Advanced Futures and Forwards

Price: $995   Register now

Recommended that you register at least two weeks in advance.

Course Features

  • Course date:04/22/2020
  • Course Duration: 1 Day
  • Level: Advanced
  • Prerequisites: Knowledge of F/F
  • Method: Live & Virtual
  • Venue: MicroTek
  • Time: 9:00 am – 5:00 pm
  • Dress Code: Business Casual
  • Category:
  • Certificate: Yes
  • CPE Credits: 7
  • Course Code: 504

ADVANCED FUTURES AND FORWARDS

This one day advanced intensive course covers multiple aspects of forward contracts and the futures markets.  Topics covered include forward arbitrage relationships, how to value forward and futures contracts, as well as using forwards and futures for hedging and risk management purposes.

Prerequisites:  Understanding of Forwards and Futures

Who Should Attend:  Investment professionals from both the buy side and sell side who are involved in applying futures and forwards for speculation and/or risk management purposes.

PRICE BEHAVIOR

  • Arbitrage Pricing
    • Physical commodity costs: storage, insurance and interest
    • Financial futures costs: interest expense and income on underlying
    • Impact of positive versus negative costs
  • Valuing Forward and Futures
    • Pricing model: F = S (1+ annualized carry)T
    • Implications for forward pricing curve of full arbitrage pricing
    • Contango versus backwardation

PRICING BOND AND INTEREST RATE FORWARDS AND FUTURES

  • Actively Traded Contracts: T-note, T-bond and Eurodollar Futures
    • Delivery basket feature and conversion factors of Treasury futures
    • Cash settlement only and index price features of Eurodollar futures
  • Forward Pricing of Treasury futures
    • Connection between Treasury yield curve and cost of carry
    • Deriving a T-bond/note forward pricing model
    • Complications related to basket delivery – a cheapest-to-delivery security
    • Impact on value of delivery option (implied put option)

PRICING EQUITY FORWARDS AND FUTURES

  • Single Stock Futures – Dividend and Non-dividend paying stocks
  • Stock Index Futures Pricing
    • Index contract point values and cash settlement only contracts
    • Treatment of index dividend yield
    • Fair value and range of no-arbitrage prices related to cost of trades

PRICING CURRENCY FORWARDS AND FUTURES

  • Currency Futures
  • Currency Futures Pricing
    • Impact of interest rates
    • Fair value and range of arbitrage activity

 HEDGING/RISK MANAGEMENT WITH FUTURES AND FORWARDS

  • Fundamental Concepts
    • Hedging versus risk management
    • Short hedges, long hedges and cross hedges
    • The basis (cash price – futures price) and basis risk
    • Risk and return of hedged versus unhedged positions
  • Basic Hedging Examples
  • Real World Complexities Encountered When Hedging Commodity Exposures

HEDGING/RISK MANAGEMENT USING BOND AND INTEREST RATE FUTURES

  • Hedging Bond Positions
    • Weighting hedges using duration or DV .01
    • Risk of fully hedged positions
  • Portfolio Management Applications
    • Active management – adjusting portfolio duration versus benchmark index
    • Passive management – structuring enhance index funds

HEDGING/RISK MANAGEMENT USING EQUITY INDEX FUTURES

  • Active Management – adjust portfolio beta versus benchmark to outperform
  • Synthetic Stock Position
    • Equitizing cash to alter asset allocation
    • Outperform security holding by going long futures if undervalued

HEDGING CURRENCY RISK USING CURRENCY FUTURES

Instructor

  • Russell joined TABB Group in July 2018 after almost a decade at Cboe Global Markets where he finished his time there as the Director of Education at The Cboe Options Institute. His career before joining Cboe included positions at a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, Balyasny Asset Management, …
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