The Greeks and Option Risk Management


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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