Understanding & Using Options Course

Location: Available Globally

Dates: Open date - Open date

Duration: -

Price:

The delegates of this course are eligible to 18 SRA CPD Hours The aim of the course is to give delegates a good understanding of the option markets and to look into the Pricing and Trading of options. Furthermore they will be able to use options and to structure solutions for themselves, corporate customers and investors. By the end of the course delegates will: Understand the mechanics of option pricing and valuation Design trading strategies using a combination of options Apply and use bond options, caps, floors and swaptions Gain an exposure and understanding of the Greeks Comprehend the risks and rewards of the options market, understand volatility and maximise trading opportunities Understand Black-Scholes Learn techniques to build and price sophisticated structured products Methodology: Participants of the course will interactively take part in the exercises by pricing and trading options on laptops. A spreadsheet-based program will be used to support exercises. Course segments will involve exercises designed to apply concepts discussed in the instruction. Course categories:Corporate Banking Inhouse, Treasury Inhouse
COVERED TOPICS

DAY ONE OPTIONS: THE FUNDAMENTALS Definition, conventions and terminology: price, quote & settlement Puts and calls and what they mean American, European and Bermudian options Intrinsic and time value Understanding at, in, and out of the money options BASIC OPTION STRATEGIES Call and put spreads Collars Calendar spreads Straddles and Strangles Box spreads Other applicable strategies Put and call parity *Case Studies: Delegates will work on using a variety option combinations* RISK MANAGEMENT – UNDERSTANDING THE GREEKS AND THEIR INTERACTION Delta Gamma Decay Vega Rho Delta Hedging Trading a book and seeking Gamma *Case Studies: Delegates will establish a portfolio in Excel and its profit, loss and decay will be monitored as variables change* DAY TWO VOLATILITY Volatility concept and impact on pricing Term structure Smile (straddles, risk reversals and butterflies) Forward volatility Historical – Implied – Actual Hedging and trading an options book Volatility surfaces Other mark to market issues INTEREST RATE OPTIONS Caps Floors Collars Swaptions Bond options *Case Studies: Comparing caps, swaps and collars to hedge interest rate risks* OPTION PRICING TOOLS Basic Probability Normal Distributions Lognormal Distributions Mean Variance Analysis of Asset Returns Understanding The Black-Scholes equation Problems with Black-Scholes Kurtosis *Case Studies: Demonstration of pricing and the Greeks in Excel*		DAY THREE MORE COMPLEX OPTIONS Digitals: European options Accrual options Asian options: average rate, average strike, one touch no touch, single & double Barrier options: European & American single & double knock-in & knock-out Discrete & window options Binary options Basket options *Case Studies: Delegates will work on using digital, barrier and Asian options for hedging currency risk, how can range accrual and basket options enhance yield for MTNs* EXOTIC OPTIONS AND THEIR PRICING FEATURES Basket options Quanto options Pricing using Binomial trees GARCH methods Stochastic volatility models STRUCTURING BONDS AND MTNS USING OPTIONS Equity Linked Transactions Convertibles FX linked notes Credit Linked Notes (CLNs) with an option element *Case Studies: A variety of Structured Products will be dissected*

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Location: Available Globally
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Understanding & Using Options Course

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