Price | $1,200.00 |
---|---|
Duration | 2 days |
Location | Virtual - American Time Zone |
Available Dates |
o 0800 - 0820: Technology check in to ensure all technology working and that all delegates have required access.
o 0830 - 0915: Session 1 - Option price & value
o Intrinsic value
o Time (extrinsic) value
o Put-call parity
o Marked-to-market vs premium-paid
o 0930 - 1015: Session 2 - Option pricing
o Fair value
o Four pricing factors:
o Effects of changes in various pricing factors on option prices
o 1030 - 1115: Session 3 - Pricing & modelling
o Option pricing
o Derivation of implied volatility
o Changing the variables
o 1215 - 1300: Session 4 - Primary option sensitivities- Delta
o Mathematical explanation/definition
o Simple use and examples
o Alternative interpretation
o Properties of delta
o Uses of delta
o Finding delta in practice
o Practical demo of model and delta
o 1315 - 1400: Session 5 - Delta hedging & further Greeks
o Option market-makers
o Delta hedging
o Explanation
o Examples
o Theta
o Vega
o Rho
o 1415 - 1500: Session 6 - Option spreads & combinations
o Vertical spreads
o Volatility spreads
o Further strategies