Advanced Options Trading Strategies

This two day discussion will cover strategies for structuring high return option positions that take advantage of the effects of rapid underlying price changes, volatility swings, expiration-related time decay accleration, and option price distortions that typically accompany planned events and earnings releases. The course will review structured trades that range from simple to complex with a focus on dynamic position management. Trading examples will be explained in the context of historical price change behavior which we will study using a variety of analytical approaches and charting techniques. We will also discuss the closely followed CBOE Volatility Index and strategies for hedging portfolio risk using VIX options. Trading examples will reflect the market realities of bid-ask spreads, volatility skews collateral requirements, and contract liquidity.

02-Jun-2008 -- 03-Jun-2008New YorkUSD$2375
NY Institute of Finance - Downtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Jeff Augen; ] Wed Thu Level: Advanced
CPE Credits: 7

22-Sep-2008 -- 23-Sep-2008New YorkUSD$2375
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Jeff Augen; ] Mon Tue Level: Advanced
CPE Credits: 7

10-Nov-2008 -- 11-Nov-2008New YorkUSD$2375
NY Institute of Finance - Downtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Jeff Augen; ] Mon Tue Level: Advanced
CPE Credits: 7

Investors (institutional or private) who use options as a primary trading vehicle and are interested in exploiting the advantages of complex structured positions.
No advance preparation required.
Students will be able to:
  • Structure and manage complex trades in response to changing market conditions
  • Identify and exploit subtle pricing inefficiencies
  • Build trading models that capitalize on earnings and expiration cycles
  • Assess positional risk using historical price change behavior
  • Identify and measure price distortions and predict their effects on option pricing
Options I and II are suggested prerequisites. Attendees must understand basic option pricing theory and be familiar with the effects of implied volatility and time decay.
  • Get Smart about Investing
  • Options Volatility Trading - Intensive (Day)
    • General Considerations
    • Bid-ask spreads
    • Volatility swings
    • Put-call parity violations
    • Liquidity issues

    Analytical tools for modeling volatility and price change behavior

    • Calculating volatility using variable length windows
    • Intraday versus daily volatility
    • Charting historical volatility and price change behavior
    • Using price spikes measured in standard deviations as trade triggers
    • Structuring trades with known risk profiles

    Trade structures that benefit from rising or falling implied volatility

      Trade structures that benefit from time decay acceleration

        Trade structures that benefit from rapid price spikes

          Trading the CBOE Volatility Index

    		Complex multipart trades
    • Butterfly spread
    • The Condor and other four sided positions
    • Four part trades that span different expiration dates

    Earnings

    • The relationship between earnings-associated price distortions and historical price change behavior
    • Options positions that exploit earnings-associated price distortions
    • Dynamic post-announcement position management

    Expiration

    • Price distortions during the final days of an expiration cycle
    • Predicting and exploiting expiration day strike price pinning
    • Expiration day volatility collapse and dynamic position management

    Clients who register for this course will receive a complimentary 6 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process and are limited to one per client. For questions about your subscriptions call 800-628-8088 or email uscirculation@ft.com. US and Canada enrollees only.

    Lunch included for all students taking day classes.