Description
Seminar participants will understand how to systematically deconstruct an option position. They will learn how to use option strategies in their own option books, as well as how to apply options to their customers’ hedging strategies. Two and a half days of seminar will mainly focus on PC simulation of options’ dealing – the teams of participants will be responsible for their option books and will be challenged to achieve the best result by trading own/customers’ options under changing market conditions.
- Options Strategiens
Profit and loss profiles, basic options strategies, Bull & Bear Spreads, Butterfly, Straddle, Strangle, Time-spread
- Options Pricing
Introduction to non-linear products, Options formula and its consequences, definitions, terminology, conventions, Call/Put Parity
- Options risk factors
Measuring risk of options strategies with Delta, Gamma, Theta, Vega (Kappa), and Epsilon
- Application of Options risk factors
Consequences of risk factors on flow-trading, cost optimized management and total option book
Gamma Trading: optimal trading strategies on rate expectations
With Roll/Over strategies to better Risk/Profit ratio
Risk Reversals, Volatility Smile, Dynamic Hedging of an Option book - Exotic options introduction
Basics & Overview
Influence factors and risk factors (Digital options, Barrier options, Asian options)