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Session 1 - Key principles & volatility

• Introduction

• Course structure and agenda

• Options - key principles

o Intrinsic value & time value - put-call parity

o Option pricing, relationships & modelling

o Option strategy - the trading decision

o Option prices & delta

• Volatility

o Key types

o Uses

• Q&A session

Session 2 - Implied volatility ranges & interpretation of volatility

• Implied volatility ranges

o Across asset classes

o In relevant contracts

• Interpretation of implied volatility numbers

o Probability theory

o Translated to markets & metrics

• Annual basis

• Other periods (month, week, etc.)

• Q&A session

• Exercises

Session 3 - Volatility skew

• Skew in mathematics - probability theory

• Market psychology and the reasons for skew

• Volatility skew in practice

o Across different asset classes (positive/negative/smile)

o In specific relevant contracts

o Ways to monitor skew

• ICE Option Analytics- skew in practice

• Empirical observations

• Q&A session

• Exercises

Session 4 - Option market-making & gamma

• Market-makers in real-world option markets

o Role of market-makers

o Standard practices of market-makers:

• Delta hedging & neutrality

• Trading volatility

• How market volatility moves

• The primary Greeks revisited

• Gamma - the key secondary Greek

o Definition

o Examples

o Trading long gamma

o Trading short gamma- being whip-sawed

o Gamma rent

• Q&A session

• Exercises

Session 5 - Advanced option strategy

• The option trading decision revisited

• How to optimise potential returns

• Long premium strategies

o Long vertical spreads

o Variations on verticals

• Selling options safely

o Short straddle vs iron fly

o Short strangle vs iron condor

• Further strategies (in brief)

o Collars (fences) revisited

o Horizontal spreads

• Q&A session

• Exercises

Session 6 - Option spreads & combinations

• OTC exotic structures

o Accumulators

• Option portfolio risk management

o Heuristic rules

o Portfolio Greeks

o What-if reports

• Q&A on this session

• Summary/round-up of day

• Exposition of digital post-course resources

• Information on post-course clinic

• Final Q&A