Trading Power Options at European Energy Exchange (EEX) Copyright 2015 All rights reserved Page 1
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1 Trading Power Options at European Energy Exchange (EEX) Copyright 2015 All rights reserved Page 1
2 Agenda 1. Explanation of Options 2. Option products on EEX 3. Margin calculation 4. Advantages of using options Copyright 2015 All rights reserved Page 2
3 Explanation of options Futures vs. options Unconditional Derivative market Conditional Futures Options (Call / Put) Buyer (long) Seller (short) Buyer (long) Seller (short) has to pay at expiration has to deliver at expiration can exercise (buy or sell) has to fulfill if the buyer exercises (deliver or take) No payments on the trading day Imbalance of rights is equalized by the payment of an option premium Copyright 2015 All rights reserved Page 3
4 Explanation of options Possible option positions Option Call (Buy option) Put (Sell option) Long (Buy Call) Short (Sell Call) Long (Buy Put) Short (Sell Put) Right to buy at strike price has to deliver at strike price in case of being exercised Right to sell at strike price Has to take at strike price In case of being exerised First step (buy or sell) = Opening ; Second step (buy or sell) = Closing i.e. If you sell an option first and then buy it back: 1. Sell to Open 2. Buy to Close Copyright 2015 All rights reserved Page 4
5 Explanation of options Possible option positions Loss Profit 0 Premium Strike Long call Loss Profit 0 Long put Premium Strike Price of underlying Price of underlying Loss Profit 0 Premium Strike Short call Loss Profit Premium Short put Strike Price of underlying Price of underlying Copyright 2015 All rights reserved Page 5
6 Option products on EEX Options at EEX Option types by underlying Options on spot market products: Underlying is a spot market product that will be delivered and paid Options on Futures: Underlying is a Future that will be delivered long/short Option on Index: Cash settlement of the difference between the strike price and the index price Option types by exercise style European Option: Exercise only on the last trading day possible American Option: Exercise is possible on every day of the options life time Asian Option: Payout value depends on average price of underlying during a defined period Option types by payment Future styled: deviation of the premium is equalized via variation margin only Traditionally styled: Premium has to be fully paid one day after trading Copyright 2015 All rights reserved Page 6
7 Option products on EEX Options on Phelix Futures Month Futures Base Quarter Futures Year Futures Options on other Futures Italian Futures Base French Futures Spanish Futures Nordic Futures Copyright 2015 All rights reserved Page 7
8 Option products on EEX EEX uses the Black model (Black 76) to calculate settlement prices Parameters for option pricing and their impact on option prices Parameters Variable Call Put Underlying price F (t) Strike price K Interest rate r Expected volatility σ Time to expiration t Intrinsic value Call: Difference between the current Futures price (F t ) and the exercise price (K) or zero in case difference< 0 Time value Difference between the current Option premium and the current intrinsic value Determined by time, interest rate and volatility Put: Difference between the current exercise price (K) and the Futures price (F t ) or zero in case difference < 0 Copyright 2015 All rights reserved Page 8
9 Option products on EEX underlying option type Code maturity strike price Option on F1BM C, P O1BM JAN YY, FEB YY, 3000; 3100;... Option on F1BQ C, P O1BQ JAN YY, APR YY, 3000; 3100;... Option on F1BY C, P O1BY APR YY, JUL YY, OCT YY, JAN YY 3000; 3100;... Options on Phelix-Base-Futures are available for the following delivery periods: Month 1 Month 2 Month 3 Month 4 Month 5 Quarter 1 Quarter 2 Quarter 3 Quarter 4 Quarter 5 Quarter 6 Year 1 Year 2 Year 3 Product: Phelix-Base-Month-Future for January Phelix-Base-Quarter-Future for the 1st Quarter Phelix-Base-Month-Future for February to December Phelix-Base-Quarter-Future for the 2nd to 4th Quarter Phelix-Base-Year-Future Short-Dated (APR, JUL, OCT) Phelix-Base-Year-Future Last Trading Day: Third Thursday in December Four exchange trading days before start of the delivery period Second Thursday of December Copyright 2015 All rights reserved Page 9
10 Option products on EEX Contract Month option Quarter option Year option Notation: Smallest tradable unit: Contract value: Position value: Prices are notated in per MWh with 3 digits after the point smallest possible price change (Tick Size): per MWh 1 contract Contract volume days*24 h e.g.: 30*24 = 720 MWh Summer / Winter time adjustments have to be considered days*24 h e.g.: 91*24 = 2,184 MWh Summer / Winter time adjustments have to be considered days*24 h e.g.: 365*24 = 8,760 MWh contract volume x option price example: 1 Year option: premium / MWh; contract value: 8,760 MWh x / MWh = 8, contract volume x option price x number of contracts example: 10x Year option: premium / MWh; Position value: 10 x 8,760 Mwh x = 87, Option Premium: Example: Option on F1BM April (Volume: 720 MWh); Option premium: / MWh contract value = 720 MWh x / MWh = 7.20 Copyright 2015 All rights reserved Page 10
