Goal

After the completion of this course the student will be able to trade volatility and to perform statistical arbitrage trades exploiting inefficiencies present in the volatility surface. The student will also be able to design systematic strategies for the extraction of Skew and Variance Risk Premium. Finally, the student will have professional level knowledge of options that will map directly into positions at derivative trading desks in any major institution.

Student Profile

Prerequisite: Completion of the Intermediary Level Course or previous advanced experience with options and/or college level mathematical background.

SKILLS YOU WILL GAIN

CONVEX EDUCATIONAL TOOLS

Course Content

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Module 1 - Basic concepts review (26m) 3 Lessons

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The value of money (13m)

Forward price (8m)

Put/Call parity - Covered calls (5m)

Module 2 - Statistics review (50m) 4 Lessons

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Data and statistics (15m)

Standard deviation and options (8m)

Understanding probabilities (10m)

Normal distribution (17m)

Module 3 - The mystery of options pricing (1h10m) 4 Lessons

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Fair price (13m)

Option prices - Binomial Model (25m)

Black Scholes Model (20m)

Introducing Index Volatility Products:

Module 4 - Gamma and Volatility (1h) 4 Lessons

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Gamma and implied volatility (12m)

Volatility surface (18m)

Delta/Gamma hedging (21m)

Implied Variance (9m)

Module 5 - Variance Risk Premium (32m) 2 Lessons

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How to extract VRP (18m)

Extracting VRP with butterflies (14m)

Module 6 - Term Structure (30m) 2 Lessons

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Implied variance in time (14m)

Trades from term structure anomalies (16m)

Module 7 - Earnings (1h9m) 4 Lessons

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Ways of playing earning (16m)

Playing earnings - Example (15m)

Computing Implied Move (20m)

Strangle Swaps (18m)

Module 8 - VIX Options (50m) 4 Lessons

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Volatility products (13m)

VIX Options (15m)

Trading VXX (12m)

VXX Considerations (10m)

Module 9 - Exotic Options (32m) 3 Lessons

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Binary Options (13m)

Contingent Options (11m)

Barrier options (8m)

Module 10 - The end of the cycle (2m)

Instructors