                           Comm mercial and Investment Ba                      efit
                                                                                                                                                                 anks will bene from:
                                                                                                                                1. An introdu
                                                                                                                                1                uction to a lar                                a
                                                                                                                                                                 rge emerging market with an extensive
                                                                                                                                     corporate client base;
                                                                                                                                2. Learning how electricity options trad
                                                                                                                                2                h               y             ding can unde   erpin merger
                                                                                                                                     and acquis                  n
                                                                                                                                                 stion activity in energy and caarbon intensive sectors;
                                                                                                                           Broke ers, Prime Br  rokers and Cle   earing Firms will benefit fro om:
                                                                                                                                1. Discoverin how to inte
                                                                                                                                1               ng               ermediate betw ween energy hedgers and
                                                                                                                                     volatility traders to optim               ws;
                                                                                                                                                                mise client flow
                                                                                                                                2. Understanding delta hedging, optio
                                                                                                                                2                                              on expiry pro   ocesses and
                                                                                                                                     volatility trading to optimmise service qu                s;
                                                                                                                                                                               uality to clients
                                                                                                                                3. Developing option based hedging t
                                                                                                                                3                g                              techniques for clients to
                                                                                                                                     differentiate service quality
                                                                                                                                ge              d                al
                                                                                                                           Hedg Funds and Institutiona Investors will find the workshop of
                                                                                                                                est
                                                                                                                           intere because:
                                                                                                                                1.
                                                                                                                                1     The d-cyp pha SFE Electricity Options M                  o
                                                                                                                                                                               Market is one of the largest
                                                                                                                                      exchange traded electric   city options ma              w
                                                                                                                                                                                arkets in the world;
                                                                                                                                2.
                                                                                                                                2     The emer  rging Australian power mark     ket offers uniqque portfolio
                                                                                                                                                ation benefits. Australian pow
                                                                                                                                      diversifica                               wer is not corrrelated to oil,
                                                                                                                                      bonds, pre                 r
                                                                                                                                                 ecise metals or world equity markets.

                                                                                                                           ABO UT THE PRESENTER

                                                                                                                           DEA N PRICE | GENERAL MANAGER

                                                                                                                                            ns           ker                         y
                                                                                                                           Dean was an option market mak on the SFE 's open outcry options pits
                                                                                                                           from 1991 to 1998, for Deutsche Bank and Fay Richwhite (Merchant
                                                                                                                                ).          d            O
                                                                                                                           Bank) Dean traded futures and Over the Coun nter (OTC) contracts for 13
                                                                                                                                            etary trader across a diver
                                                                                                                           years as a proprie            a              rse range of Australasian
                                                                                                                           marke                         e
                                                                                                                                ets. He has an extensive network of front office and senior
                                                                                                                                            ng           ross the financ
                                                                                                                           mana gement tradin contacts acr             cial and physical Australian
                                                                                                                                r
                                                                                                                           power market.

                                                                                                                           From 1999 to 200    04, Dean work   ked for Duke Energy Austr   ralia and as
                                                                                                                                ricity Trading Manager was responsible for managing Duke's physical
                                                                                                                           Electr              M
                                                                                                                                ricity generatio portfolio and financial trad
                                                                                                                           electr              on             d                           ding OTC and
                                                                                                                                                                            ding team, trad
                                                                                                                           excha               d
                                                                                                                                ange traded derivatives and physical ge                   patch in the
                                                                                                                                                                             eneration disp
                                                                                                                           Austraalian National Electricity Market.




