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o Day 1 0845 - 0900: Technology check in to ensure all technology working and that all delegates have required access.

o 0900 - 0945: Session 1 - Option price & value

• Introduction

• Option price& value

o Intrinsic value

o Time (extrinsic) value

o Put-call parity

o Marked-to-market vs premium-paid

• Q&A session

• Exercises on this session

o 1000 - 1045: Session 2 - Option pricing

• Introduction to standard (Black-Scholes) methodology

o Fair value

o Four pricing factors:

• Underlying (in relation to strike)

• Time & erosion

• Interest rates

• Volatility (historical & implied)

• Q&A session

• Exercises on this session

o Effects of changes in various pricing factors on option prices

o 1100 - 1145: Session 3 - Pricing & modelling

• Discovering option prices in practice

• Option pricing - models the Black Box

• Option pricing theory - summary

• Demonstration of pricing model

o Option pricing

o Derivation of implied volatility

o Changing the variables

• Q&A session

o Day 2 0845 - 0900: Technology check in to ensure all technology working and that all delegates have required access.

o 0900 - 0945: Session 4 - Primary option sensitivities- Delta

• Introducing the primary option sensitivities

• Delta

o Mathematical explanation/definition

o Simple use and examples

o Alternative interpretation

o Properties of delta

o Uses of delta

• Price prediction

• Underlying equivalence

• Risk management

• Delta hedging

o Finding delta in practice

o Practical demo of model and delta

• Q&A session

• Exercises

o 1000 - 1045: Session 5 - Delta hedging & further Greeks

• Structure of real-world option markets

o Option market-makers

o Delta hedging

• Delta neutrality

o Explanation

o Examples

• Further primary Greeks:

o Theta

o Vega

o Rho

• Introduction to option portfolio risk management

• Q&A session

• Exercises

o 1100 - 1145: Session 6 - Option spreads & combinations

• Outright options vs option spreads

• Evolution of option spreads

• Principal option strategies

o Vertical spreads

• Long (bull) call spreads

• Short (bear) call spreads

• Long (bear) put spreads

• Short (bull) put spreads

o Volatility spreads

• Long straddles

• Short straddles

• Long strangles

• Short strangles

o Further strategies

• Q&A on this session

• Summary/round-up of day