OPTIONS MASTER LEVEL CYCLE
Master Level
The Tiger, In Person
Select Available dates
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.
In Person
Miami, FL
Miami, FL
2 Days
Sat & Sun
12hrs total
Sat & Sun
12hrs total
English
Max. 15
Students
Students
Master
Level
Level
SKILLS YOU WILL GAIN
Volatility Trading
Synthetic Trades and Skew
Exotic Options
Earnings Plays
OUTLINE
Module 1: Statistics Review, Synthetic Trades and Skew
- Theoretical Review put/call parity, Forward Value
- Introduce the Concept of Synthetic Trades, and all equivalents based on put/call parity: Risk Reversals, Synthetic Long, Synthetic Shorts, BOX Trades, Equivalent trades, Protective Collars
- Review extreme events and synthetics: Earnings and Dividends, using Boxes to play hard to borrow stocks (extreme short interest). Other uses for Boxes (speculation with interest rates, borrowing mechanism for big firms)
Module 2: Volatility and skew
- Subject review: Basic Statistics and Probabilities (Very quick), Distributions (populations, samples). Mean, Variance, Standard Deviation. Gaussian Distributions, Densities & Cumulative Densities. Z Scores & Computing Probabilities. Connecting Standard Deviation & volatility.
- Advanced Options Concepts: Skew, Vol smile, VRP, Delta Hedging. Ratio Spreads Advanced Butterflies.
Module 3: Volatility Trading, The Vol Surface & Exotic Options
• Volatility Trading: Vol Surface & Term structure. Exploiting anomalies in the Term Structure. Calendar Trades, Diagonals
• Non-directional, and Directionally enhanced Earnings Plays: Ratios, Calendars, Strangle Swaps, Verticals
• Introduce Quantitative Earnings Analysis Tools
• Introducing Index Volatility Products: VIX, VIX futures, VIX options, Variance Futures. Playing VRP Trades with Volatility Products.
• Non-directional, and Directionally enhanced Earnings Plays: Ratios, Calendars, Strangle Swaps, Verticals
• Introduce Quantitative Earnings Analysis Tools
• Introducing Index Volatility Products: VIX, VIX futures, VIX options, Variance Futures. Playing VRP Trades with Volatility Products.
Module 4: Index Volatility
- Playing Index Volatility with Options: Peculiarities of negative skew in Index Options. Taking advantage of it. Common pitfalls with Index Options Trading
- Introducing Basic Exotic Options: Binary options, Contingent options. Replicating Exotic Options with Vanilla Options. Taking advantage of Binary Options mispricing in Index space. Binary strangles and straddles. Binary Risk Reversals (long and short)
- Introducing Quantitative Strategies for Binary Trades: Naive Trades and mention the NDLA Neural Network. Other topics (links to the more advanced topics course)
Module 5: Workshop
- Advance Volatility Trade Design
- Advance trade optimization
- Index and Earnings Volatility Strategies
Instructors
Leonardo Valencia
Options Program Architect
Mr. Valencia has more than 25 years of experience with options and trading algorithms development.
For more information please visit his bio here
Frequently Asked Questions
Prerequisite: Completion of the Intermediary Level Course or previous advanced experience with options and/or college level mathematical background.
In the event of notification of cancellation, the following cancellation fee shall apply on the full booking:
More than 30 days prior to arrival: 0% cancellation fee.
Less than 30 days prior to arrival: 20% cancellation fee or the deposit.
More than 30 days prior to arrival: 0% cancellation fee.
Less than 30 days prior to arrival: 20% cancellation fee or the deposit.