             his                           p
Disclaimer: Th document & the workshop provides general information only. The information is su          ubject to change. It does not c                               a                              k                                                                                      umstances. d-
                                                                                                                                          constitute financial product advice and readers should seek their own professional adviice in assessing the effect of the information on their circu
             -cyphaTrade Limited) accepts no liability for errors or omis
cyphaTrade (d-                                                                                           o
                                                                          ssions, including negligence, or for any damage loss or claim arising from reliance on the information. d-cyphaTrade has no involvement in, and tak no responsibility for, the conduct or operation of the fin
                                                                                                                                          m                             e                            h                            kes                                                       nancial market
             ydney Futures Exchange Limi
operated by Sy                              ited (SFE), on which the Aus  stralian Electricity Futures Coontracts (Contracts) are listed.. The SFE is solely responsib for the conduct and operation of that financial market. d
                                                                                                                                                                       ble                                                                                     d
                                                                                                                                                                                                                                   d-cyphaTrade is not a related entity of the SFE. d-cyphaTTrade receives
commercial ben                              Futures and options trading inv
              nefit from Contract turnover. F                              volves the potential for both profits and losses and only licennsed persons can advise on thi risk. Please note past perform
                                                                                                                                                                        is                            mance may not be indicative o future performance. You should consider obtaining indepe
                                                                                                                                                                                                                                  of                                                         endent advice
                                           phaTrade Limited, ABN 46 100 426 542, is a New Zealand company registered in New Ze
before making any financial decisions. d-cyp                               0                             c                               ealand. Australian Financial Seervices Licence: 305331
                                                                                                                           WOR KSHOP DETAILS

                                                                                                                              E:
                                                                                                                           DATE                                                        TBA
                                                                                                                              SENTER:
                                                                                                                           PRES                                                        Dean Price | Genera Manager
                                                                                                                                                                                                         al

                                                                                                                              UE:
                                                                                                                           VENU                                                        TBA

                                                                                                                              ATION:
                                                                                                                           DURA                                                                       s)
                                                                                                                                                                                       9am – 3pm (6 hrs

                                                                                                                           FEES :                                                          rkshop | AUD $
                                                                                                                                                                                       1 Wor            $1,195 (ex GST) pp

                                                                                                                                                                                       To organise an in n-house workshop please
                                                                                                                                                                                                         aTrade Team on 1800 330
                                                                                                                                                                                       contact the d-cypha           o
                                                                                                                                                                                           o
                                                                                                                                                                                       101 or +61 2 9237 0900.

                                                                                                                           MATE
                                                                                                                              ERIALS:                                                      shop notes, ref
                                                                                                                                                                                       Works             freshments & lunch.

                                                                                                                           WOR KSHOP CONTENT

                                                                                                                                 ntroduction to Electricity Options
                                                                                                                              > In            o             O


                                                                                                                                               1.            B              g             tion
                                                                                                                                                         The Basics including option valuat
                                                                                                                                                                   >         Electricity futures
                                                                                                                                                                   >         Electricity options
                                                                                                                                                                   >         The Option Greeks (dynnamic option valuation):
                                                                                                                                                                                      ga,
                                                                                                                                                                             Delta, Veg Gamma, Th               C
                                                                                                                                                                                                  heta, Rho and Charm




