Corporate Solutions

Classroom - list of courses

1-Day Training Course Outline

Introduction

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.

 

Objectives

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

 

Methodology

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

 

Agenda

Session 1

Recap of Pricing Fundamentals

Binomial, Black Scholes and Monte Carlo methods

Basic and higher order sensitivities

Session 2

Directional trades

Spreads

Synthetic positions, conversions, reversals

Session 3

Realized Volatility Trades

Delta rebalancing and monetising Gamma

Session 4

Implied Volatility Trades

Straddles, Strangles etc.

Risk Reversals and Skew Trades

Implied Volatility and implied correlation (dispersion) trades