2025/11/11 – In-Person and On-Line
Lock, Stock and Virtual Barrels
Seminar by Ilia Bouchouev
The LQG is very grateful to our hosts of this seminar: Snowflake
Lock, Stock and Virtual Barrels
Virtual Barrels: Quantitative Trading in the Oil Market:
We start by explaining the crucial role of storage in trading energy commodities, such as oil. The price of oil is stylistically modelled as a financial derivative of stochastic inventories with boundary conditions given by two extreme cases of inventory “stock-outs” and “tank-tops”. We illustrate this theory with practical examples, including the episode of negative oil prices. We then explain how the performance of many popular risk premia strategies, such as momentum and carry, relate to the theory of storage. Subsequently, we move to options and discuss gamma trading and volatility risk premium in the oil market. We conclude by presenting the novel quadratic normal model for options and describe how it can be effectively used for trading volatility smile.
This seminar will be based on Dr. Ilia Bouchouev’s recent book “Virtual Barrels” on quantitative oil trading available at : https://www.amazon.com/Virtual-Barrels-Quantitative-Springer-Economics/dp/3031361504
Some of Dr. Bouchouev’s other writings can be found on the Oxford Energy Institute page
About the Speaker
Ilia Bouchouev
Managing Partner
Pentathlon Investments, LLC
Dr. Ilia Bouchouev is the former President of Koch Global Partners where he launched and managed global derivatives trading business for over 20 years and was recognized as one of the pioneers in energy options trading. He is currently a managing partner at Pentathlon Investments and an adjunct professor at New York University, where he teaches energy trading at The Courant Institute of Mathematical Sciences. He is also a senior research fellow with The Oxford Institute for Energy Studies.
Ilia Bouchouev published in top academic journals on energy markets and derivatives modelling. He is frequently quoted by Wall Street Journal, Financial Times, Bloomberg, many other news providers, and on social media.
He is the author of the recent book “Virtual Barrels” on quantitative oil trading:
https://www.amazon.com/Virtual-Barrels-Quantitative-Springer-Economics/dp/3031361504