11 Option products on EEX Power Options Trading fee Clearing fee Exchange trades in power options with a premium of 0.15 /MWh or more ct/mwh ct/mwh Exchange trades in power options with a premium of less than 0.15 /MWh ct/mwh ct/mwh 200 Monthly Phelix Futures volumes (in TWh) Jan 13 Feb 13 Mrz 13 Apr 13 Mai 13 Jun 13 Jul 13 Aug 13 Sep 13 Okt 13 Nov 13 Dez 13 Jan 14 Feb 14 Mrz 14 Apr 14 Mai 14 Jun 14 Jul 14 Aug 14 Sep 14 Okt 14 Nov 14 Dez 14 Jan 15 Feb 15 Short Term Month Quarter Year Copyright 2015 All rights reserved Page 11
12 Option products on EEX Exercise Date Underlying Dec YY Cal YY+1 Mar YY Jun YY Sep YY Dec YY Cal YY+1 Beside the general options for the Year Baseload Future, which expire at the 2nd Thursday in December there are also options with earlier expiry dates available. They are all fulfilled with the same Future contract. Expiration of short dated options equals the expiry dates of quarter options Copyright 2015 All rights reserved Page 12
13 Option products on EEX Options on Phelix Base Month Exercise price in 1.00 /Mwh steps / Settlement price of the underlying contract [ /MWh] 60,00 58,00 56,00 54,00 52,00 1,00 /MWh Depending on the market needs EEX will introduce further option series. 3 series at the beginning of trading (in-/ at-/ out-of-the money) Depending on the market needs EEX will de-list option series. Settlement price of the underlying Call option (Buy) Put Option (Sell) Trading Days Copyright 2015 All rights reserved Page 13
14 Option products on EEX Options can be manually exercised until 3:00 pm on the last trading day Exchange Member Long positions Exercise Assignment Short positions Exchange Member exercised, even if they are out of the money A 1L 1S C not exercised, even if they are in the money partially exercised Allocation via random selection in case of partial exercise: All exercised and assigned Options are fulfilled through the booking of Futures, and all non-exercised Option positions will expire. Automatic exercise is possible as a percentage or absolutely B 9L 3S 5S 1S D E F Long Position in the Option (Buyer) Call Option is exercised by the buyer < 3:00 pm a Long Position in the Future and leads to registration of a Short Position in the Future Put Option is exercised by the buyer < 3:00 pm and leads to registration of Short Position in the Option (Seller) a Short Position in the Future a Long Position in the Future Copyright 2015 All rights reserved Page 14
15 Margin calculation Premium margin: Current value of position to be closed at settlement price Long positions reduce the margin requirement of short positions Additional margin: Covering the risk of an option price change during the next trading day (overnight risk) Different contracts can offset their single margin requirement, only upside or downside risk is taken (the higher one) Maximum netting of all products long positions in options cause margin reductions but no positive margin Copyright 2015 All rights reserved Page 15
16 Margin calculation Option price Settlement Price day 2 Settlement Price day 1 Trade price Range of possible price changes of the option Additional Margin Premium Margin time Trading day t End of day t+1 End of day t+2 End of day t+3 Copyright 2015 All rights reserved Page 16
17 Margin calculation Example: 50S CO1BY JAN YY 6100 (Delta 0.2) 10L F1BY JAN YY / MWh Additional Margin Parameter: 2.70 / MWh Scanning range 50 S CO1BY JAN L F1BY JAN / MWh Portfolio Price in / MWh Amount for closing Change in P & L Loss when closing / MWh , , , / MWh , , / MWh , , ,980 Margin requirement Options. 652,182 Margin requirement Futures: 236,520 Total margin requirement: 888,702 But: Maximum upside risk = 415,662 < Maximum downside risk = 529,980 Net margin requirement 529,980 Copyright 2015 All rights reserved Page 17
18 Advantages of using options Long positions: only participation in positive direction, in negative direction only the premium can be lost, insurance-like. Short positions: Opportunity to use options as limited orders and gain money Optimal participation on certain market price development by the opportunity of combining different options Trading time and volatility strategies, Delta hedging, very liquid underlying Cheaper way to trade futures due to EEX fee structure, no exercise fees Automatic exercise available No variation margin, no margining for long positions at all, margin effects different to futures, Full cross margining with all other ECC cleared assets Products are EMIR compliant Copyright 2015 All rights reserved Page 18
19 Contact: Norbert Anhalt Key Account Manager Power Phone Copyright 2015 All rights reserved Page 19
Trading Power Options at European Energy Exchange (EEX) Copyright 2016 All rights reserved Page 1
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