                                                                                                                                                                                                                                                                                             WWW.D-CYPHATRADE.COM.AU
                                                                                                                              >                                             e
                                                                                                                                        Putting it all together: A day in the life of a professional
                                                                                                                                        electricity options trader
                                                                                                                                               2.             ricity Hedging Strategies – Diirectional strategies
                                                                                                                                                         Electr              S
                                                                                                                                                                   >                                futures prices:
                                                                                                                                                                             Using Options to hedge f
                                                                                                                                                                   >                   a            s
                                                                                                                                                                             Retailers and Generators
                                                                                                                                                                   >                  rice increases
                                                                                                                                                                             Futures pr
                                                                                                                                                                   >                  rice decreases
                                                                                                                                                                             Futures pr
                                                                                                                                                                   >         Range bouund Futures priices
                                                                                                                                                                   >                                 rical option tra
                                                                                                                                                                             Case studies using histor              ades
                                                                                                                                               3.        Basic Volatility Trading Strategies
                                                                                                                                                                   >                               ding” Volatility
                                                                                                                                                                             Understanding and “trad
                                                                                                                                                                   >                  olatility
                                                                                                                                                                             Implied Vo
                                                                                                                                                                   >                    V               nition and mea
                                                                                                                                                                             Historical Volatility: defin            asurement
                                                                                                                                               4.                                        d
                                                                                                                                                         Skew Trading - Deal Execution and Strategy
                                                                                                                                                                   >                                               ates a skew
                                                                                                                                                                             What is a volatility skew and what crea
                                                                                                                                                                   >                              s
                                                                                                                                                                             MTM treatment of skews
                                                                                                                                                                   >                 ding Objectives
                                                                                                                                                                             Skew Trad             s
                                                                                                                                                                   >                   to                         n
                                                                                                                                                                             Trading int and out of a skew position
                                                                                                                                               5.             ility Trading Ob
                                                                                                                                                         Volati                           n:
                                                                                                                                                                             bjectives when
                                                                                                                                                                   >                  rices are expec
                                                                                                                                                                             Futures pr                            tile
                                                                                                                                                                                                    cted to be volat
                                                                                                                                                                   >                  rices are expec
                                                                                                                                                                             Futures pr             cted to be static
                                                                                                                                                                   >                  rices are expec
                                                                                                                                                                             Futures pr             cted to be range bound
                                                                                                                              >                   he         piry
                                                                                                                                        Managing th Option Exp
                                                                                                                                                                   >                                                G
                                                                                                                                                                             The effect on and releva nce of Option Greeks
                                                                                                                                                                   >                   g            d              ery
                                                                                                                                                                             Calculating the expected futures delive
                                                                                                                                                                   >                                ft             kes
                                                                                                                                                                             When futures prices shift through strik
                                                                                                                                                                   >         “Pin” risk
                                                                                                                                                                   >                   on           ,
                                                                                                                                                                             The decisio to exercise, or not
                                                                                                                                               6.             g                         positions
                                                                                                                                                         Mixing OTC and exchange traded p
                                                                                                                              >         Miscellaneouus
                                                                                                                                                                  tions to hedge the portfolio ri of
                                                                                                                                           7. Using electricity opt                             isk
                                                                                                                                                    ng            e
                                                                                                                                               biddin for a NSW electricity retailler




             his                           p
Disclaimer: Th document & the workshop provides general information only. The information is su          ubject to change. It does not c                               a                              k                                                                                      umstances. d-
                                                                                                                                          constitute financial product advice and readers should seek their own professional adviice in assessing the effect of the information on their circu
             -cyphaTrade Limited) accepts no liability for errors or omis
cyphaTrade (d-                                                                                           o
                                                                          ssions, including negligence, or for any damage loss or claim arising from reliance on the information. d-cyphaTrade has no involvement in, and tak no responsibility for, the conduct or operation of the fin
                                                                                                                                          m                             e                            h                            kes                                                       nancial market
             ydney Futures Exchange Limi
operated by Sy                              ited (SFE), on which the Aus  stralian Electricity Futures Coontracts (Contracts) are listed.. The SFE is solely responsib for the conduct and operation of that financial market. d
                                                                                                                                                                       ble                                                                                     d
                                                                                                                                                                                                                                   d-cyphaTrade is not a related entity of the SFE. d-cyphaTTrade receives
commercial ben                              Futures and options trading inv
              nefit from Contract turnover. F                              volves the potential for both profits and losses and only licennsed persons can advise on thi risk. Please note past perform
                                                                                                                                                                        is                            mance may not be indicative o future performance. You should consider obtaining indepe
                                                                                                                                                                                                                                  of                                                         endent advice
                                           phaTrade Limited, ABN 46 100 426 542, is a New Zealand company registered in New Ze
before making any financial decisions. d-cyp                               0                             c                               ealand. Australian Financial Seervices Licence: 305331

								
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