1-Day Training Course Outline
With market unrest being fuelled by uncertainty, particularly in government credit markets, volatility remains an important topic of discussion. Those products that are driven primarily by volatility are important tools for all financial institutions.
This one day course provides participants with a practical understanding of a number of trading strategies using vanilla options. The course describes the rationale for each trade and, using a strategy spreadsheet; participants construct and test the positions under a variety of market scenarios. Examples are drawn primarily from the equity options market, with reference being made to other asset classes where relevant.
By the end of the seminar, participants will be able to
- Construct and evaluate basic directional trades
- Structure synthetic positions, conversions and reversals
- Apply Gamma trading to Realized Volatility expectations
- Construct Vega trades
- Explain the existence of Smile and Skew and apply Risk Reversal and Strangles
- Construct Dispersion Trades
The programme is instructor led and utilises spread sheet models to demonstrate the learning points
Who should attend
This course is ideal for junior front office staff and middle office and IT personnel who want to gain a better insight into the strategies used in options trading
Recap of Pricing Fundamentals
Binomial, Black Scholes and Monte Carlo methods
Basic and higher order sensitivities
Synthetic positions, conversions, reversals
Realized Volatility Trades
Delta rebalancing and monetising Gamma
Implied Volatility Trades
Straddles, Strangles etc.
Risk Reversals and Skew Trades
Implied Volatility and implied correlation (dispersion) trades