Price | £1,050.00 + VAT | ||||||||
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Duration | 1 day | ||||||||
Location | London | ||||||||
Available Dates |
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Session 1 - Key principles & volatility
o Intrinsic value & time value - put-call parity
o Option pricing, relationships & modelling
o Option strategy - the trading decision
o Option prices & delta
o Key types
o Uses
Session 2 - Implied volatility ranges & interpretation of volatility
o Across asset classes
o In relevant contracts
o Probability theory
o Translated to markets & metrics
Session 3 - Volatility skew
o Across different asset classes (positive/negative/smile)
o In specific relevant contracts
o Ways to monitor skew
Session 4 - Option market-making & gamma
o Role of market-makers
o Standard practices of market-makers:
o Definition
o Examples
o Trading long gamma
o Trading short gamma- being whip-sawed
o Gamma rent
Session 5 - Advanced option strategy
o Long vertical spreads
o Variations on verticals
o Short straddle vs iron fly
o Short strangle vs iron condor
o Collars (fences) revisited
o Horizontal spreads
Session 6 - Option spreads & combinations
o Accumulators
o Heuristic rules
o Portfolio Greeks
o What-if reports