Equity Derivatives 1: Trading and Managing Vanilla Options

4.4 fantástico 6 opiniones
London Financial Studies
En London (Inglaterra)

4001-5000 €

Información importante

Tipología Short course
Lugar London (Inglaterra)
Duración 3 Days
Inicio 07/03/2018
  • Short course
  • London (Inglaterra)
  • Duración:
    3 Days
  • Inicio:

An intensive three day workshop on trading and managing risk of vanilla equity derivatives. Presented by Alberto Cherubini.

This programme provides a solid understanding of modern vanilla equity derivatives and of their markets, practices and conventions, both from the buy side and sell side perspective. The second part will explore the technical basis of derivatives pricing, hedging and risk management.

Delegates will assess volatility in its different meanings, and explore how it impacts option pricing. The Black Scholes framework is discussed in depth including extensions to it, while the last session covers the volatility surface in detail, including trading and risk management of vanilla portfolios. The course will also explain how to compute probabilities from market option prices, and discuss applications to proprietary trading and simple exotic options.

Exercises, practical examples and case studies will help delegates understand and retain the knowledge to be applied back at work.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Beginners in equity derivatives, buy-side equity professionals, sell side junior salespeople, brokers, middle and back office, legal and IT professionals. The course will cover details of market practices and conventions, so it is suited to derivatives professionals from other asset classes considering expanding into equity derivatives.

Requisitos: The first day requires only very basic financial maths including present value of money and the exponential. From the second day, knowledge of calculus (derivatives and integrals) and basic statistics (average, variance, standard deviation) is necessary. Having some Excel experience will enable the attendants to benefit fully from the workshops and exercises.

Instalaciones y fechas
Dónde se imparte y en qué fechas
Inicio Ubicación
07 mar 2018
34 Curlew Street, se12nd, London, Inglaterra
Ver mapa
Inicio 07 mar 2018
34 Curlew Street, se12nd, London, Inglaterra
Ver mapa


Valoración del curso
Lo recomiendan
Valoración del Centro

Opiniones sobre este curso

Lo mejor: Alberto is an incredible mentor and showed a great deal of useful learning of the material. It is exceptionally useful that he has both taken a shot at an trading floor and has the ability to clarify complex material in a pragmatic, straightforward style.
A mejorar: Nothing.
Curso realizado: Octubre 2016
¿Recomendarías este centro?:
Lo mejor: Astounding course by a splendid coach.
A mejorar: Everything OK.
Curso realizado: Octubre 2016
¿Recomendarías este centro?:
Lo mejor: A magnificent course - a lot of valuable illustrations and an agreeable educator.
A mejorar: Nothing bad.
Curso realizado: Octubre 2016
¿Recomendarías este centro?:

¿Qué aprendes en este curso?

Risk Management
IT risk
Equity Derivatives
Equity Derivatives
OTC vanilla
Trading Strategies
Market structure
Hedging strategies


Day One

The forward
  • The importance of the forward
  • Forward contract vs. futures
  • The forward price
  • Static replication and arbitrage
  • Margins, funding, the box
  • Why delta not always 1
  • Effects of dividends, borrow costs, taxes, funding
Options basics
  • Vanilla options payoffs
  • Time and intrinsic value
  • Put call parity arbitrage
  • Dependence on inputs
  • Theta
  • Model independent bounds on price
  • First mention of Black Scholes formula
Overview of products
Option Features
  • Cash settled/Physical delivery
  • American / European
  • Multipliers
  • Notional vs. units
  • Percentage vs. absolute
  • Corporate actions
Reminder: what is an equity index
Delta 1 products
  • Futures, EFP, cash & carry
  • Forward contracts, synthetics, combos, jelly rolls
  • Equity swaps and the like, CFD's
  • Trading conventions and mechanics of execution
Zoology of listed and OTC vanilla options
  • Index vs. single stocks
  • Options on futures
  • Examples from various markets
  • Trading conventions, mechanics of execution
Using Options outright: Investment and Trading Strategies
Directional trading
  • Conversions, synthetics
  • Call and put (Bull and Bear) spreads
  • Collars, Risk reversals
Non Directional (range/time decay) trading strategies
  • Calendars
  • Straddles and strangles
  • Butterflies
  • Others
From prices of spreads to probabilities
Yield enhancement and cost reduction strategies
  • Over and under writing strategies
  • Stock replacement strategies
Examples and exercises
Using Options outright: Risk Reduction Strategies
Use of vanilla options in portfolios: puts, calls, collars, futures
Hedging a portfolio
  • Costs Is it worth it?
  • Timing Using axes
  • Rolling
  • Selecting the instruments
  • Texas hedging
Overview of markets and business models
Market knowledge
  • Conventions
  • Execution mechanics
  • IDB's
  • Timings, numbers
Market structure
  • Main players, business models
  • Behaviours and biases
  • Flows
  • Supply and demand
  • Impact on other markets and prices
Day two

