Advanced Options

Price: $995   Register now

Recommended that you register at least two weeks in advance.

Course Features

  • Course date:11/19/2019
  • Course Duration: 1 Day
  • Level: Advanced
  • Prerequisites: Knowledge of Options
  • Method: Live & Virtual
  • Venue: MicroTek
  • Time: 9:00 am – 5:00 pm
  • Dress Code: Business Casual
  • Category:
  • Certificate: Yes
  • CPE Credits: 7
  • Course Code: 505

ADVANCED OPTIONS

FUNDAMENTALS OF OPTION PRICING

  • Option Pricing Principles
    • Value determinants: underlying, strike, expiry, interest rates and volatility
    • How the value determinants are connected to option prices
  • Other Foundational Issues
    • Option exposure profiles and value diagrams
    • Interpreting the graphs and their connections with the value determinants
    • Optimal exercise rules

THE OPTION “GREEKS”

  • Price related – Delta and Gamma
    • Definitions
    • Conceptual, mathematical and graphical interpretations
    • Applications in quantifying and managing risk
    • Delta neutral trading strategies
  • Time Related – Theta
    • Time Decay
  • Interest Rates – Rho
  • Volatility – Vega (Kappa)
    • Volatility (implied)
    • Method of calculation
    • Market factors impacting volatility and behavior over time

VOLATILITY BEHAVIOR

  • Stocks
  • Equity Indexes
  • Commodities

OPTION PRICING MODELS

  • Black-Scholes
    • Assumptions and inputs
    • Review and interpretation of Black-Scholes formula
    • Applications
  • Binomial Pricing Models
    • Types of binomial trees – standard and flexible
    • Equal probability versus Cox-Ross-Rubenstein trees
    • Assumptions required for creation of binomial trees
    • Pricing equity options using binomial tree
  • Comparison of Black-Scholes with Binomial Models

PUT/CALL PARITY

  • Deriving Put/Call Parity from Equivalent Portfolios
  • Illustration of Put/Call Parity Enforcing Relative Fair Value
  • Related Arbitrage Trading Strategies: Conversions and Reversals
  • Synthetic Positions

 

VOLATILITY TRADING

VOLATILITY BEHAVIOR

  • Behavior of Volatility
    • Stocks
    • Equity Indexes
    • Commodities
  • Investment Characteristics
    • “Mean Reverting” to recent trading ranges
    • Inversely correlated to equity market values
  • Trading Strategies
    • Delta neutral ratio spreads
    • Basis for choice of option series to implement trade
    • Role of delta and gamma in managing trading positions

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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