Cost for BPP PD Members:
+ VAT : 12 CPD Hours
+ VAT for non BPP PD Members - Click here for
details of our membership scheme.)
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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.
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."