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Course List
Introduction to the Securities Industry
Introduction to the Securities Industry
Introduction to U.S. Securities Processing
Securities Lending and Borrowing : An Operations Perspective
Foundations of Investment Management and Buyside Operations
Dealing with Change in the Financial Markets
Collateral Management: An Operations Perspective
International Issues
International Securities Operations
International Portfolio Accounting
Foreign Currency: Markets, Clearance, Settlement & Accounting
Foreign Exchange: Lifecycle of a Trade
Corporate Actions
U.S. Domestic Corporate Actions
Global Corporate Actions
Capital Markets
Capital Markets Overview
Capital Market Economics - Investigating the Linkages Between the Real Economy and the Financial Markets
Portfolio Management
Portfolio Management
Securities Analysis
Managing Risk
Risk in a Global Market - Management and Operational Challenges Looking Forward
Financial Management
Financial Accounting and Financial Mathematics
Financial Statement Analysis
Fixed Income Securities
Bond Math: Mathematics of the Fixed Income Market
Structured Securities: MBS, ABS, CDOs
Introduction to Fixed Income Products
Accounting for Fixed Income Securities and Derivatives
Mortgage-Backed Securities
Collateralized Debt Obligations and Credit Default Swaps (CDOs and CDS)
Fixed Income Analytics
Interest Rate Swaps and Credit Default Swaps
Fixed Income Securities Trade Processing and Operations
Accounting, Regulatory & Management
Stock Brokerage Accounting & Securities Regulations
Introduction to Private Equity Markets
Trading After the Volcker Rule
Dodd-Frank for Non-US Derivatives Users
Complying with the MiFID II/MAR Rules
Introduction to Derivative Products
Derivatives: Markets, Operations, Accounting & Control
Derivative Products: Risk Management and Valuation
Option Valuation and Trading
Equity Derivatives: Futures and Swaps
Interest Rate Futures and Swaps
Introduction to Options: Products, Trading & Processing
Swaps Processing and Operations
Commodity Futures: Energy, Metals and Agricultural
Equity Options: Strategies, Accounting and Operations
Mutual Funds
Introduction to Mutual Funds
Mutual Fund Operations

Course Description
Option Valuation and Trading
Available Dates:
There are no dates available.
Course Code: 806
Duration: 1 day
Level: Intermediate
Fee: $795.00
CPE Credits: 6
Prerequisite: A basic familiarity with derivatives (contract features as well as related terms and definitions) and basic investment characteristics, gained through either formal training or 1+ years working in a derivative related trading/support capacity is recommended (but not required).

This one-day program is designed to deepen and broaden participants' understanding of the various methodologies for valuing options as well as their use in assessing and managing risk.

The program is intended for participants that already possess a familiarity with options related terminology and have a grasp of put and call basics.  The focus of the presentation will be the tools and techniques market participants use to assess option values and strategies as well as understand and manage the risk of trading positions.

The program commences with an overview of option pricing concepts, but quickly moves into a discussion of option price dynamics.  These sensitivities, as quantified by the option "greeks", will be described both conceptually and mathematically, but the bulk of the discussion will be on their use in structuring, rebalancing and quantifying the risk of various trading strategies.  Particular emphasis will be given to delta (hedge ratios, dynamic hedging, delta neutral, etc.) and vega (implied volatility, the volatility smile and curve, volatility trading, etc.). 

The session will also investigate option pricing models (Black-Scholes and binomial) and arbitrage pricing relationships (put/call parity).  These will be illustrated initially as methodologies for estimating the theoretically correct price, but then segue to the viewpoint of a trader/portfolio manager employing them as tools to recognize trading opportunities and for assessing/quantifying risks.

Topics for Discussion Include:

Option Pricing, Option "Greeks" & Their Trading Applications

  • Option Pricing
    • Contract features
    • Option value determinants (pricing model inputs)
  • Option Pricing Dynamics
    • Delta
    • Gamma
    • Theta
    • Rho
    • Vega (kappa)
  • Trading Applications
    • Hedge ratios and delta neutral trading strategies
    • Implied volatility, volatility smile and curve, volatility trading

Arbitrage Pricing and Arbitrage Trading Strategies

  • Put/ Call Parity
    • Conceptual basis - equivalent portfolios
    • Arbitrage pricing/trading applications
    • Synthetic positions
  • Arbitrage trading strategies
    • Conversions
    • Reversals
    • Box spreads    

Using Option Pricing Models 

  • Black-Scholes Model
    • Black-Scholes - limiting case of binomial model
    • Model inputs and assumptions
    • Potential problems with Black- Scholes
  • Binomial Pricing Models
    • Binomial trees
    • Multi stage process
    • Types of binomial models
    • Mathematics of binomial trees