Suitability
This course is for individuals with a working knowledge of options
Learning Outcomes
At the end of this course delegates should understand:
- Implied option volatility, smile, skew, surface and trade feasibility
- The role and importance of the Greeks in option trading
- How to delta hedge a book and the process of gamma trading
Course Content
- Implied Volatility
- Implied vol. as a value indicator
- Implied vol. term structure
- Smile and skew
- Surface
- Exercises: Calculating and interpreting volatility
- The Greeks
- Theta
- Delta
- Gamma
- Trade feasibility
- Pricing off observed implied vol.
- Pricing off historic vol.
- Delta hedging a book
- Worked example
Exercises: Calculating net delta trade for a trader’s book
- Gamma trading
- Gamma behaviour
- Making money out of gamma
Exercises: Calculating the delta hedging and gamma trading required on a range of option trades
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