Macrohedged – Options Education FULL Course 30+ Hours

File size: 4.02 GB

FULL 5 DAY COURSE SPEC

Foundation Day

• Price.
• Market microstructure.
• The Options on Futures market.
• The CME, EUREX & ICE – Why they are different and who futures exchanges operate.
• The Greeks (1st Order Greeks).
• Option Value Calculation.
• Knowing your position and how it will change.
• Glossary & Jargon.
• Setting up the right tools for the week.

Objective is to get everyone on the foundation day fully prepared to learn at a greater depth for the rest of the week

4 Day DeepDive

• Spreads & Strategies
• The Models (B&S, Binomial Trees)
• The Market Maker – Their role, your role
• Volatility
• Skew (RR, BF and path trading)
• Trading Volatility & Skew
• Dynamic hedging
• Position risk
• Greeks in depth
• 2nd Order Greeks (Vomma, Charm, Vera,Dvega, DeltaTime)
• 3rd Order Greeks (Color, Speed, Ultima, Zomma)
• Option sensitivity
• Position sensitivity
• Cross Greeks & Correlation sensitivity
• Trading Skew
• The Volatility Surface
• Volatility diffusion
• Dynamic Replication and Jump diffusion
• Bringing all the tools together
• How to run an Options portfolio
• Cross asset risk management
• Finding the trade, looking for value.
• Understanding the CME’s rules on option and postion margin
• Understanding how your FCM calculates span risk to meet CFTC obligations.
• What if planning and modelling

At the end of this intensive four days, you will understand all the variable that can change the price of an option and thus the implications on your portfolio. You will understand the role of the exchange, the market maker and the FCM. You will be able to manage cross asset risks, model complex ‘what if’ scenarios and learn how to look for value in the options on futures world.