Options Volatility Trading - Intensive (Day)

This ''real time'' options trading course focuses on volatility trading. The class deals primarily with functioning as a Market Maker/Specialist, but also covers options as a means of expressing market opinions. The course begins with a notional amount of capital that the class trades. One portfolio is a volatility trading account, where participants act as options market makers. The other portfolio trades in a more speculative nature, using technical and fundamental analysis to make their trading decisions.

18-Nov-2008 -- 20-Nov-2008New YorkUSD$3275
NY Institute of Finance - Downtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ McCabe Hurley; ] Tue Wed Thu Level: Advanced
CPE Credits: 21.5

Traders, assistant traders, sales professionals, financial analysts, cash/money managers, auditors and compliance professionals.
No advance preparation required.
Students will be able to:
  • Describe the differences between option models
  • Estimate the probability statements made by a volatility figure
  • Compare the risk profiles of option trades with the synthetic equivalent position
  • Discuss how changes in different variables will affect the value of calls and puts (delta, gamma, theta, vega, & rho)
  • Discuss the principles of volatility trading and how this type of trading can be profitable (Identify ways to make money trading both a long and a short gamma position)
  • Differentiate the various risk profiles created in chosing one hedge over another
  • Calculate historical volatility and evaluate the resulting data
  • Describe skew and kurtosis
  • Outline how skew and kurtosis affect the prices of OTM options
  • Define implied volatility curves over time and price: the term structure of implied volatility & the implied volatility
Basic understanding of technical analysis and fundamental analysis or equivalent knowledge.
"Instructor's knowledge was a definite strength."
"This material is not taught anywhere else!"
"There was real-world immediate application of the course materials."
  • Technical Analysis - Day
  • Fusion Analysis Suite
  • Fusion Analysis - Workshop
  • Fusion Analysis - Day/Evening
    • Overview of Volatility Trading & Review of Risk Parameters
    • Overview of Volatility Trading
    • The market participants and how they interact with price
    • Review of Risk Parameters
    • Delta, Gamma, Theta, Vega & Rho

    Put-Call Parity, Hedging & Overview of Volatility Trading

    • Put-Call Parity
    • Understanding the relationship between put and call prices
    • Hedging
    • Maintaining a neutral position: delta, vega, theta and rho

    Volatility Skew & Assigning Value

    • Volatility Skew
    • Understanding the difference between ATM volatility and OTM volatility
    • Evaluating rich/cheap in skews
    • Historical Volatility
    • Comparing Historical and Implied Volatility

    		Dispersion Books
    • How a dispersion book operates
    • Comparing volatilities around the world
    • The types of trades a dispersion book looks for

    Taking on a Trade

    • Walking through an actual trade
    • Looking for real time opportunities
    • Hedging the position (for Delta, Vega, Theta & Rho)

    Trading in the Real World

    • Unwinding the trade and taking profits
    • Unwinding the trade and limiting losses
    • Expiration day decisions
    • Dealing with the fluid nature of options

    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.