Commodity Vanilla Options & Options on Futures
Price the optionality. Hedge the Greeks. Survive the expiry.
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.
Vanilla & listed · Black-76 · Volatility · Greeks · Exercise & assignment · Margin · ETRM
Design it, book it, value it, risk it, operate it, implement it
100 chapters does not mean 100 definitions. This programme follows the academy's standard ten-module architecture, so the instrument is taken from first principles through to a working CTRM representation, using the same structure as every other programme in the academy.
Worked cases run on NorthStar Global Commodities, a fictional instrument book created for teaching. It does not describe any real firm, person or transaction.
10 modules · 100 chapters
M0 Commodity Option Foundations Ch 1-10 · 10 chapters
- What a Commodity Option Actually Is
- Call and Put Options
- Option vs Forward, Future and Swap
- Strike, Expiry and Underlying
- Premium and Option Value
- Intrinsic and Time Value
- In-the-Money, At-the-Money and Out-of-the-Money
- Option Payoff vs Option Value
- Commodity Option Lifecycle
- NorthStar Multi-Commodity Vanilla Option Estate
M1 Vanilla Option Structures Ch 11-20 · 10 chapters
- European Calls
- European Puts
- American Calls
- American Puts
- Bermudan Options
- Commodity Caps
- Commodity Floors
- Commodity Collars
- Participating Collars and Partial Participation
- Multi-Leg Vanilla Option Strategies
M2 Options on Futures, Forwards & Swaps Ch 21-30 · 10 chapters
- Options on Commodity Futures
- Futures Option Exercise and Assignment
- OTC Options on Commodity Forwards
- Options on Commodity Swaps
- Payer Commodity Swaptions
- Receiver Commodity Swaptions
- Physical vs Cash Exercise
- Automatic vs Manual Exercise
- Exercise into Forward vs Exercise into Future
- Underlying-Instrument Linkage Architecture
M3 Multi-Commodity Vanilla Option Markets Ch 31-40 · 10 chapters
- Crude Oil Options
- Refined Product Options
- European Natural Gas Options
- North American Gas Options
- Power Options
- LNG Options
- Emissions Options
- Metals Options
- Agriculture and Soft Commodity Options
- Freight and Specialty Commodity Options
M4 Option Pricing Foundations Ch 41-50 · 10 chapters
- Why Commodity Options Need a Pricing Model
- Black-76 for Commodity Options
- Black-76 Worked Calculation
- Put-Call Parity
- Forward Price vs Spot Price in Option Models
- Discounting Commodity Option Cashflows
- Binomial Trees for American Options
- Bermudan Option Valuation
- Model Selection by Option Structure
- Vanilla Option Pricing Lab
M5 Volatility & Market Data Ch 51-60 · 10 chapters
- What Volatility Means in Commodity Options
- Implied Volatility
- Historical vs Implied Volatility
- At-the-Money Volatility Term Structure
- Volatility Smile and Skew
- Volatility Surface Construction
- Delta-Based Volatility Quoting
- Sparse Commodity Volatility Markets
- Volatility Source Hierarchy and IPV
- Volatility Surface Validation Lab
M6 Greeks, P\&L & Hedging Ch 61-70 · 10 chapters
- Delta
- Gamma
- Vega
- Theta
- Rho and Discount-Rate Sensitivity
- Higher-Order Greeks
- Delta Hedging
- Gamma and Vega Hedging
- Option P\&L Explain
- Greeks & Hedging Lab
M7 Market Risk, Credit, Margin & Limits Ch 71-80 · 10 chapters
- Nonlinear Market Risk of Options
- Option VaR
- Option Stress Testing
- Scenario Matrices
- Current Exposure on Options
- Potential Future Exposure of Options
- Premium Credit and Settlement Risk
- Clearing and Margin for Exchange Options
- Option Risk Limits
- Commodity Option Risk Crisis Case
M8 Exercise, Settlement, Accounting & Controls Ch 81-90 · 10 chapters
- Exercise Decision Mechanics
- Exercise Notices and Cutoffs
- Assignment
- Expiry Worthless
- Cash Settlement of Options
- Physical or Underlying-Trade Settlement
- Option Premium Accounting
- Option Reconciliation and IPV
- Option Model Governance
- Month-End Commodity Option Close
M9 CTRM/ETRM Engineering & Capstone Ch 91-100 · 10 chapters
- Canonical Commodity Option Data Model
- Option Terms and Underlying Architecture
- Volatility Surface Data Model
- Option Pricing Service Architecture
- Option Position and Greeks Engine
- Option P\&L Explain Engine
- Exercise & Lifecycle Event Architecture
- Complex Vanilla Option Architecture Case
- Tier-1 Commodity Vanilla Option Implementation Lab
- NorthStar Vanilla Options Capstone
Three ways to take Commodity Vanilla Options & Options on Futures
| Feature | Self-paced | Cohort | Enterprise |
|---|---|---|---|
| Format | Written chapters, video explainers and podcasts | Everything in self-paced, plus scheduled live sessions | Everything in cohort, delivered privately to your team |
| Live sessions | None | Scheduled, instructor-led | Scheduled, instructor-led, private |
| Mentorship | Not offered | Not offered | Not offered |
| Access | Lifetime | Lifetime | Lifetime for every enrolled seat |
| Pace | Entirely your own | Guided schedule with a peer group | Agreed with your desk |
| Tailoring | Fixed curriculum | Fixed curriculum | Sequenced to your markets, systems and governance |
| Best for | Individuals learning around a job | Individuals who want structure and deadlines | Desks building the same capability together |
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