Volatility - Advanced Concepts

This course examines the difference between real distribution and

(Days 2 & 3 of the 5-day Volatility Suite)

No sessions currently available. Contact client services to get the next available date.
CPE CREDITS
14.0
Equity traders, interest rate traders, commodity traders, capital markets salespeople, traders assistants, middle office, IT-programming, IT-trading support, asset managers, hedge fund personnel, and bank portfolio managers.
No advance preparation required.
Attendees must have a solid knowledge of options and options strategies. Pre-reading materials will be provided upon request. After speaking with the instructor, the instructor will recommend materials.
Advanced Concepts - Part One
Volatility Trading
  • Hedging delta: long volatility trade example; short volatility trade example
  • Hedging Gamma, Theta & Vega: vertical spreads to hedge Gamma, Theta & Vega; calendar spreads to hedge Gamma, Theta & Vega

Analysis: Estimating Volatility

  • Calculating historical volatility
  • Working with the HIST VOL spreadsheet
Homework: Volatility Trading & Compiling Historical Volatility Research

Volatility Skew

  • Implied volatility for Out-of-the-Money Options
  • Measuring deviations from normal distribution: skew & Kurtosis
  • Estimating skew

Group Interactivities

  • Discussing delta hedging strategies and procedures
  • Determining optimal hedge procedures for long and short volatility positions
  • Defining your Option Volatility Trading Plan
  • Managing positions at expiration

Advanced Concepts - Part Two
Volatility Studies
  • Historical volatility: normal distribution versus real distribution
  • Implied volatility: history of implied volatility; skew
  • Implied versus historical: coincident; lagging
  • Intraday volatility: event volatility

Group Interactivities

  • Discussing delta hedging strategies and procedures
  • Determining optimal hedging procedures for long & short volatility positions
  • Defining your Option Volatility Trading Plan
  • Managing positions at expiration

Clients who register for this course will receive a complimentary 4-month subscription to FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. The move to the electronic version follows an ongoing review of our environmental responsibilities as a global business and as part of the Pearson group. FT.com also has features that are not available in hard copy, such as: Special Reports, Alphaville, editor blogs, education sections and much more! Subscriptions will start within 6-8 weeks of the start of class and are limited to one subscription per client. (Please note: as of May 1, 2011, the electronic subscription replaces the hard-copy 3-month Financial Times subscription.)

Lunch is included for all students taking day classes.