$1,999

IM5 Commodity Vanilla Options & Options on Futures

Course
141 Lessons

Master vanilla and listed commodity options: calls and puts, European, American and Bermudan exercise, options on futures, swaptions, caps, floors and collars, Black-76 and tree methods, volatility surfaces, Greeks, exercise and assignment, margin, settlement and the ETRM representation of option terms.

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Module 00 - Commodity Option Foundations (Chapters 01–10)

1. What a Commodity Option Actually Is.m4a

2. Call and Put Options.m4a

3. Option vs Forward, Future and Swap.m4a

4. Strike, Expiry and Underlying.m4a

5. Premium and Option Value.m4a

6. Intrinsic and Time Value.m4a

7. In-the-Money, At-the-Money and Out-of-the-Money.m4a

8. Option Payoff vs Option Value.m4a

9. Commodity Option Lifecycle.m4a

10. NorthStar Multi-Commodity Vanilla Option Estate.m4a

Module 00 - Commodity Option Foundations.chapters.txt

Module 00 - Commodity Option Foundations.png

Module 00 - Commodity Option Foundations.mp4

Module 01 - Vanilla Option Structures (Chapters 11–20)

11. European Calls.m4a

12. European Puts.m4a

13. American Calls.m4a

14. American Puts.m4a

15. Bermudan Options.m4a

16. Commodity Caps.m4a

17. Commodity Floors.m4a

18. Commodity Collars.m4a

19. Participating Collars and Partial Participation.m4a

20. Multi-Leg Vanilla Option Strategies.m4a

Module 01 - Vanilla Option Structures.chapters.txt

Module 01 - Vanilla Option Structures.png

Module 01 - Vanilla Option Structures.mp4

Module 02 - Options on Futures, Forwards & Swaps (Chapters 21–30)

21. Options on Commodity Futures.m4a

22. Futures Option Exercise and Assignment.m4a

23. OTC Options on Commodity Forwards.m4a

24. Options on Commodity Swaps.m4a

25. Payer Commodity Swaptions.m4a

26. Receiver Commodity Swaptions.m4a

27. Physical vs Cash Exercise.m4a

28. Automatic vs Manual Exercise.m4a

29. Exercise into Forward vs Exercise into Future.m4a

30. Underlying-Instrument Linkage Architecture.m4a

Module 02 - Options on Futures, Forwards & Swaps.mp4

Module 02 - Options on Futures, Forwards & Swaps.chapters.txt

Module 02 - Options on Futures, Forwards & Swaps.png

Module 03 - Multi-Commodity Vanilla Option Markets (Chapters 31–40)

31. Crude Oil Options.m4a

32. Refined Product Options.m4a

33. European Natural Gas Options.m4a

34. North American Gas Options.m4a

35. Power Options.m4a

36. LNG Options.m4a

37. Emissions Options.m4a

38. Metals Options.m4a

39. Agriculture and Soft Commodity Options.m4a

40. Freight and Specialty Commodity Options.m4a

Module 03 - Multi-Commodity Vanilla Option Markets.mp4

Module 03 - Multi-Commodity Vanilla Option Markets.png

Module 03 - Multi-Commodity Vanilla Option Markets.chapters.txt

Module 04 - Option Pricing Foundations (Chapters 41–50)

41. Why Commodity Options Need a Pricing Model.m4a

42. Black-76 for Commodity Options.m4a

43. Black-76 Worked Calculation.m4a

44. Put-Call Parity.m4a

45. Forward Price vs Spot Price in Option Models.m4a

46. Discounting Commodity Option Cashflows.m4a

47. Binomial Trees for American Options.m4a

48. Bermudan Option Valuation.m4a

49. Model Selection by Option Structure.m4a

50. Vanilla Option Pricing Lab.m4a

Module 04 - Option Pricing Foundations.mp4

Module 04 - Option Pricing Foundations.chapters.txt

Module 04 - Option Pricing Foundations.png

Module 05 - Volatility & Market Data (Chapters 51–60)

51. What Volatility Means in Commodity Options.m4a

52. Implied Volatility.m4a

53. Historical vs Implied Volatility.m4a

54. At-the-Money Volatility Term Structure.m4a

55. Volatility Smile and Skew.m4a

56. Volatility Surface Construction.m4a

57. Delta-Based Volatility Quoting.m4a

58. Sparse Commodity Volatility Markets.m4a

59. Volatility Source Hierarchy and IPV.m4a

60. Volatility Surface Validation Lab.m4a

Module 05 - Volatility & Market Data.mp4

Module 05 - Volatility & Market Data.chapters.txt

Module 05 - Volatility & Market Data.png

Module 06 - Greeks, P&L & Hedging (Chapters 61–70)

