Advanced Topics

These lectures are designed to take expert level options traders into even more advanced strategies. The students are required to have a fair level of mathematical knowledge. A STEM background and/or the completion of the Master Level – The Tiger is a pre-requisite. All the topics have a common start but branch out depending on the preferences of each student.

Because of the complexity of the topics, this class will be available upon request to single students or too small institutional groups.

Price: contact to request a quote 

Class Format: depending on the availability of the student (in person or virtual, or both)

Duration: 10 hours

Location: upon mutual agreement

Core Lectures (6 Hours)

• Risk-Neutral Prices
• Option Pricing theory, Binomial & BSM Models
• Implied Volatility as a failure of the BSM Model
• Introduction to Stochastic Volatility and Volatility Surface Dynamics
• Translating between risk-neutral and full risk worlds
• Computing final distributions from options prices

Electives Tracks:
Variance Track (4 hours)

• Trading pure Variance with Variance Swaps and Variance Futures
• Statistical arbitrage between linear products (VIX futures) and convex products (Variance Swaps)
• Monetizing VRP with Swaps.

Vomma Track (4 hours)

• VIX Options and its characteristics
• Trading Volatility of Volatility
• Exploiting second order Volatility Effects

Risk and Uncertainty Track (4 hours)

• Introduction to Ambiguity & Knightian Uncertainty
• Correlation between Ambiguity & Market Direction
• Computer Models to compute Real Time Ambiguity