Advanced Options

Pricing


Cost for BPP PD Members: £980.00 VAT + 12 CPD Hours
(£1230.00 VAT for non BPP PD Members) Click Here for details of our membership scheme.)

Course Level

Advanced

Delegates

This two day course will be of benefit to traders, managers, middle office, compliance and other support staff involved with the trading of option-type derivatives.

Course content

This course is designed to follow on from the one day Options - Introduction course. It therefore assumes a good understanding of options and delegates will use Excel™-based models to review volatility, develop a good understanding of option pricing as well as exploring the possibilities of various trading and hedging strategies.

Learning outcomes include obtaining a greater understanding of:

  • Introduction to Options Markets
    • Option and market terminology
    • OTC option market contract specifications and practices
    • Pay-out diagrams at maturity and during the life of the option
    • Option premium calculations and the concepts of time and intrinsic value
  • Volatility & Put/Call Parity
    • Historical volatility
    • Implied volatility
    • Observed volatility – what actually happened
  • Introduction to Options Pricing
    • Pricing an option is a two-part process.
    • What drives an option price in the secondary market?
  • Option Greeks
    • Calculating and explaining the “Greeks”.
    • How an option price moves for changes in:
      • Spot prices – delta and gamma
      • Time – theta
      • Volatility - vega
      • Interest rates – phi and rho
  • Hedging Strategies
    • Know your customer - before advising a customer it is necessary to know their market expectations and risk tolerance
    • Defining market expectations for:
      • Stock prices/volatility/interest rates
    • Defining customer
      • Risk tolerances/reward expectations
    • Constructing hedging strategies for individual equity positions including
      • Buying puts/Writing calls/Buying collars/Buying participating collars
  • Delta Hedging and Trading an Option Book
    • Trading market direction using Bull and Bear Spreads.
    • Trading expected increases in volatility using straddles.
    • Creating forward positions in volatility using calendar spreads
    • Using positive gamma in an option book.
    • Using risk reversals to change the properties of an option portfolio
  • Barrier Options
    • What are Barrier Options
    • How are Barrier Options priced
    • Barrier parity
    • Types of Barrier Options
    • Pricing regular barriers
  • Binary Options
    • What are Binary Options
    • How are Binary Options priced
    • American versus European Binaries
    • Using binaries to produce: No use – no pay Options/Options with rebates
  • Hedging Strategies
    • Forward Extra
    • Forward Plus
    • Contingent Risk Reversal
    • Forward Reset
    • Maturity Off-set KI/KO

"A CPD certificate of completion will be provided by BPP Professional Education Limited upon request, following attendance."


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