The role of volatility in option pricing
Volatility as an ‘asset class’
Implied volatility
  • Meaning
  • A mention of the surface
Realised volatility
  • Standard formulas
  • Advanced formulas
  • Properties and empirical observation
  • Mention of estimation methods
Vanilla Option: Black Scholes pricing
  • Options trading: is it a zero sum game?
  • Dynamic delta hedging of options: a simple minded strategy
  • Volatility trading in a simplified sense
  • Intuitive derivation of Black Scholes Merton formulas (BSM)
  • Rules of thumb
  • Understanding BSM from different point of views
  • The BSM assumptions and how they break
  • American options: early exercise in practice
Excel Exercises
Option Price Sensitivities
Delta, gamma, vega, theta, rho
How greeks change: time behaviour, spot and strike behaviour, higher order greeks (vanna, volga)
Examples, exercises
Dynamic delta hedging in practice
  • BSM delta hedging workshops
  • P&L analysis
  • The practical meaning of gamma
  • Theta decay: the cost of time
  • The theta/gamma balance
  • Rules of thumb
  • Volatility trading revisited
    - Vega vs. Gamma
    - Trading “realised”
    - Trading “implied”
  • Details of delta hedging strategies
  • Alternative choices for delta
  • A word of caution: jumps and their effect on the hedging argument
Workshop: Dynamic delta hedging: from the simple BS case to more complex and realistic scenarios

Day three

Implied Probability and Expectation Pricing
  • The link between vanilla option prices and probability
  • Application to proprietary trading
  • Delta from probability?
  • Expectation pricing: using the probability distribution to price derivatives
  • Pricing exotics without models
  • Calculating the static hedging portfolio for an exotic option
  • The missing link: conditional probability
  • Why exotic prices are non unique
Workshop: from vanilla prices to probability and vice versa
Extending the BS framework
  • How Black and Scholes fails
  • Simple extensions:
    - Leyland formula and other rules of thumbs
    - Effect of discrete hedging
  • Various kinds of non normality
  • Gaps and jumps
  • Lack of liquidity and feedback loops
  • Implications of non normality on hedging strategies
  • Hedging discreetly and with costs
  • Short gamma feedback loop, P&L effect
Implied Probability and Expectation Pricing
  • The link between vanilla option prices and probability
  • Application to proprietary trading
  • An introduction to exotics:
  • Expectation pricing: using the probability distribution to price derivatives
  • Why exotic prices are non unique
Workshop: from vanilla prices to probability
The Volatility Surface Origins and meaning of the surface
  • Skew, smile and their causes
    - Link to credit risk: “put floor” from default
    - Other interpretations
  • Termstructure and roll down
The dynamics of the surface
  • Stickiness and others
  • Realised dynamics of the surface
  • Theory, practice, and traders' biases
  • Effect of different dynamics on delta calculation
Examples of calculations
Risk to the surface
  • Reporting vega by bucket
  • Calculating skew and smile exposures
    - comparison to volga and vanna
    - tricks and pitfalls
Trading the volatility surface
  • 3 ways to trade skew
  • Term structure trades
  • Smile and curvature trades
Parameterisation, interpolation, or grid of numbers?
  • Different needs, different tools
  • The pitfalls of a non parametric volsurface
Examples: Vanilla portfolios
Este curso está en español. Traducir al inglés