Special Topics in Options Trading

In this two-day, hands-on computer workshop, participants will learn to identify and exploit subtle price distortions associated with options expiration, earnings releases, and other scheduled events. The discussion will also focus on new analytical tools for studying price change behavior. This information will be used to structure statistically advantaged options positions.

The course will begin with an introduction to new tools and analytical techniques. We will focus on using historical price change behavior to build trading models. Next we will focus on strategies for trading earnings and other scheduled events that affect the implied volatility of option contracts. Participants will have the opportunity to model different trading scenarios and to test and compare the performance of their models.

The third section will explore price distortions that occur during the final days of an expiration cycle. Participants will have the opportunity to build and test trading models for specific scenarios. The discussion will focus on the strike price pinning effect and volatility collapse that occurs on expiration Friday.

No sessions currently available. Contact client services to get the next available date.
Anyone who is interested in using options as a trading vehicle to limit market exposure by taking advantage of specific events and timeframes.
No advance preparation required.
Students will be able to:
  • Build trading models for earnings and expiration
  • Assess positional risk using historical price change behavior
  • Identify and measure price distortions and predict their effects on option pricing
Attendees must understand basic option pricing theory and be familiar with the effects of implied volatility and time decay. Familiarity with Excel and Windows is also required for the trade modeling portion of the course.
Day 1 - Price change behavior and trading the earnings cycle

Tools for modeling price change behavior

  • New charting techniques and analytical tools for modeling price change behavior
  • Building models and structuring trades with known risk profiles

Trading against earnings and other scheduled events

  • The relationship between earnings-associated price distortions and historical price change behavior
  • Exaggerated effects when earnings occur near the end of an expiration cycle
  • Strategies for structuring option positions that exploit the distortion

Day 2 - Earnings part II and trading the expiration cycle

Earnings part II

  • Advanced scenarios
  • Hedging against risk
  • Dynamic post-announcement trading

Trading the expiration cycle

  • 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.