Energy Derivatives: Futures, Swaps, Options
Energy futures, swaps, options; Asian options; term structure and inventory signals
Energy Derivatives: Futures, Swaps, Options
Executive Summary
Energy derivatives include futures (exchange-traded), swaps (fixed-for-floating, basis), and options (vanilla, Asian). Crude oil futures obligate the holder to buy or sell at a fixed future date; options grant the right, but not the obligation, creating different risk profiles and strategy sets. This module focuses on oil options: mechanics, Black-Scholes pricing, the Greeks, volatility analysis, and strategies for hedging and trading. For practitioners and consultants, mastery supports hedging design and trading—and supports book and consulting value.
Learning Objectives
By the end of this module you will be able to understand the mechanics of oil options (calls, puts) and the factors affecting option prices, apply the Black-Scholes model to value crude oil options and identify mispricings, evaluate Greeks (delta, gamma, vega, theta) and their use in hedging and risk management, analyse volatility patterns in oil markets and their impact on option values, and develop option strategies (collars, spreads, straddles) for hedging and speculation.