For individuals with a working knowledge of options
At the end of this course delegates should understand_x000D_
– Implied option volatility, smile, skew, surface and trade feasibility_x000D_
– The role and importance of the Greeks in option trading_x000D_
– How to delta hedge a book and the process of gamma trading
‐ Implied vol. as a value indicator
‐ Implied vol. term structure
‐ Smile & skew
Exercises: Calculating and interpreting volatility
‐ 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 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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The team are so friendly and pleasant to work with, everyone is very professional and keen to help us. Building a relationship over the past couple of years helps us to feel like the Alpha team are even more able to understand our needs and provide more proactive solutions.