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Our Equity Derivatives training course covers an incredible range of products available for market participants. We’ll start with a brief overview of financial derivatives and equity futures and then focus in greater detail on options contracts. We’ll explore such areas as option risks and pricing, volatility dynamics and dealer positioning.
This advanced course is aimed at those who already have some understanding of equity markets and its key concepts. A basic level of derivatives knowledge is also recommended, although not required.
- Gain a solid understanding of equity options and their uses, pricing and risks.
- Appreciate the diverse range of option strategies and their suitability for different market conditions.
- Recognize the interplay between option risks and how they relate to one another.
- Explore the relationships between realized and implied volatilities.
- Discover what drives an implied volatility skew and term structure.
- Find out when exercising an American option early is optimal (and when it’s not).
- Learn how to calculate implied and realized correlations in the market.
- Grasp the specifics of trading volatility with VIX futures and options.
- Find out about fixed strike and floating strike vol and why it matters.
- Become familiar with dealer gamma positioning and its impact on the market.
- Private traders and investors, looking to learn about equity derivatives markets.
- Professionals within the financial industry or those providing services to the financial sector.
- Professionals performing financial functions in non-financial industries, such as corporate treasury, accounting, and investor relations.
- Students, preparing for an upcoming internship or starting their careers in finance.
- Anyone working in or looking to understand how equity derivatives work.
- Active trader specializing in Equity Derivatives and Volatility trading.
- Former Goldman Sachs Quantitative Analyst.
- Working in finance since 2008.
- Professional career includes Nomura, Bloomberg and Goldman Sachs.
- Cross asset-class experience covering Equities, Fixed Income, FX and Commodities.
- Teaching financial courses since 2013.
- Holds Masters of Engineering from Imperial College London.
- Holds Masters of Science in Mathematical Finance from University of Oxford.
- Futures and forwards.
- Calls and puts.
- In-the-money (ITM), at-the-money (ATM) and out-of-the-money (OTM) options.
- Put-call parity and option arbitrage.
- Overview of stock and index options.
- Open interest and volume.
- Intrinsic and time value.
- Standard deviation and returns distribution.
- One-step binomial model.
- Risk neutral probabilities.
- Black-Scholes framework.
Historical and Implied Volatility:
- Stylized facts about volatility.
- Calculating realized vol.
- Volatility risk premium (VRP).
- Vol-spot relationship.
- Mean reversion and volatility regimes.
- Volatility surface.
- Volatility cone.
Skew and Term Structure:
- Contango and backwardation.
- Shape of the term structure.
- Spot and forward volatility.
- Event volatility and implied moves.
- Why skew exists.
- Skew in different volatility environments.
- Skew and implied distributions.
- Fixed strike vol and realized skew.
Option Risks and Greeks:
- Delta and delta hedging.
- Unit and dollar exposure.
- Options arbitrage.
- Straddles and strangles.
- Call and put spreads.
- Calendar spreads.
- Collars and risk-reversals.
- Iron condors.
Correlation and Dispersion:
- Importance of correlation.
- Index diversification and volatility.
- Market correlation.
- Calculating implied and realized correlation.
- Correlation and skew.
- Dispersion and correlation trading.
- Variance and volatility swaps.
- VIX calculation.
- VIX futures and options.
- Volatility of volatility of volatility of...
- Volatility complex – ETNs and ETPs.
- VIX and the fixed strike vol.
- Who are the dealers?
- Dealer gamma.
- Short and long gamma.
- Calculating gamma exposure.
- Zero gamma level.
- Vanna and charm.
Class size:25 students
- Formal completion certificate.
- Course notes and materials.
- Follow-up support – ability to ask questions and seek further clarification, if needed.
- 20% OFF any future courses you wish to attend.
We do our best to accommodate different time zones and appreciate that some students have to either wake up very early or stay very late in order to attend.
The times for this course are going to be:
PST: 05:00 – 14:00
EST: 08:00 – 17:00
UTC: 12:00 – 21:00
BST: 13:00 – 22:00
SGT: 20:00 – 05:00
There is an hour break in-between, for a total of 7 to 8 teaching hours per day.
We accept all major credit and debit cards, and PayPal.
You will receive this by email after completion of any of our classes.
You can cancel your booking and receive a full refund up to one month in advance of the course start date.
If you made a booking for a seminar that starts in less than one month, you can cancel for a full refund within the 14 days of making the booking.
In case if we are unable to deliver a course in a physical classroom and had to move it online due to COVID-19, you can also cancel and request a full refund if you don’t want to attend the course virtually.
This advanced course is aimed at those who have some understanding of equity markets and its key concepts. A basic level of derivatives knowledge is also recommended, although not required.