61. Delta.m4a

62. Gamma.m4a

63. Vega.m4a

64. Theta.m4a

65. Rho and Discount-Rate Sensitivity.m4a

66. Higher-Order Greeks.m4a

67. Delta Hedging.m4a

68. Gamma and Vega Hedging.m4a

69. Option P&L Explain.m4a

70. Greeks & Hedging Lab.m4a

Module 06 - Greeks, P&L & Hedging.chapters.txt

Module 06 - Greeks, P&L & Hedging.png

Module 06 - Greeks, P&L & Hedging.mp4

Module 07 - Market Risk, Credit, Margin & Limits (Chapters 71–80)

71. Nonlinear Market Risk of Options.m4a

72. Option VaR.m4a

73. Option Stress Testing.m4a

74. Scenario Matrices.m4a

75. Current Exposure on Options.m4a

76. Potential Future Exposure of Options.m4a

77. Premium Credit and Settlement Risk.m4a

78. Clearing and Margin for Exchange Options.m4a

79. Option Risk Limits.m4a

80. Commodity Option Risk Crisis Case.m4a

Module 07 - Market Risk, Credit, Margin & Limits.chapters.txt

Module 07 - Market Risk, Credit, Margin & Limits.png

Module 07 - Market Risk, Credit, Margin & Limits.mp4

Module 08 - Exercise, Settlement, Accounting & Controls (Chapters 81–90)

81. Exercise Decision Mechanics.m4a

82. Exercise Notices and Cutoffs.m4a

83. Assignment.m4a

84. Expiry Worthless.m4a

85. Cash Settlement of Options.m4a

86. Physical or Underlying-Trade Settlement.m4a

87. Option Premium Accounting.m4a

88. Option Reconciliation and IPV.m4a

89. Option Model Governance.m4a

90. Month-End Commodity Option Close.m4a

Module 08 - Exercise, Settlement, Accounting & Controls.mp4

Module 08 - Exercise, Settlement, Accounting & Controls.chapters.txt

Module 08 - Exercise, Settlement, Accounting & Controls.png

Module 09 - CTRM_ETRM Engineering & Capstone (Chapters 91–100)

91. Canonical Commodity Option Data Model.m4a

92. Option Terms and Underlying Architecture.m4a

93. Volatility Surface Data Model.m4a

94. Option Pricing Service Architecture.m4a

95. Option Position and Greeks Engine.m4a

96. Option P&L Explain Engine.m4a

97. Exercise & Lifecycle Event Architecture.m4a

98. Complex Vanilla Option Architecture Case.m4a

99. Tier-1 Commodity Vanilla Option Implementation Lab.m4a

100. NorthStar Vanilla Options Capstone.m4a

Module 09 - CTRM_ETRM Engineering & Capstone.mp4

Module 09 - CTRM_ETRM Engineering & Capstone.png

Module 09 - CTRM_ETRM Engineering & Capstone.chapters.txt

Module PDFs and Labs

IM5_Module_0_Commodity_Option_Foundations_DurgaAnalytics.pdf

IM5_Module_1_Vanilla_Option_Structures_DurgaAnalytics.pdf

IM5_Module_2_Options_on_Futures_Forwards_and_Swaps_DurgaAnalytics.pdf

IM5_Module_3_Multi_Commodity_Vanilla_Option_Markets_DurgaAnalytics.pdf

IM5_Module_4_Option_Pricing_Foundations_DurgaAnalytics.pdf

IM5_Module_5_Volatility_and_Market_Data_DurgaAnalytics.pdf

IM5_Module_6_Greeks_PnL_and_Hedging_DurgaAnalytics.pdf

IM5_Module_7_Market_Risk_Credit_Margin_and_Limits_DurgaAnalytics.pdf

IM5_Module_8_Exercise_Settlement_Accounting_and_Controls_DurgaAnalytics.pdf

IM5_Module_9_CTRM_ETRM_Engineering_and_Capstone_DurgaAnalytics.pdf

IM5_commodity-vanilla-options_Labs.zip