| Price | £975.00 + VAT | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Duration | 1 day | ||||||||
| Location | London | ||||||||
| Available Dates |
|
Session 1 - Option price & value
o Intrinsic value
o Time (extrinsic) value
o Put-call parity
o Marked-to-market vs premium-paid
o Filling in the blanks using PCP
o Delegates to find settlement prices online and check PCP
Session 2 - Option pricing
o Fair value
o Four pricing factors:
o Effects of changes in various pricing factors on option prices
Session 3 - Pricing & modelling
o Option pricing
o Derivation of implied volatility
o Changing the variables
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 (If time) practical demo of model and delta
Session 5 - Delta hedging & further Greeks
o Option market-makers
o Delta hedging
o Explanation
o Examples
o Theta
o Vega
o Rho
Session 6 - Option spreads & combinations
o Vertical spreads
o Volatility spreads
o Further strategies